Friday, October 30, 2015

Second Cycle: Base Positions

With 18 days left to the expiration of  second cycle the base positions are all established now. I still can try SP500 scalping.

Position Statement on 10/30/15 12:18:18







using Beta Weighing on '/CL'
Instrument Qty Days Strike Trade Price Mark Delta Theta Vega BP Effect
/CL 1051.43 110.53 -111.28 -$14,419.00
Crude Oil Futures,Dec-2015,ETH 0 21 0 46.16 0 0 0
1/1000 DEC 15 /LOZ5 34 PUT 4 18 34 0.035 0.02 -36.91 -17.05 10.53
1/1000 DEC 15 /LOZ5 40 PUT -1 18 40 0.25 0.16 72.89 17.41 -14.64
1/1000 DEC 15 /LOZ5 42.5 PUT -1 18 42.5 0.43 0.43 175.99 29.34 -27.29
1/1000 DEC 15 /LOZ5 44.5 PUT -1 18 44.5 1.12 0.93 324.92 38.89 -37.92
1/1000 DEC 15 /LOZ5 46.5 PUT -1 18 46.5 2.1 1.8 514.54 41.94 -41.96
/NG 8.58 10.36 -22.21 -$1,217.00
Natural Gas Futures,Jan-2016,ETH 0 60 0 2.421 0 0 0
1/10000 JAN 16 /ONF6 1.95 PUT -1 59 1.95 0.041 0.045 8.58 10.36 -22.21
Totals 1060.01 120.89 -133.49 -$15,636.00

Thursday, October 29, 2015

More Dec 15 WTI

Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Strike
Type
Price
10/29/2015 11:12
SINGLE
SELL
-1
TO OPEN
/CLZ5 1/1000 DEC 15
/LOZ5
40
PUT
0.25



Monday, October 26, 2015

Nat Gas

Exec Time Qty Symbol Exp Strike Type Price
10/26/2015 14:02 -1 /NGF6  JAN 16 /ONF6 1.95 PUT 0.041

Sunday, October 25, 2015

Nat Gas, WTI and SP500 Trends.

Nat Gas

The November Nat Gas contract broke below $2.4 and fell to $2.281 (three days to expiration). Four days later one can trade Feb16 options.
Dec15 $2.486; Jan16 $2.630; Feb16 $2.647; Mar16 $2.625; Apr16 $2.550; May16 $2.579.
So far Jan16 to May16 period has relatively flat price line . Around $2 is an attractive price domain.

WTI

Oil is trending below $44 support. $40, 35, 30 are price levels for a long term play. Risk of Goldman's  $20 show should be taken into account.

SP500

SP500 reached levels where  day trading looks attractive.

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P.S.
Invest at your own risk.  

Wednesday, October 21, 2015

The Meeting

"OPEC Hosts Meeting With Oil Officials From Non-Member States

Meeting is unlikely to yield an agreement to pull back on production." 

source wsj.com

Tuesday, October 20, 2015

Position Summary


Instrument Qty Days Trade Price Mark Delta Theta Vega Strike
/CL



852.42 56.38 -88.33
Light Sweet Crude Oil Dec-2015 0 31 0 45.92 0 0 0
1/1000 DEC 15 /LOZ5 34.0 PUT 2 28 0.05 0.05 -37.71 -11.24 11.98 34
1/1000 DEC 15 /LOZ5 44.5 PUT -1 28 1.12 1.4 367.93 33.31 -48.78 44.5
1/1000 DEC 15 /LOZ5 46.5 PUT -1 28 2.1 2.33 522.2 34.31 -51.52 46.5

Second Trade Cycle : More Dec WTI


Exec Time Side Qty Pos Effect Symbol Exp Strike Type Price Net Price
10/20/2015 11:32 BUY 2 TO OPEN /CLZ5  DEC 15 /LOZ5 34 PUT 0.05 0.05
10/20/2015 11:29 SELL -1 TO OPEN /CLZ5  DEC 15 /LOZ5 46.5 PUT 2.1 2.1

Friday, October 16, 2015

Second Trade Cycle


Exec Time Side Qty Pos Effect Symbol Exp Strike Type Price
10/16/2015 11:44 SELL -1 TO OPEN /CLZ5 DEC 15 /LOZ5 44.5 PUT 1.12

First Trade Cycle is Done

Previous state of the trade was as follows:

Exec TimeSpreadSideQtyPos EffectSymbolExpStrikeTypePrice
10/8/2015 12:45 SINGLEBUY 1 CLOSE/CLX5 /LOX544PUT0.07
10/2/2015 11:06 STRADDLE  SELL-1OPEN/CLX5 /LOX544CALL1.59


SELL-1 OPEN/CLX5/LOX544PUT1.34
10/2/2015 11:04  FUTUREBUY 1 OPEN/CLX515-Nov
FUTURE44.25


 Yesterday /LOX5 44 CALL  expired in the money. Thus /CLX5 was closed  @44.

