Euro

El QQQQ sigue su insana suba y hay un bebe en camino, solo queda jugar con el Euro, que se mantiene en un rango entre 1.3410 y 1.3500. Desde aquí, 1.3450 vendemos con la esperanza de sacar algunos pips para los pañales.

Euro

Posición cerrada y a comprar las entradas para Piratas del Caribe ...

Euro

Mi hijo desea ver Piratas del Caribe 3, así que vendemos Euro en 1.3448 para poder pagar la entrada.

Cerrando posicion en el EURO

Hermosa caída del Euro, y pareciera que puede andar algo mas, pero mas vale la seguridad de algunos dolares en el bolsillo para comprarle la play al nene, cerramos en 1.3452.

Vendiendo el EURO

Mientras espero la retrasada corrección en QQQQ, ganamos unos pocos dolares en el mercado Forex, vendiendo a 1.3484.

QQQQ y la pauta de volumen

Para cuando la corrección? No debería faltar mucho, el volume flow indicator muestra una clara divergencia, ya sea tomando el gráfico semanal o diario.

Boca Juniors - Por otra alegria

Contra Libertad de Paraguay ...

Finalmente llovera?

Algunos indicios parecen así confirmarlo. Lo cierto es que hoy, mis QQQQ puts estuvieron de fiesta. Que no falle el pronostico esta ves, aunque vale la pena recordar que en este nivel de mercado, cada día de suba es mas riesgoso.

VIX

El CBOE SP 500 Volatility Index, comparandolo con el índice DJI, muestra una interesante divergencia, señalada con una linea verde en el gráfico: a pesar que el DJI sigue subiendo, el VIX va aumentando lentamente. Preludio?

Esperar o cambiar

Mis QQQQ Puts 46 May siguen perdiendo dolares. Esperar o cambiar a Puts 45 Jun?

Otro dia mas ...

Y todo para arriba, a excepción del DJI. Hoy cometí un error, cerré la posición en RUT y cargue QQQQ Puts. A todo o nada. La nube en QQQQ esta desdibujada, pero la pauta de volumen y el comportamiento del día de hoy parecen indicar bearish time en el horizonte. Veremos.

Hasta cuando la burbuja?

Sigue subiendo, mis posiciones en RUT y QQQQ, ambas con Puts, estan perdiendo dolares.

Estrategia Actual

La Doble calendar en RUT (Russell 2000 Index):

+ 1 Jun 800 Put

+ 1 Jun 850 Call

- 1 May 800 Put

- 1 May 850 Put

Se vendió hace tres días el Calendar + 1 Jun 850 Call - 1 May 850 Call, quedando actualmente con + 1 Jun 800 Put, ya que el - 1 May 800 Put queda anulado por el vencimiento de hoy. La idea es vender los Puts de Junio lunes o martes, especulando con una baja del índice RUT. Todo sea por ganar unos dolares mas ... Supongo que el martes/miercoles estare entrando con una nueva estrategia.

Iron Condor

Otra estrategia, neutral, explicada en un chat por Tom Preston en http://www.thinkorswim.com.

Tom Preston: Iron condor basics

Iron condors are the classic, market neutral, positive time decay, defined risk strategy. They’re used when you think that a stock or index won't move very much, or will at least stay within a range, by a particular expiration. An iron condor is made up of a short call vertical with strikes above the current index price and a short put vertical with strikes below the current index price. For example, if you’re looking at SPY at 141, an iron condor would be long a 139 put, short a 140 put, short a 142 call and long a 143 call. The long 139 put and short 140 put make up a short 139/140 put vertical, and the short 142 call and long 143 call make up a short 142/143 call vertical. An iron condor may be made up of a short call vertical and short put vertical, but it can be executed as one order on the thinkorswim software. On the Trade page, right click on the bid or ask of the 142 call, select “sell”, then “iron condor”. That will load up an iron condor with strikes adjacent to the strike of the call you originally clicked on. But you can adjust those strikes in the order entry section to create the iron condor with the strike you want.

Tom Preston: When you sell an iron condor, you take in a credit because you’re selling a call vertical and a put vertical. The way an iron condor makes money is when the index is between the strike prices of the short options at expiration (in this case 140 and 142), when both short verticals will expire worthless. That means the iron condor expires worthless, and you keep the credit you received when you executed the trade. The max profit for an iron condor, then, is the credit you received. The iron condor loses when the index moves beyond the short strikes at expiration. The maximum you can lose on an iron condor is the difference between the strikes of either the call or put vertical, minus the credit you received. So, if you sell a 139/140/142/143 iron condor for .40 credit, the most you can make is .40 and the most you can lose is .60. An iron condor’s value erodes over time, which is the effect of time decay. Because you are “short” the iron condor, that erosion works in your favor. But the erosion happens faster the closer you are to expiration.

