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:

Backtesting 2014 - Nov 21, 2014 Entry

Account: Blog backtesting 2014

On Nov 21, 2014 the market was down and Average IV was 15.5% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Dec 15 - Sold 6 x 1140 to reduce DELTA inside tent
• Dec 17 - Sold 3 x 1160 to protect t+0 upside
• Dec 19 - Sold 7 x 1160 to control DELTA outside tent
• Dec 24 - Sold 10 x 1170 to control VEGA
• Dec 26 - Rolled BF UP
• Dec 29 - Sold 5 x 1210 to protect t+0 upside
• Jan 2 - Sold 5 x 1190 to control Delta
• Jan 5 - Sold 10 x 1180
• Jan 6 - Rolled BF down
• Jan 7 - Sold 5 x 1170
• Jan 8 - Sold 5 x 1180
• Jan 9 - Sold 3 x 1180
• this was 7 DTE, but decided to trade further b/c gamma was low at - 0.15
• Jan 12 - Exited 4 DTE below Max Profit at + $3

Backtesting 2014 - Sep 26, 2014 Entry

Account: Blog backtesting 2014

On Sep 26, 2014 the market was down and Average IV was 18.8% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Oct 27 - Sold 3 x 1090 to reduce DELTA inside edge of tent
• Oct 28 - Sold 5 x 1090 to reduce DELTA outside tent
• Oct 28 - Rolled BF UP b/c can't keep VEGA and DELTA negative
• Oct 31 - Sold 8 x 1140 to control DELTA outside tent
• Nov 5 - Sold 3 x 1150 to control DELTA outside tent
• Nov 6 - Sold 6 x 1150 to control DELTA outside tent
• Nov 7 - Sold 3 x 1160 to control DELTA outside tent
• Nov 10 - Sold 3 x 1160 to control DELTA outside tent
• Nov 12 - Rolled BF 
• Nov 13 - Sold 8 x 1180 & 2 x 1170 to control DELTA inside tent
• Not sure if rolling adjustment was a good adjustment, when I did the roll was it done correctly?
• Nov 14 - Exited 7 DTE below Max Profit at + $1674

Backtesting 2014 - Aug 22, 2014 Entry

Account: Blog backtesting 2014

On Aug 22, 2014 the market was down and Average IV was 14.6% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Sep 11- Sold 5 x 1140 to reduce DELTA outside tent
• Sep 19 - Exited above Max Profit at + $3710

Backtesting 2014 - July 25, 2014 Entry

Account: Blog backtesting 2014

On July 25, 2014 the market was down and Average IV was 16.7% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• *Important* Noticed that my DELTA is positive in the center of the tent for many days (Entry - Aug 5), why is this?
• Aug 14 - Reached Max Profit target of $2500, but decided to try and get slightly higher pnl
• Aug 14 - Sold 3 x 1120 to reduce DELTA inside edge of tent
• Aug 15 - Exited above Max Profit at + $2681

Backtesting 2014 - May 23, 2014 Entry

Account: Blog backtesting 2014

On May 23, 2014 the market was down and Average IV was 16.1% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Jun 5 - Sold 4 x 1100 to control VEGA
• Jun 6 - Rolld BF up
• Jun 9 - Sold 5 x 1140 to protect upside
• Jun 12 - Sold 5 x 1120 to protect downside
• Jun 16 - Sold 5 x 1150 to protect upside
• Jun 18 - Sold 5 x 1140 to protect upside
• Jun 23 - Sold 5 x 1150 to protect upside 
• Jun 27 - Sold 5 x 1160 to protect upsdie
• Jun 30 - Sold 5 x 1160 to control VEGA
• Jul 1 - Rolled BF up
• Sold 4 x 1210 to protect upside
• Jul 2 - Sold 4 x 1180 to protect downside
• Jul 3 - Sold 4 x 1210 to protect upside
• Jul 7 - Sold 10 x 1190 to control DELTA
• Jul 8 - Sold 2 x 1170 & 8 x 1160 to reduce DELTA
• Jul 10 - Sold 4 x 1150 & 2 x 1140 to reduce DELTA
• Jul 11 - Exited below Max Profit at 7 DTE  + $925