Global Options Trades

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I have decided to publish the results of my trading as I am proud of the performance that I am achieving.

A few points to address immediate questions follow.

Background

• Professional Financial Analyst who took an interest in options whilst at University and began trading them (unsuccessfully) during my twenties.
• Studied volatility, hedging and margin management to arrive at the strategy that I am trading now.

Trading

• Swing trading and volatility trading, from long options positions on a range of stock indices, currencies and commodities including SPX, DAX, Nikkei225, FTSE100, AUDUSD, and oil
• Trading decisions are purely technical.
• Looked at intraday timeframes, and decided that whilst profits may be greater with fully-automated trading on shorter timeframes, daily timeframes align my trading style and the securities being traded.
• Average duration is 20 to 40 days across the range of securities over the last 20 years.

Performance

• Backtesting 20 years to June 2016
• Paper trading June 2016 to June 2018
• Actual trading since June 2018

Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading)

Notes, disclaimers, caveats

• Performance figures are calculated by (closing price less opening price) divided by opening price. This seems to be the most transparent method.
• Performance figures do not take into account commission, which at c.0.1% can be significant for high-frequency trading but has negligible impact here.
• Backtested performance figures do not take into account bid-offer spread, as trades are inside the spread. NB trading via a spreadbetting account would incur the full cost of the spread.
• Allocation of funds to a particular strategy is for an individual investor to decide, based on several factors including appetite for risk and correlation to other investments. For example allocating 10% of Funds Under Management to this strategy requires performance figures to be divided by 10.
• Backtesting does not include Out-of-the-Money trades, which I will incorporate in due course, and which will be accretive to returns.
• Backtesting does not include occasionally closing losing trades and re-entering the position later - this functionality exceeded my backtesting capabilities - but paper trading and actual trading includes this activity and it is accretive to returns.
• Nothing I say should be taken as investment advice. It is information only.

 

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Backtesting results attached.

If possible, I'll put live trades on a Google Sheets spreadsheet and embed it here.

 

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Actual Trades closed during July to October 2018

The attached spreadsheet shows 37 round-trip trades over the last four months, with average P&L of 50%.

Column AD shows indicative average monthly P&L over rolling three-month period in USD at Friday's exchange rate, if trade size had been one contract for each security. For full transparency there is no compounding. It fluctuates between USD5900 and USD17,200.

 

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Open Positions today

Mainly underwater at this stage, with the exception of AUDUSD options.

Expiry dates range from 09 November to 14 December.

None of the long positions have fallen far enough to decisively close out and await a better re-entry at this point. As can be seen from the historic/closed/round-trip Trade log that I attached, 4 out of 37 trades resulted in a total loss of premium paid, with profits on the 18 winning trades significantly exceeding losses within the portfolio.

Feedback and constructive criticism welcomed.

 

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A few trades to report:

Security / Ticker: AUD
Trade Date: 09 November 2018
Trade: Sell to Close
Expiry Date: 07 December 2018
At the Money / Out of the Money AtM
Exercise Price: 0.71
Direction: Call
Opening Price 0.00886
Trade Price: 0.0164
Roundtrip P&L 85.1%

Security / Ticker: AUD
Trade Date: 12 November 2018
Trade: Sell to Close
Expiry Date: 07 December 2018
At the Money / Out of the Money OotM
Exercise Price: 0.74
Direction: Call
Opening Price 0.00184
Trade Price: 0.0017
Roundtrip P&L -7.5%

These were shown in the Open positions spreadsheet circulated last week.

Rolling monthly P&L assuming contrac size of 1 lot, with no compounding is USD8303.

 

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Thinking about presenting trade information in the most transparent and easily digestible format.

I can't find a way of embedding a google spreadsheet within the thread - but would be grateful if anybody can show me how to.

Do you prefer to open an attached excel spreadsheet, or do you prefer to read trade info as text per my previous message?

 

[Trading Spaces]

Options group meeting West London
We have an options group meeting every month that meets for lunch followed by a 3 hour meeting with an agenda covering topics of interest and members trades.
The group has been meeting regularly for some 18+ years, not far from Sudbury Town underground station and with free parking at our venue.
There are about 20 members and a dozen or so are regulars with some private email group chatter in between meetings
If any members of this forum are interested in coming along either for this months meeting of for following meetings please let me know on [email protected].

 

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Thanks. Email sent.

 

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Opened long positions in Oil yesterday.

Security / Ticker: CL
Trade Date: 12 November 2018
Trade: Buy to Open
Expiry Date: 14 December 2018
At the Money / Out of the Money AtM
Exercise Price: 61.00
Direction: Call
Opening Price 2.39
Closing Price: 0
Roundtrip P&L 0.0%


Security / Ticker: CL
Trade Date: 12 November 2018
Trade: Buy to Open
Expiry Date: 14 December 2018
At the Money / Out of the Money OotM
Exercise Price: 66.50
Direction: Call
Opening Price 0.67
Closing Price: 0
Roundtrip P&L 0.0%


OotM AUD 09 Nov 18 .755 Calls expired at nil value.

 

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Long oil position was not so clever! Closed At the Money position at a loss.

Security / Ticker: CL
Trade Date: 12 November 2018
Trade: Buy to Open
Expiry Date: 14 December 2018
At the Money / Out of the Money: AtM
Exercise Price: 61.00
Direction: Call
Opening Price: 2.39
Closing Price: 1.33
Roundtrip P&L -44.2%

One advantage of trading options over the underlying is that downside exposure is limited to the price of the option. Yesterday, crude oil (Ticker: CL) fell by USD3.25 or 5.5%. As volatility increased, the AtM option purchased on Monday fell by USD1.06.

Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD7825.

 

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Options expired on Friday 16 November Out of the Money with nil value.

The effect was to reduce rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding to USD4960.

 

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Opened Straddle on DAX today.

Security / Ticker: DAX
Trade Date: 19 November 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 11,200
Direction: Straddle
Opening Price 618.96

 

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Opened At the Money and Out of the Money Long Positions on FTSE:

Security / Ticker: FTSE
Trade Date: 21 November 2018
Trade: Buy to Open
Expiry Date: 21 December 2018
At the Money / Out of the Money: AtM
Exercise Price: 7,050
Direction: Call
Opening Price 95.0


Security / Ticker: FTSE
Trade Date: 21 November 2018
Trade: Buy to Open
Expiry Date: 21 December 2018
At the Money / Out of the Money: OotM
Exercise Price: 7,300
Direction: Call
Opening Price 18.70

 

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Opened At the Money and Out of the Money Long Positions on DAX yesterday:

Security / Ticker: DAX
Trade Date: 26 November 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 11,250
Direction: Call
Opening Price 261


Security / Ticker: DAX
Trade Date: 26 November 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: OotM
Exercise Price: 11,950.00
Direction: Call
Opening Price 55

 

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Opened At the Money and Out of the Money Long Positions on S&P500 yesterday:

Security / Ticker: ES
Trade Date: 26 November 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,670
Direction: Call
Opening Price 64.58


Security / Ticker: ES
Trade Date: 26 November 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,770.00
Direction: Call
Opening Price 24.80

 

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Opened At the Money and Out of the Money Long Positions on Oil yesterday. Hopefully, this will prove to be a better entry point for a long position over the next few weeks.

Security / Ticker: CL
Trade Date: 26 November 2018
Trade: Buy to Open
Expiry Date: 16 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 52.00
Direction: Call
Opening Price 3.55

Security / Ticker: CL
Trade Date: 26 November 2018
Trade: Buy to Open
Expiry Date: 16 January 2019
At the Money / Out of the Money: OotM
Exercise Price: 57.00
Direction: Call
Opening Price 1.79

I'm nervous about spending so much on the Out of the Money 57 Calls, (usually spending less than USD1000 per contract) but its obviously a function of the recent volatility.

 

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Its been a busy week! Catching up last few trades.

Bought a straddle on AUDUSD.

Security / Ticker:AUD
Trade Date:27 November 2018
Trade:Buy to Open
Expiry Date:04 January 2019
At the Money / Out of the Money:AtM
Exercise Price: 0.73
Direction:Straddle
Opening Price 0.0165

 

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Closed out ES Calls at a profit.

Security / Ticker:SPX
Open Trade Date:26 November 2018
Trade:Sell to Close
Expiry Date:18 January 2019
At the Money / Out of the Money:AtM
Exercise Price: 2,670
Direction:Call
Opening Price 64.58
Close Trade Date:04 December 2018
Closing Price: 84.75
Roundtrip P&L31.2%

Security / Ticker:SPX
Trade Date:26 November 2018
Trade:Sell to Close
Expiry Date:18 January 2019
At the Money / Out of the Money:OotM
Exercise Price: 2,770
Direction:Call
Opening Price 24.80
Close Trade Date:04 December 2018
Closing Price: 39.35
Roundtrip P&L58.7%

Closed out long Nikkei position, too.

Security / Ticker: N225
Open Trade Date: 16 October 2018
Trade: Sell to Close
Expiry Date: 13 December 2018
At the Money / Out of the Money: AtM
Exercise Price: 23,000
Direction: Call
Opening Price: 629.24
Close Trade Date: 04 December 2018
Closing Price: 3.78
Roundtrip P&L: -99.4%

Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD735.

 

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Closed AtM calls on FTSE and DAX at a loss.

Security / Ticker: FTSE
Open Trade Date: 21 November 2018
Trade: Sell to Close
Expiry Date: 21 December 2018
At the Money / Out of the Money: AtM
Exercise Price: 7,050
Direction: Call
Opening Price: 95.0
Close Trade Date: 05 December 2018
Closing Price: 29.0
Roundtrip P&L: -69.5%

Security / Ticker: DAX
Open Trade Date: 25 November 2018
Trade: Sell to Close
Expiry Date: 18 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 11,250
Direction: Call
Opening Price: 261.5
Close Trade Date: 05 December 2018
Closing Price: 217.7
Roundtrip P&L: -16.8%

In each case, Out of the Money calls are deemed worthless and remain open.

Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is reduced to USD564.

 

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Opened short positions on SPX and Nikkei225.

Security / Ticker: SPX
Open Trade Date: 04 December 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,700
Direction: Put
Opening Price: 59.05

Security / Ticker: SPX
Open Trade Date: 04 December 2018
Trade: Buy to Open
Expiry Date: 18 January 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,600
Direction: Put
Opening Price: 25.1

Security / Ticker: N225
Open Trade Date: 04 December 2018
Trade: Buy to Open
Expiry Date: 10 January 2019
At the Money / Out of the Money: AtM
Exercise Price: 21,625
Direction: Put
Opening Price: 433.5

Security / Ticker: N225
Open Trade Date: 04 December 2018
Trade: Buy to Open
Expiry Date: 10 January 2019
At the Money / Out of the Money: OotM
Exercise Price: 20,125
Direction: Put
Opening Price: 105.0