Backtesting 2016 - Mar 24, 2016 Entry

Account: Blog backtesting 2016

On Mar 24, 2016 this trade was 57 DTE, I entered the trade at this date b/c the correct 56 DTE was "Good Friday" holiday and the markets were closed. On Mar 24, 2016 the market was up and Average IV was 18.8% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Mar 29 - Rolled the position up, couldn't keep VEGA and DELTA negative
• Apr 13 - Sold 7 x 1090 to control DELTA outside tent
• Apr 19 - Sold 3 x 1090 to control VEGA outside tent
• Apr 20 - Sold 5 x 1100 to control VEGA outside tent
• Apr 22 - Sold 5 x 1100 to control VEGA outside tent
• Apr 26 - Rolled BF up, can't keep DELTA and VEGA negative and RUT was 28 pts above upper wing
• Apr 27 - Sold 8 x 1140 to reduce DELTA inside tent
• Apr 29 - Sold 5 x 1120 to reduce DELTA inside tent
• May 2 - Sold 5 x 1130 to protect t+0 upside
• May 3 - Sold 5 x 1110 to reduce DELTA
• May 4 - Sold 5 x 1100 to reduce DELTA
• May 6 - Exited the trade 14 DTE at Max Profit + $3339

Backtesting 2016 - Jan 22, 2016 Entry

Account: Blog backtesting 2016

On Jan 22, 2016 the market was up and Average IV was 24.1% at the time of entry around 10:30am.

Trade entry:

Adjustments:

• Feb 8 - Rolled BF down b/c of a two days of down moves and controlling DELTA 
• Feb 11 - Sold 10 x 930 to control DELTA inside tent
• Feb 17 - Sold 5 x 950 & 5 x 960 to control VEGA outside tent
• Feb 22 - Rolled BF up b/c can't keep DELTA and VEGA negative and RUT is 31 pts above upper wing
• Feb 24 - Sold 7 x 1000 to protect t+0 upside
• Feb 26 - Sold 3 x 1000 to proteect t+0 upside
• Feb 29 - Sold 5 x 1010 to control DELTA outside tent and upside t+0 risk
• Mar 1 - Sold 5 x 1010 to control VEGA
• Mar 2 - Rolled BF up, can't keep DELTA and VEGA negative
• Mar 3 - Sold 5 x 1060 to control DELTA
• Mar 10 - Sold 4 x 1060 to control DELTA 
• Mar 11 - Exited the trade 7 DTE at a loss - $413

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