My futures trading blog

Tuesday 5th of October

S&P futures basically traded up for the whole day, only down bar on 1 hour chart was the last hour. ES gapped up 8.75 points on the open and never looked back and the successful test down at 1127 yesterday proved correct today. ES closing up 20 points on the day and now trading at the top of the recent range and have trend channel resistance at 1154.
Trading wise I was not enough long today in the futures to hedge the short calls and the portfolio fell by 2.3% on the day. Made 5.34 points on the futures side and made a series of changes to the options portfolio.
Bot back some of the 1120 puts for October exp, not worth risking a downside break and the options coming back into play, so closed some at 3.75 points.
Also bot back some Nov 1150 calls and sold 1170 and 1180. Bought back 1140 calls and sold some 1150 puts for 15 October expiration to hedge some of the negative delta I have.
To be honest I had been looking for a bit more decisive action around this 1153 level, but seem to hanging around this 1120 to 1153 range for a few weeks now.

That is all for today, take care
 
Wednesday 6th of September

Fairly tight range today in the S&P E-mini futures and we had an inside day, trading inside the previous day's range. Total range was 7.75 points.
Very little trading today and was even for the day trading wise. However as the time decay played nicely in my favor the portfolio was up 1.16% on the day.
No changes made to the options today. Nothing more to report really, everybody is looking forward to Friday's Non Farm Payrolls report at the moment and following the weak ADP number today it seems given that the number will be weak, just depends how much is priced in.
Looks like everything is highly correlated at the moment, with Gold rising as long as rates stay low (10 year US Treasury note) and Euro following Gold.

Have a nice day, take care
 
Thursday 7th of October

S&P futures spiked higher on the weekly jobless claims data and tested that 1163 key resistance level (high from 12 of May), which is the highest level after the flash crash on 6th of May. However it failed at the level and traded all the way down to 1147 in the next 3 hours, but it was no real drive in the volume on the move lower and it move back higher towards the close and closing pretty much unchanged at 1156.50. Good rally back off that 1147 and we are all looking to tomorrows payrolls.
The key resistance levels for tomorrow are 1163.50 and 1168, to the downside we have 1147 (today's low) and 1127 the key high volume area.
Trading wise the portfolio was down 0.77% on the day and the major problem was that I lost 13.50 points in the futures as I was too much long hedged on the dropped lower.
On the options portfolio I bot back the rest of the 1120 Oct 15th puts from 4.30 to 4.50 points. Also bot back some 1130 October 15th puts around 4.30 for that one as well. Bot back a tiny 1155 call for October for 10.50 points and did sell a 1150 October 15th call when we dropped lower as I was a bit too long.

That is all for now, have a nice day
 
Friday 8th of October

Good evening, will keep it very short as I am closing down for the weekend and will write a the more detailed trade report Monday.
As far as the trading today the Non Farm Payrolls was a bit of a non event.
I had expected more movement. That yesterday's low 1147 level held to the downside (day session) today and we tested that high end of the last week range at 1164 towards the close. Could not break 1164 and closed 1060.50, up 4 points on the day.
Average volume trading 1.963m in the E-mini today. The 1 hour chart looks potentially toppish.
I would like to note one thing, saw fair amount of voluming coming in on the cash close trading 89k in ES contracts on the 5 min bar, closing on the low, showing clear selling action. That is weakness and might impact Monday's overnight (Globex) session and I expect the S&P to open lower Monday in the day session then 1161.
That was the highest volume 5min bar the whole week.
See chart image: http://chart.ly/ialtcho

That is just my prediction, but what do I know?

Some key levels for next week, see this chart: http://chart.ly/xrbykdf

today's Mr Top Step: http://mrtopstep.com/category/video/

Have a great weekend everybody, take care
 
Friday 8th of October

Overall I made 1.16% on the day.
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.

That was all for today, take care
 
Tuesday 12th of October

This is for Monday 11th of October
Very slow day as we had Columbus Holiday in the US that reduced the trading activity a great deal and S&P Emini futures only traded 1.050m contracts on the day compared to the 50 day average of 1.1913m contracts.
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.

That is all for today, have a great evening
 
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Tuesday 12th of October

The ES dipped on the open and actually tested the Friday day session low at 1151.50 and when that level held on decent volume it rebounded higher and basically traded higher for the rest of the day, testing 1169 late in the session, but failed to break 1170 and fell back to close at 1164.50.
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/overnight-china-news-and-fed-weighs-on-morning-trade/

Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.

