Friday, May 17, 2019

Trade update: Silver-Gold spread

 /GC  leg is $1000 winner. I have changed short /GC into naked /GC call to add theta decay. 

The trade entry was posted here.
Trading silver-gold spread was described in details in "anatomy of silver gold pair trade".

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type
5/17/2019 13:29 SINGLE SELL -1 TO OPEN /GCM19 1/100 JUN 19 /OGM19 1270 CALL 9.9 LMT
5/17/2019 13:19 FUTURE BUY 1 TO CLOSE /GCM19 19-Jun FUTURE 1275 LMT


Thursday, May 16, 2019

Silver - Gold spread

fixed

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
5/16/2019 13:31 FUTURE SELL -2 TO CLOSE /GCM19 19-Jun FUTURE 1286.2 1286.2 LMT 17480
5/16/2019 11:15 FUTURE BUY 1 TO OPEN /GCM19 19-Jun FUTURE 1287.1 1287.1 MKT
5/16/2019 11:15 FUTURE BUY 2 TO OPEN /SIN19 19-Jul FUTURE 14.61 14.61 LMT


Gold/Silver ratio is 88.   I am in 2/SI -/GC spread which in USD reads 10,000*/SI - 100*/GC.

Trading this pair was described in details in "anatomy of silver gold pair trade".

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
5/16/2019 11:15 FUTURE BUY 1 TO OPEN /GCM19 19-Jun FUTURE 1287.1 1287.1 MKT 17390
5/16/2019 11:15 FUTURE BUY 2 TO OPEN /SIN19 19-Jul FUTURE 14.61 14.61 LMT
5/16/2019 11:00 FUTURE BUY 1 TO OPEN /ESM19 19-Jun FUTURE 2887.75 2887.75 MKT

Tuesday, April 30, 2019

WTI naked calls & puts (paper trade)

Flat WTI strangle; profit is 50% of the initial credit.  Options pain works.

5/7/2019

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
5/7/2019 11:25 STRANGLE BUY 1 TO CLOSE /CLM19 1/1000 JUN 19 /LOM19 66 CALL 0.05 0.15 LMT
BUY 1 TO CLOSE /CLM19 1/1000 JUN 19 /LOM19 55 PUT 0.1 DEBIT
5/2/2019
In response to crude move down.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
5/2/2019 11:13 VERTICAL SELL -1 TO OPEN /CLM19 1/1000 JUN 19 /LOM19 66 CALL 0.12 0.1 LMT
BUY 1 TO CLOSE /CLM19 1/1000 JUN 19 /LOM19 70 CALL 0.02 CREDIT

4/30/2019
16 DTE, options max pain is on my side.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
4/30/2019 12:30 STRANGLE SELL -1 TO OPEN /CLM19 1/1000 JUN 19 /LOM19 70 CALL 0.07 0.15 LMT
SELL -1 TO OPEN /CLM19 1/1000 JUN 19 /LOM19 55 PUT 0.08 CREDIT

Thursday, April 25, 2019

+$700, flat Russell Nasdaq futures spread #8

The trade entry was posted here.

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
4/25/2019 16:31 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7805.75 7805.75 MKT 1765
4/25/2019 16:31 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1578.8 1578.8 MKT
4/25/2019 16:31 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1578.8 1578.8 MKT

Russell Nasdaq spread #8

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
4/25/2019 8:53 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7876.25 7876.25 MKT 1045
4/25/2019 8:53 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1585.7 1585.7 MKT
4/25/2019 8:53 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1585.7 1585.7 MKT

Tuesday, April 23, 2019

+$500, flat Russell Nasdaq futures #7

How to trade Russel Nasdaq spread using futures.

The entry was posted here.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/23/2019 11:10 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7784 7784 MKT 2310
4/23/2019 11:10 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1579.9 1579.9 MKT
4/23/2019 11:10 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1579.9 1579.9 MKT

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.

Russell Nasdaq spread trade is based on the correlation between Small Cap Stock Index, Russell, and Growth Stock Index, Nasdaq.

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.  However,  $15000 is enough to enter Russell Nasdaq spread trade on TOS. At the moment, a delta neutral position is given by:

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

spread visualization for Russel Nasdaq futures
One can try to profit from the widening or narrowing of the spread. I like Russell Nasdaq spread because it is characterized by high volatility. /NQ leg can be replaced by /NQ options.  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