Quant Weekly Recap 3/4/2016

NG April cycle. The market is going only down since we entered the strangle and our 1500 put increased in value (today it closed at 32 and we sold it for 14 and that equals to an open loss of +$180). We closed in the mean time the 2200 call and we cashed $160. There are many days to expiration and the hope is to see the NG to rally higher and stay above 1600. We are going probably to sell the call for the next May cycle next week in order to buy some extra time value.

ES March cycle. The market rallied without taking a break since the moment we put the position on (over 100 points up). We ended up closing this position for a total loss of -$570. Next week we will initiate the new ES April cycle.

CL March cycle. It was a good month on crude. We closed the 41.50 call for a profit of $200 and closed the 22.50 for a profit of $190, plus $10 from the 48.50 call for a total of +$400.

CL May cycle. We just initiated the new CL May cycle and we sold the 45 call for 30 and the 28 put for 22 for a total profit of $520 – the protective stop at 51 that cost us $70. Total net premium for this cycle $450 per strangle.

Overall the March cycle has still the potential to finish positive if NG stays above 1600 from here to expiration.

 

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