Tom Preston: Iron condors are a very good example of how reward is balanced with risk. The value of an iron condor is related directly to probability that the stock or index will expire between the short strikes and make the iron condor worthless. The higher the likelihood that the iron condor will expire worthless, the cheaper it is and the smaller the credit you will receive for selling it. The higher the likelihood that the iron condor will NOT expire worthless, the more expensive it is the bigger the credit you will receive for selling it. You can see this by looking at the credits for iron condors with narrower and wider ranges between the short strikes. The narrower the difference between the strikes of the short calls and puts, the larger the credit for the iron condor, but the larger the probability that the index could go beyond the short strikes. The wider the difference between the short strikes, the cheaper the iron condor but the lower the probability that the index will go beyond the short strikes. Because of this, there is no “best” iron condor. They all balance risk, reward and probability.

The probability that an index will stay in between the strike prices of the short options depends on volatility and time. The lower the volatility or less time to expiration, the more likely the index will stay in between the short strikes of the iron condor. That's why higher volatility increases the credits of iron condors. The higher volatility creates higher risk of going outside the short strikes, which is compensated by the higher credit of the iron condor.

Tom Preston: In general, I prefer index products over individual stocks for iron condor trades. That’s because stocks can have sudden, large price spikes up or down that can wipe out iron condors. There is too much unsystematic risk in stocks to make me comfortable with iron condors. Tom Preston: Because I consider iron condors a good representative for market neutral strategies overall, I am conducting an experiment in my Monkey Brains blog (http://www.thinkorswim.com/tos/displayBlog.tos;jsessionid=93D2152D7759C5E2B22671888602261F.www2_tos0) between long shares of SPY and short SPX iron condors. The experiment compares buying and holding 79 shares of SPY bought last August, with selling 5 point SPX iron condors with one month to expiration for 1.00 credit and letting them go until expiration. After nearly 6 months, the iron condors are underperforming the buy and hold SPY due to the strong rally in the market. But the SPY has had flat performance for the past few weeks, and the iron condors are catching up. The purpose of the experiment is to see in real time how the typical long stock investment compares to a “market neutral” investment.

Aun sin lluvia

Según la teoría de la nube, en el QQQQ se estaría formando gorda, pero todavía no llueve!!! Y eso cuesta $$$ cuando se tienen muchos puts ...

QQQQ

Comenzaran a pagar los Puts a partir de ahora? (QQQQ) sobre la media de 21 y queriendo revertir, se mantiene el numero mágico a perforar: 45.66

Estrategia Actual - Doble Calendar en RUT

La Doble calendar en RUT (Russell 2000 Index):

+ 1 Jun 800 Put
+ 1 Jun 850 Call
- 1 May 800 Put
- 1 May 850 Put

Al cierre de hoy tiene un valor de 14.40 por posición (abierta a 13.05), según el Gráfico P/L, (linea blanca la ganancia al día de la fecha y la linea verde la posible ganancia o perdida al 18 de Mayo), contendría un lindo movimiento del índice para cualquier lado, veremos que pasa mañana.

Double Diagonal - Doble Diagonal, lo basico a saber

Transcribo un archivo de chat de Tom Preston sobre esta estrategia (mi preferida, practicamente igual a la Doble Calendar). Para aquellos interesados en opciones, es imposible no visitar http://www.thinkorswim.com (el mejor broker, por lejos) y husmear un poco en su archivo de chat, imperdible.

Jan. 17, 2007 Double Diagonal Basics hosted by Tom Preston

Last week, we talked about iron condors as a market neutral, positive time decay, defined risk trading strategy that can be used if you think a stock or index won’t move much or stay within a certain range.

A double diagonal is much like an iron condor in that it has the same characteristics, but it has its short options in a closer expiration month and its long options in a further expiration month. That is, an iron condor in the SPY could be long a Feb 141 put, short a Feb 142 put, short a Feb 144 call and long a Feb 145 call. A double diagonal would be short a Feb 142 put and 144 call, and long a March 141 put and 145 call. An easy way to think about it is that a double diagonal is short a strangle in the front month, and long a strangle in the back month at wider strikes.

On the TOS software, you can do a double diagonal as one trade by right clicking on either the bid or ask of the Feb 144 call, selecting “Buy”, then double diagonal. That loads up a double diagonal based on the adjacent strikes, but you can adjust them in the order entry section.
Because you’re selling front month options and buying back month options, you may pay a debit or receive a credit when you put the trade on. It depends on the extrinsic value of each option, which in turn depends on the implied volatility of the options and the amount of time between the front and back months, as well as the distance between the strikes of the long and short options.

Like an iron condor, a double diagonal loses money when the index moves beyond the short strikes at expiration. The maximum you can lose on a double diagonal is the difference between the strikes of either the call or put side, minus the credit you received or plus the debit you paid. So, if you buy a Feb 142/144, Mar 141/145 double diagonal for .90 debit, the max you can lose is 1.90. The way a double diagonal makes money is when the front month short options erode from time decay, and you can buy them back and sell out the same strike options in the next expiration month. This is called a “roll”, and generates a credit. As you roll the short front month options forward to the next month, you will wind up with an iron condor in the back month, with the strikes at the same strikes of the double diagonal. The credit that you have the iron condor on for is determined by the net credits you received for the rolls, minus any debit you might have paid for the double diagonal.

