Quant Weekly Recap 4/29/2016

Natural Gas cycle. The new June cycle closed this week at break even (we had an open loss of $300 per unit last week). The 2400 call is showing an open loss of $120 but the 1700 put shows an open profit of $130.

Crude Light cycle. The 4900 call is showing a profit of $130 (it is still at 54) and the 3300 is showing a profit of $230. Due to the strong bullish move in crude we are trying to close this cycle at break even by bringing both options to expiration.

ES May cycle. We initiated the May cycle for a total premium of +$350 per strangle/unit. The 2135 call is showing a small profit (about $40) and the 1850 put is showing a profit of $240. The overall position is positive and we should close the cycle next week.

Please remember that sometimes we have to play defense and protect the positions, aiming for a break even result and/or a small loss, We want to be ready to take advantage of the following cycle increased premiums and hopefully, lower volatility.

 

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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