Friday 20 May 2016

Backtesting 2016 - May 20, 2016 Entry

Account: Blog backtesting 2016
On May 20, 2016 the market was up and Average IV was 17.2% at the time of entry around 10:30am.

Trade entry:

Adjustments:

  • May 25 - Sold 6 x 1080 to control VEGA
  • May 27 Rolled BF up, couldn't keep DELTA and VEGA negative
  • Had to increase my ABS MAX Loss to $4000 due to volatility hit to my BF's
  • Jun 7 - Sold 10 x 1130 to control VEGA
  • Jun 10 - Sold 5 x 1110 to protect t+0 downside
  • Jun 23 - Sold 5 x 1140 to reduce DELTA outside tent
  • Jun 24 - Sold 5 x 1130 to protect t+0 downside
  • Jun 27 - Rolled BF down
  • Jun 28 - Sold 2 x 1080 and 3 x 1090 to reduce DELTA outside tent
  • Jun 29 - Rolled BF up
  • Jun 30 - Sold 5 x 1130 to reduce DELTA outside tent
  • Jul 1 - Sold 3 x 1130 and 2 x 1140 to reduce DELTA outside tent
  • Jul 6 - Sold 2 x 1140 to reduce DELTA outside tent
  • Jul 7 - Sold 3 x 1140 to reduce DELTA outside tent
  • Jul 8 - Exited the trade 7 DTE at a loss - $1906