That is all for today, have a nice evening
 
Wednesday 13th of October

S&P futures (ES) gapping 7.50 points on the open and making a trading to 1181, which is the highest level since 4th of May. The next key resistance levels are 1198 and 1207 and to the downside we have 1151 and 1127 for now. Remember that we options expiratons this Friday and normally we have one down during the options expirations week.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.

That is all for now, take care.
 
Thursday 14th of October

S&P futures (ES) traded weaker from the open and then put in a strong rally in the last 45 min as market was looking for strong number from Google that reported after the bell. It closed 0.75 points lower at 1173.50 on the day, which was a good 11 points off the low.
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.

That is all for now, have a good night
 
Friday 15th of October

Wow, Google hits it out the park and the options I bot for 2.09 was sold for 26.6. More than 12 times the risk, just pure luck I have to say.
Options expirations today and we had fair amount of volume getting done trading 2.644m contracts in the S&P Emini futures(ES) today.
In (ES) the 1162.50 low from yesterday held in the opening hour and once traders realized that level would not break (after testing 1163) it shoot higher to test 1180 towards the close, making a high at 1179.
I continue to note that key resistance to the upside are 1198 and 1207 and key support are 1151 and 1127.
I lost 12.25 points in the futures as I was trading short term against both puts and calls around the 1170 and 1165 levels that I traded on intraday basis.
I made up more than for the loss in the value decline and expirations of the short options and the portfolio rose 1.63% on the day.
Would also like to remind that we had more POMO today and more on Monday as well, which have been supportive for stocks.
See NY Fed POMO schedule here:
http://www.newyorkfed.org/markets/tot_operation_schedule.html

Good basic information on how POMO works:
http://www.datadiary.com.au/2010/09...reasuries-and-the-fat-kid-who-wont-play-fair/

Here is today's Mr Topstep as well:
http://mrtopstep.com/2010/10/15/googles-gangbuster-earnings-and-options-expiration-wrestling-the-sp/

Have a nice weekend, hoping to see a fairly flat open on Monday morning and more theta (time value) flushing out the window, take care.
 
Monday 18th of October

New multi month high in the S&P futures (ES) making a high of 1182.25. However it looks like a no demand bar being a narrow up bar closing on the highs with relatively low volume, at least lower than previous 2 bars. The lower the volume is the stronger the likelihood of a no demand bar. The confirmation of the no demand bar should be a wide down bar on increasing volume within the next 2 sessions.
The key resistance levels I see are 1198 and 1207, to the downside I have 1150 and 1127. To keep it simple one can say that as long as we don't have a daily close below 1163 the outlook is bullish and for a test of 1198 to 1207. Trading wise I made 14 points in the S&P futures trading mostly to the long side. Also the volatility dropped and short options lost value and theta so at the end of the day the portfolio rose 1.79%, pretty good.
I made no adjustments to the options portfolio in the ES.
However I did an earnings play on Apple (APPL).
I bot the 22OCT expiration strike at 320 x1, sold 2x330 22OCT call and bot 1x 22OCT 340 calls, for a debit of 1.24 per contract. Need a decent up move for this structure to make money on the earnings from Apple after today's close.

That is all for now, take care.
 
Tuesday 19th of October

Good evening,
The no demand bar I talked about yesterday was indeed correct and S&P futures sold off today reaching low at 1155.50. The volume was 3.055m contracts in the ES, which is big and this year we have seen the market go higher within 2 to 3 sessions when the daily volume has been in excess of 3m contracts in volume quite a few times.
Another thing I noted was that the close was well off the lows, by 8 points, on the high volume that indicates that we had buyers stepping in, otherwise it would had no chance close that many points off the low. So watch out for a potential move back up.
See chart image: http://chart.ly/mrkpuy8
Trading wise I lost 12.50 points in the S&P futures, since I had to hedge my short calls, I was stuck a bit too long on the drop and overall I lost 0.62% on the day. However a break below 1150 would be good for the short calls and I would have then chance to sell a bit puts to decrease the negative delta I have on the options portfolio.
On options side the Apple structure I had on did not really work out as the stock didn't move higher following the earnings, but I got out with a tiny gain after paying the commissions.
On the options side I took profit on the short Nov 19th 1200 calls, buying them back for 8.25, making about 7.50 points per contract. Since the S&P can potentially move back up I had to take some profits, so I can sell that strike again if we move towards the 1180 level again. Instead I sold much smaller positions of the Nov 19th 1170 calls for 20.75 and also sold a bit 1170 calls for 22 Oct.
I still have mostly short calls and we have basically short calls from 1170 to 1190 with expirations ranging from 22 Oct to 19 Nov.
I did also sell some 1160 puts for 29 Oct, getting 10.25 for those and also sold some 1130 puts for 19th of Nov receiving 15 to 15.50 for those.
Just had to sell some downside puts in case we are not breaking lower, I cannot have too much negative delta.

