On June 26, 2015 the market had a the past 3 days down at 1282 and Average IV was 14.7% at the time of entry around 10:30am.
Trade entry:
Risk graph:
Adjustments:
- Jun 29 - There was a sharp down move of -28 pts, this volatility hit resulted in market makers taking the price out of my butterflies. As a result my absolute loss (ABS Loss) was increase to -$4000
- As a result of an increase in ABS Loss, my threshold when assessing t+0 line will be $1500 - $2000
- Bought 5 x 1250 and Sold 5 x 1240 to protect my t+0 downside risk
Jul 8 - RUT dropped 21.30 pts down and I decided to roll the BF down 50 pts to protect my t+0 downside risk<<< I did not end up doing this adjustment, I went back after 4 days forward and decided not to do this and see how the trade panned out- What made me consider doing this was the fact that I was within my Greek measurements but RUT was down hard that day and I couldv'e stayed in the trade. I don't know if this was a smart thing to do while backtesting.
- Going to re-trade this WITH making the Jul 8th adjustment
- Jul 14 - Bought 5 x 1250 and Sold 5 x 1260 to control high DELTA inside edge of tent
- Jul 16 - Exited trade at Max Profit +$3010
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