Quant Weekly Recap 2/26/2016

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.

Luca Facchini

 

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.

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