Today's Mr Topstep: http://mrtopstep.com/2010/10/19/troubled-waters/

Good night, take care.
 
Wednesday 20th of October

The S&P closed at 1174.75 Wednesday and made a high of 1180, which is a 24.50 points rally from the low made yesterday. The no demand from Monday was short lived and as indicated yesterday the close off the low on the high volume indicated buying. Now looks likely we will rally and break above the Monday high of 1182.25.
So will look for more upside tomorrow and that 1182.25 is a key level, with more resistance up at 1197 and 1207.
Seen some rapid swings in the risk on and risk off over the last three sessions and we also have the G-20 meeting getting underway overnight in South Korea.
It seems like the G-20 meeting will influence currency most, so not sure it will have a major on equities.
Trading wise it was an active day and I made 3.5 points in the future on the day.
Overall I lost 0.60% on the day.
I also made quite a few changes to the options portfolio. I sold some 1150 puts for 29Oct, receiving 14.50 points, when it became clear that we were most likely to go higher. Just had to hedge some of the short delta I have from the short calls. I also bot back some of the 1170 Nov calls for 29 points and instead sold some 1200 calls for 19Nov, getting 12 points for those. I also sold some short term 1170 put expiring Friday.

Today's Mr Top Step http://mrtopstep.com/2010/10/20/cutting-to-the-chase/

That is all for today, good night
 
Thursday 21st of October

S&P futures made a new multi month high in early trading reaching 1186.25, breaking that 1182.25 high from Monday. However we got no follow through and we reversed lower. I came out on the Twitter when it was trade 1184 yesterday saying:
“not that much expansion in volume on the break above 1185 in ES, so I am not sure the breakout will extend, should have seen more buying imo”
It failed up there basically and also watch George Cavaligos on Failed Auction on Mr Top Step yesterday: http://mrtopstep.com/2010/10/21/george-cavaligos-on-failed-auction/
Talking about the lack of follow through as a weakness sign.

So make sure to follow my twitter handle to get real time information,
twitter handle is: AFtrading

Trading wise I was up 0.59% on the day. Could have been more aggressive on the downside after the failure at 1186, but technically speaking we are bullies above 1163 now, so since that level was not taken out I cannot really go that short I reckon.
I lost 16 points in the ES futures as I had to hedge the short calls even on the way down, but of course made up for the loss on the options side.
I bot back some of the 1170 puts when we tested 1185, for 1.70 to 2.25 points, which turned out well since we moved lower off that level. I always try to close out options with very little value left as any large move can come back and hurt you big time if you leave those positions on. In the options I bot back more 1170 calls for 32.50 to 33 points and sold more 1200 Nov and 1210 Nov 19th calls for 13.50 to 21.25 respectively. Also bot back some 1180 calls for Nov19 paying 24.50.
Positions wise I have now basically move the mass of my short calls higher and they are now more or less above 1190 as compared to around 1170 before. Unless 1207 is broken I will remain to look for a correction lower before we break higher.
Today's candle can be an up trust, which is weakness, making a new high on weak volume to trigger short stops and fool trader’s to buy the break, only to have both people fooled by end of the day. We still need to break below 1163 to really get excited about the downside potential.
We also have POMO tomorrow, which has been supportive for risk on and higher equities.
Pomo schedule:
http://www.newyorkfed.org/markets/tot_operation_schedule.html

