Tuesday 16 May 2017

M3 CE - May 2017

Trade Entry:



*Entry Error*
When I put the M3 trade on, Dave said that my t+0 line was not ideal.

Adjustments:

  • May 17 - -34.30 point down move resulted in a +50 delta, per guidelines I had to roll my BF down. When I rolled down, I took some BF's off from my original 15 lot BF to 13 lot BF. Note: When I was live trading I remember that my Delta was above +50, but in back testing it shows as 48.
  • May 30 - Rolled my call forward AND Move 6 of my short strikes up to balance out my t+0 line (there was too much upside risk in my existing position)
  • June 2 - Vega went positive and rolled the entire position up + reduced my position to a 10 lot BF. Important - Ask Dave why did my position drop so much under the t+0 line? Was it b/c of a slight drop in volatility? OR the fact that I reduced my BF lot from 13 to 10 lot?
  • June 5 - Rolled call forward 1 month
  • MISTAKE: I don't know how it happened but I accidentally bought a 7 lot vertical on the bottom wing of my M3
  • June 6 - I reversed the mistake I made in the previous trading day of buying a 7 lot vertical spread AND rolled my M3 down 20 pts
    • I don't completely know why I did this - I think I made the adjustment b/c a 30 point drop would exceed my MAX loss of $2500 to the downside.
    • I should have just managed the position 20pts in either direction? Ask Dave.
  • Jun 13 - M3 went positive Vega and couldn't keep Delta and Vega negative concurrently therefore had to move the entire M3 up 20 pts
  • June 16 - Starting to see a ball on-top of a mound syndrome and made and adjustment to level out my risk on the t+0 line 20 to 30 pts in each direction.

  • June 19 - Greater than -50 delta outside tent and t+0 line sagging heavily to the upside. Pulled 4 lots from upper wing down to balance out the t+0 line
  • June 26 - Greater than - 50 Delta (actual -63.46) and therefore had to move some of my short strikes up. BUT I didn't have enough money in my account to make this adjustment therefore I moved some from the lower wing at the same time. Made the adjustment via an condor, this allowed me to make the adjustment with only having to pay for the cost of commissions.
  • I noticed after my adjustment that my Gain/Loss went down further WHY did this happen?
  • June 27 - Rolled my weekly call forward
  • June 30 - During live trading my position went above -50 Delta outside the tent AND there was an imbalance in the t+0 risk profile, therefore rolled 4 more up using the condor strategy and the lower wing.
  • July 5 - Delta outside tent breached -50 in live trading, therefore made an adjustment using a condor with 5 lots
  • July 6 - Large -18 point drop in the RUT caused my t+0 profile imbalance to the downside, therefore I made an adjustment to re-balance the t+0 
    • Rolled my weekly call to the forward month.
  • July 7 - Delta outside tent went to -95.85 and therefore moved 10 lot up using a condor strategy.

  • July 10 - the t+0 profile was imbalanced and there was too much upside risk, therefore I made an adjustment moving 2 lots up using a condor strategy
  • July 12 - Delta outside tent exceeded -50 (actually went to -86.20) and therefore moved another 6 lots up using condor strategy.
  • July 13 - Took the M3 off at max loss (-$2389.50 loss)
Summary:
  • I followed my rules and guidelines to a "T" and ended up in a shitty position.
  • Consulted Dave and he said that if I hadn't rolled down on the large -35pt drop in the RUT I would have been fine for the rest of my trade, which I find a bit difficult to swallow.
  • Made some adjustments along the way where I was reducing my M3 Lot size, I'm not sure if that had anything to do with my poor trade, but I'm going to backtrade this exact position an not reduce my BF size.
  • Another thing Dave mentioned was entry pricing and having the wind at your back. I get that BUT I don't 100% believe Dave's comment about not making an adjustment on the large down day. 
  • I'll leave a summary of my backtesting in the comment section.
  • #analyzethewinsandlosses