Thursday, July 12, 2018

#WTI #RBOB pair #trade : rolled and sold puts

Oil gasoline pair trade remains a problem child. I have rolled Simple Crack Spread from Q8 to U8 cycle.  Also, I have sold puts according to the plan outlined in the "When a pair trade goes wrong " post. As a reminder, the rolling P/L is at about -$6000; the realized profit from the closed hedges against this position is about $5300.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Crack
7/12/2018 11:42 FUT CALENDAR SELL -1 TO CLOSE /RBQ8 18-Aug FUTURE 2.0575 0.0255 MKT 16.685
BUY 1 TO OPEN /RBU8 18-Sep FUTURE 2.032 CREDIT 16.674
7/12/2018 11:42 FUT CALENDAR BUY 1 TO CLOSE /CLQ8 18-Aug FUTURE 69.73 1.06 MKT
SELL -1 TO OPEN /CLU8 18-Sep FUTURE 68.67 DEBIT
7/12/2018 11:40 SINGLE SELL -2 TO OPEN /CLU8 1/1000 SEP 18 /LOU8 65.5 PUT 1.02 1.02 LMT
The previous trades were posted live in this thread.

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