Backtesting 2015 - Nov 20, 2015 Entry

On November 20, 2015 the market was up and Average IV was 16.3% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Dec 9 - Exited the trade slightly lower than Max Profit target at +$2419
• Exited the trade b/c it was within +/- $100 of my target and I had no adjustments to the trade.

Backtesting 2015 - Sep 25, 2015 Entry

On September 25, 2015 the market was down and Average IV was 21.2% at the time of entry around 10:30am.

Trade entry:

Risk graph:

Adjustments:

• Sep 28 - Sold 6 x 1090 Put Verticals to protect t+0 downside risk
• Sep 29 - Sold 3 x 1080 Put Verticals to protect t+0 downside risk
• Sep 30 - Sold 1 x 1120 Put Verticals to protect t+0 upside risk
• Oct 5 - Sold 2 x 1120 Put Verticals to protect t+0 upside risk
• Oct 15 - Sold 2 x 1130 Put Verticals to protect t+0 upside risk
• Oct 23 - Sold 2 x 1130 Put Verticals to protect t+0 upside risk
• Oct 28 - Sold 2 x 1140 Put Verticals to protect t+0 upside risk
• Nov 2 - Rolled the BF up 50 pts
• Split the Short side of the BF into 10 x 1160, 5 x 1170, 5 x 1190 to protect t+0 upside risk
• Nov 6 - Sold 4 x 1180 and 1 x 1200 to hedge upside t+0 risk
• Exited the trade slightly lower than Max Profit target at +$2136 (b/c I was running out of runway with 9 DTE combined with high Gamma risk) 

Backtesting 2015 - Aug 21, 2015 Entry

On August 21, 2015 the market gapped down and Average IV was 22.0% at the time of entry around 10:30am.

Trade entry:

Risk graph:

Adjustments:

• Aug 24 – That was a sharp down move of -46.60 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 1120 and Sold 5 x 1110 Put Verticals to protect my t+0 downside risk
• Sep 11 - Bought 5 x 1110 and Sold 5 x 1140 Put Verticals to protect my t+0 upside risk, my t+0 was starting to sag and I decided to flatten it out
• Sep 23 - Exited at Max Profit of +$2825

Video Recap of Trade

Backtesting 2015 - July 24, 2015 Entry

On July 24, 2015 the market gapped down and Average IV was 14.8% at the time of entry around 10:30am.

Trade entry:

Risk graph:

Adjustments:

• Aug 7 - Exited at Max Profit of +$2611

Video Recap of Trade

Backtesting 2015 - Jun 26, 2015 Entry (2nd attempt with adjustment on Jul 8)

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
• Jul 13 - Bought 10 x 1200 and Sold 10 x 1210 to control positive VEGA 
• Jul 14 - Rolled the BF up 40 pts b/c RUT price was 23 pts above my upper wing
• Bought 10 x 1240 and Sold 10 x 1250 to protect my t+0 upside risk
• Jul 22 - Exited trade at Max Profit +$3078

Video Recap of Trade

Backtesting 2015 - Jun 26, 2015 Entry

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

Video Recap of Trade

Backtesting 2015 - April 24, 2015 Entry

On April 24, 2015 the market was hitting slight resistance at 1275 and Average IV was 13.6% at the time of entry around 10:30am.

Trade entry:

Risk graph:

Adjustments:

• Apr 27 – Bought 5 x 1250 and Sold 5 x 1240 Put Verticals to protect t+0 downside risk
• Apr 30 - RUT dropped 26.40 pts down and I decided to roll the BF down 60 pts to control DELTA
• There was a sharp down move of -26.40 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
• May 15 - Bought 10 x 1190 and Sold 10 x 1200 Put Verticals to control DELTA
• May 18 - Rolled the BF up 40 pts b/c I couldn't keep VEGA and DELTA negative
• May 20 - Bought 5 x 1240 and Sold 5 x 1250 Put Verticals to protect t+0 upside risk
• May 26 - Bought 5 x 1240 and Sold 5 x 1220 Put Verticals to protect t+0 downside risk
• Was this a good adjustment?
• May 27 - Bought 3 x 1220 and Sold 3 x 1250 Put Verticals to protect t+0 upside risk
• Jun 3 - Bought 2 x 1220 and Sold 2 x 1260 Put Verticals to protect t+0 upside risk
• Jun 9 - Exited at Max Profit of +$2633

Video Recap of Trade

Backtesting 2015 - March 20, 2015 Entry

On March 20, 2015 the market gapped up and Average IV was 13.3% at the time of entry around 10:30am.

Trade entry:

Risk graph:

Adjustments:

• Apr 10 – Bought 10 x 1230 and Sold 10 x 1240 Put Verticals to control DELTA inside the edge of the tent
• Apr 16 - Bought 5 x 1240 and Sold 5 x 1250 Put Verticals to control DELTA outside of the tent
• Apr 21 - Exited at Max Profit of +$2620

Video Recap of Trade

Backtesting 2015 - January 23, 2015 Entry

On January 23rd 2015 the market was up Average IV was 18.3% at the time of entry around 10:30am.

Trade entry:

Risk graph:

Adjustments:

• Jan 28 – That was a sharp down move of -14.30 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
• Feb 2 - Sold 5 x 1150 Put Verticals to protect my t+0 downside risk
• Feb 5 - Bought 3 x 1150 and Sold 3 x 1170 Put Verticals to protect my t+0 upside risk
• Feb 13 - Bought 5 x 1150 and Sold 5 x 1170 Put Verticals to correct VEGA to negative
• Ended up switching daily time check to 15:00, b/c 15:30 wasn't providing price data.
•  Feb 18 - Rolled up the BF b/c price was 16 pts above my upper wing and to correct VEGA to negative
• Split the short strike to 10 x 1210 and 10 x 1200 Put Verticals to protect t+0 upside risk
• Switched timecheck back to 15:30 moving forward
• Feb 24 - Bought 5 x 1210 and Sold 5 x 1220 Put Verticals to control DELTA at the inner edge of the tent
• Feb 26 - Bought 5 x 1210 and Sold 5 x 1220 Put Verticals to control DELTA at the inner edge of the tent
• Mar 2 - Bought 5 x 1220 and Sold 5 x 1230 Put Verticals to control DELTA at the inner edge of the tent
• Mar 6 - Bought 5 x 1230 and Sold 5 x 1220 Put Verticals to control positive DELTA
•  Bought 3 x 1220 and Sold 3 x 1210 Put Verticals to protect t+0 downside risk
• Mar 9 - Exited at Max Profit of +$3172

Video Recap of Trade: