Monday, April 22, 2019

Russell Nasdaq futures spread #7

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/22/2019 11:09 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7710 7710 LMT 1800
4/22/2019 11:07 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1560 1560 LMT
4/22/2019 11:07 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1560 1560 LMT

Wednesday, April 17, 2019

+$500, flat Russell Nasdaq spread trade #6

#5 + #6 =1000 $USD

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/17/2019 15:25 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7691.25 7691.25 MKT 3375
4/17/2019 15:25 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1572 1572 LMT

+$520, flat Russell Nasdaq #5; new entry #6

+520 Federal Reserve IOU aka $USD; quick scalping, #5 entry.

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/17/2019 13:59 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7700 7700 MKT 2850
4/17/2019 13:59 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1568.5 1568.5 LMT
4/17/2019 10:26 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7708.5 7708.5 MKT 3680
4/17/2019 10:26 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1578.5 1578.5 LMT

Russell Nasdaq pair trade #5

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/17/2019 10:26 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7707 7707 MKT 3330
4/17/2019 10:26 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1574.7 1574.7 MKT

Saturday, April 13, 2019

Spread Trading with Russell and Nasdaq Futures or ETFs.

Small cap stock index, Russell, is highly correlated with growth stock index, Nasdaq. Consequently, a spread trade doesn't depend much on market trends.

Russell Nasdaq correlation


The corresponding ETF/futures are IWM, /RTY and QQQ, /NQ for Russell and Nasdaq, respectively. The corresponding  notional values in $USD are calculated as follows:
  • number of shares x IWM ;
  • number of contracts x 50 x /RTY;
  • number of shares x QQQ;
  • number of contracts x 20 x /NQ.
For example, for trading long IWM short QQQ spread one can use 100xIWM-100xQQQ for profit/loss calculations. Keep in mind, that spread trading with ETFs is not capital efficient. Depending on a broker, one may need about $20000 to enter 100 IWM shares versus 100 shares of QQQ.

 One Russell/Nasdaq futures contract is roughly 5/10 times larger than the corresponding ETF.  On ThinkOrSwim platform $15000 is enough to enter a spread trade. For example:

 long  2 /RTY,  short 1 /NQ. 
100/RTY - 20/NQ  expresses the above spread in $USD:

spread visualization for Russel Nasdaq futures
I like this spread because it is characterized by high volatility.  My trades are posted  @ https://www.the.trading/search/label/Russell



Friday, March 29, 2019

+$110, flat WTI strangle. Theta decay in action.

Profit after fees ~  $110. Theta works!

4/419
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
4/4/2019 10:35 STRANGLE BUY 1 TO CLOSE /CLK19 1/1000 MAY 19 /LOK19 65.5 CALL 0.1 0.21 LMT
BUY 1 TO CLOSE /CLK19 1/1000 MAY 19 /LOK19 57.5 PUT 0.11 DEBIT

4/1/19
At the moment /CL is up 2.3 %. In response to this price action :
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
4/1/2019 15:07 VERTICAL SELL -1 TO OPEN /CLK19 1/1000 MAY 19 /LOK19 57.5 PUT 0.19 0.13 LMT
BUY 1 TO CLOSE /CLK19 1/1000 MAY 19 /LOK19 54.5 PUT 0.06 CREDIT

3/29/19 Profit Target:  $100
A combination 18 Days To Expiration  Naked 8 Delta Put and 6 Delta Call Options.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/29/2019 11:24 STRANGLE SELL -1 TO OPEN /CLK19 1/1000 MAY 19 /LOK19 65.5 CALL 0.06 0.21 LMT
SELL -1 TO OPEN /CLK19 1/1000 MAY 19 /LOK19 54.5 PUT 0.15 CREDIT

Thursday, March 28, 2019

+$650, 10 X update : flat /RTY - /NQ #3

10X challenge trades live @  https://www.The.Trading/10X

Russell minus NASDAQ pair trade is closed. The trade accumulated 8% in about a month of trading. However, the start of the challenge is slow. YTD return is only 10%. Slow and steady win the race.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
6875
3/28/2019 10:26 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7353.25 7353.25 MKT
3/28/2019 10:26 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1539.4 1539.4 LMT

Tuesday, March 26, 2019

flat /RTY -/NQ #4, total profit $1500

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
5650
3/26/2019 15:14 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7367.5 7367.5 MKT
3/26/2019 15:14 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1530 1530 LMT

Monday, March 25, 2019

+$1010, /RTY -/NQ #4, scaled out.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4930
3/25/2019 13:15 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7343.5 7343.5 MKT
3/25/2019 13:15 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1518 1518 LMT

Friday, March 22, 2019

/RTY -/NQ #4, scaled in

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
3885
3/22/2019 11:51 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7405.25 7405.25 LMT
3/22/2019 11:51 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1519.9 1519.9 LMT

/RTY - /NQ #4

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
5135
3/22/2019 10:21 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7488.25 7488.25 MKT
3/22/2019 10:21 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1549 1549 LMT

Thursday, March 21, 2019

/RTY - /NQ #3

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
6190
3/21/2019 16:09 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7530.5 7530.5 MKT
3/21/2019 16:09 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1568 1568 LMT

+$70, flat VIX paper trade #2

Since the market is rallying today it is time to go flat VXXB.
$70 win before fees.

4/3/2019
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
4/3/2019 10:59 SINGLE BUY 1 TO CLOSE VXXB 12-Apr-19 30 CALL 0.5 0.5 LMT


4/1/2019
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
4/1/2019 14:11 CALENDAR SELL -1 TO OPEN VXXB 12-Apr-19 30 CALL 0.75 0.35 LMT
BUY 1 TO CLOSE VXXB 5-Apr-19 30 CALL 0.4 CREDIT


3/25/2019
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/25/2019 13:49 CALENDAR SELL -1 TO OPEN VXXB 5-Apr-19 30 CALL 3 0.35 LMT
BUY 1 TO CLOSE VXXB 29-Mar-19 30 CALL 2.65 CREDIT


3/21/2019
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/21/2019 12:24 SINGLE SELL -1 TO OPEN VXXB 29-Mar-19 30 CALL 0.5 0.5 LMT

+$300, flat /rty-/nq pair

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
6710
3/21/2019 9:38 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7427 7427 MKT
3/21/2019 9:38 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1552.5 1552.5 LMT

Wednesday, March 20, 2019

/RTY -/NQ #2

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
6400
3/20/2019 20:52 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7435 7435 MKT
3/20/2019 20:52 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1551 1551 LMT

+$500, flat RUSSELL-NASDAQ pair

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
7800
3/20/2019 13:55 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1552.5 1552.5 MKT
3/20/2019 13:55 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7372.5 7372.5 MKT

RUSSELL - NASDAQ pair trade

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
7290
3/20/2019 11:41 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7375.5 7375.5 MKT
3/20/2019 11:41 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1548 1548 MKT

Wednesday, February 20, 2019

+$70, flat. VIX trade , update #9 (paper)

Flat, +$70
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/20/2019 10:36 STRADDLE BUY 1 TO CLOSE VXXB 5-Apr-19 30 CALL 1.2 3.05 LMT
BUY 1 TO CLOSE VXXB 5-Apr-19 30 PUT 1.85 DEBIT

24DTE, Puts: Short 30;  Calls:  Short 30.0; total credit $3.75.
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/12/2019 10:23 CALENDAR SELL -1 TO OPEN VXXB 5-Apr-19 30 PUT 1.55 0.3 LMT
BUY 1 TO CLOSE VXXB 29-Mar-19 30 PUT 1.25 CREDIT
3/12/2019 10:22 DIAGONAL SELL -1 TO OPEN VXXB 5-Apr-19 30 CALL 1.8 1.05 LMT
BUY 1 TO CLOSE VXXB 29-Mar-19 32.5 CALL 0.75 CREDIT
3/12/2019 10:22 SINGLE BUY 1 TO CLOSE VXXB 29-Mar-19 32 PUT 2.6 2.6 LMT
3/12/2019 10:22 SINGLE SELL -1 TO CLOSE VXXB 29-Mar-19 28 PUT 0.35 0.35 LMT
21DTE, Puts: Short 30 & 32, Long 28;  Calls:  Short 32.5; total credit $4.75.
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/11/2019 10:49 SINGLE BUY 1 TO OPEN VXXB 29-Mar-19 28 PUT 0.25 0.25 LMT

Short 30 & 32 Put 21 DTE,  Short 32.5 Call 21 DTE; total credit $5.00.
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/8/2019 13:17 SINGLE SELL -1 TO OPEN VXXB 29-Mar-19 30 PUT 0.4 0.4 LMT
3/8/2019 13:15 DIAGONAL SELL -1 TO OPEN VXXB 29-Mar-19 32.5 CALL 2.95 0.35 LMT
BUY 1 TO CLOSE VXXB 15-Mar-19 32 CALL 2.6 CREDIT
3/8/2019 13:12 SINGLE SELL -1 TO CLOSE VXXB 15-Mar-19 34 CALL 1.45 1.45 LMT

Short 32 Put 25 DTE & 32/34 Call spread 11DTE, total credit $2.80.
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/4/2019 13:28 VERTICAL SELL -1 TO OPEN VXXB 15-Mar-19 32 CALL 1.1 0.5 LMT
BUY 1 TO OPEN VXXB 15-Mar-19 34 CALL 0.6 CREDIT


Short 32 Put 25 DTE, total credit $2.30.
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
3/4/2019 9:58 VERTICAL BUY 1 TO CLOSE VXXB 15-Mar-19 32 CALL 0.35 0.3 LMT
SELL -1 TO CLOSE VXXB 15-Mar-19 37 CALL 0.05 DEBIT

Short 32 Put 29 DTE & 32/37 Call spread 15DTE, total credit $2.60.
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
2/28/2019 11:48 VERTICAL SELL -1 TO OPEN VXXB 15-Mar-19 32 CALL 0.95 0.7 LMT
BUY 1 TO OPEN VXXB 15-Mar-19 37 CALL 0.25 CREDIT

The position is Short 32 Put 32 DTE, total credit $1.90.


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
2/25/2019 11:01 BACKRATIO SELL -1 TO CLOSE VXXB 15-Mar-19 36 CALL 0.2 0.1 LMT
BUY 2 TO CLOSE VXXB 15-Mar-19 37.5 CALL 0.15 DEBIT



The position is equivalent to a 37.5Call/32Put strangle, total credit $2, BEs @ 30 & 39.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
2/20/2019 11:15 SINGLE SELL -2 TO OPEN VXXB 15-Mar-19 37.5 CALL 0.5 0.5 LMT
2/20/2019 11:15 SINGLE BUY 1 TO CLOSE VXXB 15-Mar-19 35 CALL 0.9 0.9 LMT
2/15/2019 11:04 CALENDAR SELL -1 TO OPEN VXXB 29-Mar-19 32 PUT 2.05 0.5 LMT
BUY 1 TO CLOSE VXXB 15-Mar-19 32 PUT 1.55 CREDIT
2/8/2019 11:35 VERTICAL SELL -1 TO OPEN VXXB 15-Mar-19 35 CALL 2.85 0.35 LMT
BUY 1 TO OPEN VXXB 15-Mar-19 36 CALL 2.5 CREDIT
2/8/2019 11:34 SINGLE SELL -1 TO OPEN VXXB 15-Mar-19 32 PUT 1 1 LMT