Because the credits are the potential profit of the double diagonal, it’s important to understand how the roll is calculated. The main thing to remember is that the credit for a roll is maximized when the stock or index is right at the short strike price at expiration. At that point, the short front month option is worthless and the next expiration month option (which is at the money because the stock is right at the strike price) has the highest extrinsic value. Theoretically then, you buy the front month option back for 0.00 and sell the next expiration option at its highest value. So, any time the stock or index is not right at the short strike price or any time you look at the roll before expiration, the roll will be something less than that maximum possible amount.

For a double diagonal, you would sell calendar spreads to roll the front month options to the back month, or you could do a strangle swap that would buy the front month strangle and sell the back month strangle in one trade. I think it’s easier to use calendar spreads to calculate roll values, though. You can use the Theo Price column on the TRADE page. To get there, go to the Information Layout menus in the upper right hand corner of the TRADE page, click on the blue arrows on either one of the menu choices and select “Theo Price” from the drop down menu. What that does is open up the Theo Price of the options in column, as well as three controls (Date, Stock Adjust and Vol Adjust) at the top of the option quote section.

The next step is to click on where it says “Single” at the top of the option quotes section and select “Calendar” from the drop down menu. That will let you see the theoretical values of the calendar spreads with adjacent expiration months. Right now, you’d see calendars for Jan/Feb, which makes the job of evaluating roll values easier because Jan is almost at expiration. You can advance the date in the date field closer to Jan expiration, and use the Stock Adjust field to put in an amount that would change the current index price to the value of one of the short strikes in the double diagonal. Doing that would make the theo value of the roll its max value. Keep in
mind that if the index is closer to the call strike roll, the put roll of the double diagonal will be cheaper, and vice versa.

Once you estimate the value of a one month roll for the short call and put, you add them together (because you can roll both calls and puts at the same time) you multiply those values by the number of rolling opportunities in the double diagonal. That’s the difference between the months. For example, a Feb/Mar double diagonal would have 1 roll. A Feb/April double diagonal would have 2 rolls. Also like iron condors, I prefer index products over stocks because they have too much risk of a big, sudden move. With that in mind, many new traders look for scenarios where the front month options have a much higher implied volatility than the back month options. That can create a double diagonal that can be done for a very small debit, or even a credit. On the surface, this seems very attractive. But the high front month implied vol usually means there is some news coming out that could drive the price of the stock sharply higher or lower, either of which can kill a double diagonal. If a stock does move beyond the shorts strikes, the only salvation of a double diagonal is that you have until the back month expiration for the stock to come back into the profitable range of the position. But even then, if you can’t roll the front month options for enough credit, the potential profit is very low.

NZD/USD

Perdimos 50 Pips desde el viernes, pero aun no cerramos la posicion, el MACD en compresion semanal sigue hacia abajo ...

QQQQ

Mantengo la postura bear en (QQQQ), a 20 minutos del cierre el volumen negociado equivale a la mitad de la baja de ayer.

Con respecto a la estrategia mantenida en (RUT) - Doble Diagonal, se encuentra en 14.10 el valor de cada posicion. Esperemos que mejore la semana que viene (la del vencimiento de opciones en Mayo).

Ahora a descansar ...

Me olvidaba: estoy vendido a partir de hoy en el NZD contra USD (dolar neozelandes contra dolar americano): 0.7334

Hello in there

Imperdible y necesario, Natalie Merchant y Michael Stipe cantando Hello in there ... Para esperar un dia bear y mas dolares en mi cuenta.

QQQQ

Todo un numero: 45.66

Comfortably Numb

Para comenzar relajado el día ...

Boca Juniors

Algunas ganancias me permiten asistir al juego de esta noche, por otra alegria mas !!!!!! Y para olvidarme por un rato de la tasa de interes a ser anunciada hoy ...

CTSH

Me gusta para cargar algunos Puts, esta cotizando ahora a 79.77.

NZD/USD - DOW

Una curiosidad extraida de tradertim.blogspot.com (un blog hiper bear), la relacion desde mediados del 2006 entre el dolar neozelandes y el Dow. El NZD se encuentra en un doble techo y espero una confirmacion para shortearlo, cada ves cuesta mas ganarse la milanesa con papafritas.

QQQQ

Prematuro aun, pero en compresion de 120 minutos esta buscando una corrección.

Estrategia Actual

Al día de la fecha, mantenemos una Double Calendar en RUT (Russell 2000 Index), de acuerdo a lo siguiente:

+ 1 Jun 800 Put

+ 1 Jun 850 Call

- 1 May 800 Put

- 1 May 850 Put

Esta posición, abierta a 13.05 hace 25 días, presenta hoy un valor de 14.40. La idea es cerrarla antes del vencimiento de Mayo (día 18), a ver si le podemos sacar unos dolares mas. Aquí se muestra el Gráfico P/L, mostrando la linea blanca la ganancia al día de la fecha y la linea verde la posible ganancia o perdida al 18 de Mayo.