 Total balance of  First Trade :
 Put  Leg                                        (1.34-0.07)*1000-2*3.72=1262.56
 Call Leg & Futures                      (1.59+44.-44.25) -3*3.72=1329.88
----------------------------------------------------------------------------------------------
Total:                                                                                       $2592.44


Account
 10/03/2015                           $100,000.00                                   
 10/13/2015                           $100,425.00  Crack Spread Scalp
 10/15/2015                           $103,017.00  Fist Trade Closed                       

Tuesday, October 13, 2015

Crack Spread Basics

"Crack Spread" is the difference between the prices of the oil products and oil itself.
The simple 1:1crack spread per barrel is  given by formula 42*RB - CL. For example, today Peppa George II bought 1:1 Jan16-Jan16 spread for (42 *$1.3512 -$48.96)/barrel and sold for (42*$1.3579-$48.8)/barrel. Those numbers are 7.7904 and  8.2318, respectively.  Both RB and CL contracts are for 1000barrels.  $Profit is (8.2318-7.7904)*1000 -14.88 which is about $425.



For more information google Crack Spread Handbook at cme.com

/RB -/CL is Closed +$400 of realized profit after fees


That's Scalp +$400.



10/13/2015 13:18 FUTURE SELL -1  CLOSE /RBF6 16-Jan
FUTURE 1.3579 1.3579 MKT
10/13/2015 13:18 FUTURE BUY 1  CLOSE /CLF6 16-Jan
FUTURE 48.8 48.8 MKT
10/13/2015 11:26 FUTURE BUY 1  OPEN /RBF6 16-Jan
FUTURE 1.3512 1.3512 MKT
10/13/2015 11:26 FUTURE SELL -1  OPEN /CLF6 16-Jan
FUTURE 48.96 48.96 MKT



/RB - /CL spread

 10/13/2015 11:26 FUTURE  BUY 1 TO OPEN /RBF6 16-Jan FUTURE 1.3512  MKT
 10/13/2015 11:26 FUTURE SELL -1 TO OPEN /CLF6 16-Jan FUTURE 48.96    MKT

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Monday, October 12, 2015

Goldman Projects "Lower For Even Longer"

via goldmansachs.com


Price Outlook: Prices have declined sharply over the past month to our previous $45/bbl forecast. Part of this was precipitated by macroeconomic concerns but in our view, it was also warranted by weak fundamentals. In line with our oversupplied outlook, we have changed our 3, 6 and 12-month WTI forecasts to $42/bbl, $40/bbl and $45/bbl.
Time spread Outlook: Time spreads should remain in contango as the market needs to incentivize storage since there is insufficient demand to absorb supply.

Image result for goldman sachs

At least they stopped calling  $20. Just 3 days left to round up the first trade.

Sunday, October 11, 2015

Energy Price Spreads

  • WTI:          $price of CL futures / 5.8;           today it  is about $8.6 
  • Nat Gas:    $price of NG futures;                  today it  is about $2.5
  • Coal:         $price  of QL futures / 19.548;    today it  is about $2        
      are paid for the same mmBTU amount of energy.
      So far coal is the cheapest source of energy  in the US.
     

Figure.  US Monthly  Oil vs Gas price spread per mmBTU .
 



  

Friday, October 9, 2015

Oil Prices vs Production

How the U.S. and OPEC Drive Oil Prices



Thursday, October 8, 2015

First Trade Updated

 Take off PUT

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price
10/8/2015 12:45  SINGLE BUY  1  CLOSE /CLX5 /LOX5 44 PUT 0.07 0.07
10/2/2015 11:06  STRADDLE  SELL -1 OPEN /CLX5 /LOX5 44 CALL 1.59 2.93


SELL -1  OPEN /CLX5 /LOX5 44 PUT 1.34 CREDIT
10/2/2015 11:04  FUTURE BUY  1  OPEN /CLX5 15-Nov
FUTURE 44.25 44.25