ES March. This week we closed the 1600 put that was sold for $300 for a gain of $270. I kept open the 1500 put just in case there is major correction in the next 2 weeks. The market rallied a lot for the last several sessions and the 1995 call was a little bit in trouble this morning but finally, toward the end of the session, the market did a nice correction and now that call is worth 10 points. We sold it for 4.35 so we are losing $282.50 (-5.65 points) on that position but if we consider the gain on the put, this strangle is basically at break even.
Crude Light April. We sold the 41.50 call for 25 and it closed at 8 (+$170) and the 22.50 put for 20 and it closed at 5 ($150). We still have the 48.50 protective call that we bought for 6 (it closed at 1). So for this strangle we have a +$270 open profit.
Natural Gas April. We sold the 2.200 call for 19 (closed at 11) for a +$80 open profit and sold the 1.500 put for 14 (closed at 16) for a -$20 open loss. Total for this strangle is an open profit of +$40.
Please notice that the swing in equity are very small with the new parameters. Even when we had big volatility, we are able to contain the open or closed losses to a very manageable size.
Thank you and have a nice weekend.
All information is provided “as is” and solely for informational purposes, not for trading purposes or advice. There is a substantial risk of loss in trading futures and options. Past performance is not indicative of future results.
CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.
The files transmitted are confidential and intended solely for the use of the individual or entity to which they are addressed. If you have received this email/document in error please notify the system manager. This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail/document. Please notify the sender immediately by e-mail if you have received this document by mistake. If you are not the intended recipient you are notified that disclosing, copying, distributing or taking any action in reliance on the contents of this information is strictly prohibited. NO PART OF THIS DOCUMENT MAY BE REPRODUCED AND TRANSMITTED WITHOUT THE EXPRESS WRITTEN CONSENT OF Luca Facchini – Quant System Trading – COPYRIGHT 2015.