That is all for today, take care
 
Friday 22nd of October

Narrow range in the S&P futures today with high to low of only 6 points. It looks like a possible no demand bar, which is a narrow up bar closing on the highs with relatively low volume and at least volume of less than previous 2 bars.
Looking at the volume it was really low, only 1.240m contracts on the Emini futures on the day compared to the 50 day average of 1.981m.
However we need to see a confirmation on this no demand bar to really get excited about the downside. So put simply we are bullish above 1175 support now with next resistance being 1198 and 1207. Key support remains 1150 and 1127.
Today I did mostly short term trading around the daily options with intra day trading of the 1180 puts and calls and 1175 puts, was quite a few trades, so a bit too much to write down every single trade, but overall I made 0.90% on the day.
I made no changes to the longer term options portfolio.
I remain long in the futures to hedge the short calls from 1170 to 1210 at the moment.
My plan is to extract more theta (time value) out of the long calls over the weekend probably volatility will drop a bit more too.
Then I plan to make some major changes to the portfolio Monday as I suspect that volatility will start to rise next week as we get ready for the FOMC following week.
The idea is to scale back start of the week and don't have that many positions on when we approach end of the week as the volatility is likely to rise.
G-20 is of course an event risk over the weekend as well.

Today's Mr. Top Step: http://mrtopstep.com/2010/10/22/thin-market-with-range-trading/

That is all for now, have a nice weekend
 
Monday 25th of October

We did not get any down move to confirm the no demand bar on Friday, but I do note down that we have the no demand bar in the background and in fact today's bar looks like and uptrust making a new multi month high and the close was more than 11 points of the high at 1193, closing at 1182.75. To close that far off the high indicates selling otherwise it is no way it would close that far off the highs.
This weakness that I also pay attention to, but purely technically we have the bullish trend intact as long as we don’t have a daily close below 1175.
S&P futures chart: http://chart.ly/98pdssp

As I mentioned Friday I would make some major changes to the options portfolio in the start of this week and indeed I did quite a bit today.
ES gapped up a bit today, which was not optimal since I have to close off the short calls a bit higher then I really wanted, but in return I got a bit more for the calls I sold and I was long the futures, so all in all worked out rather well.
Basically as I think the volatility will rise going into Friday's US advance GDP and next week's FOMC decision I bot back many options today.
Overall the portfolio declined 0,32% on the day as I not enough long in the futures to compensate for the short calls I have on.
I bot back some of most of the 1180 November calls 27 to 28. I also bot back 1190 November calls and sold some 1210 December calls, for a net zero. selling the 1210 Dec for around 21.50 and buying the 1190 Nov calls for 21.50.
I also took home 34.50 points in the Futures on the day, of course some of it from long hedges over last sessions. I also bot back the short 1160 puts for Friday (29 Oct) as the value was 1.50 points it was no point keeping them. In case we dropped lower and they would come back into play I would regret big time if I had not taken them off for 1.50. I did sell a small portion of 1150 puts for November 19th just as a bit of hedge against the calls now mainly sitting above 1200 and up. I also see that 1150 as a key support level. If we have a daily close below 1150 we could head much lower, so since I view that as a key level it make sense to have something on at that level as well. I am still heavily short delta and hedging via trading long in the futures. We are approaching key 1198 and 1207 resistance levels and would expect a correction lower. The only problem is that basically everybody is looking for a move lower and most are way underinvested in stocks, so that is a good enough reason to go higher.

That is all for now, have a nice day
 
14th of June recap

The S&P made the bounce I was looking and I mentioned in today's market report that I think the low yesterday will hold for the rest of the week. I stick to this prediction. Next key level is the Thursday high at 1288.50, followed by last week's high at 1292.75.

The gap in the US 10 Year at 124'04 was finally filled. I have had this down move on the agenda over the last week. Next downside target is 123'20


Corn sold off after it failed to take out 800 last week. The weather forecast for the next 10 days has improved and USDA raised its weekly good to excellent rating to 69% from 67%. It filled the gap at 766 that I had as the downside objective after the selling interest emerged Friday (up bar that closed way off the highs, actually in the lower half of the bar). There has to be good amount of selling to knock down the price that much after making a new high. We have Fibonacci retracement at 747 1/2 as support and we have the rising support at 748. Might be interesting to look to trade long tomorrow for a bounce higher? Will have a fresh look tomorrow when we open, but looking at the chart now it looks interesting to buy dips tomorrow.


Last chart I want to mention is the Live Cattle. It looks like it is trying to bottom out and today's up bar on increased volume looks bullish. First objective is the 23,6% Fibonacci retracement of the recent down move from 122 to 102.
 
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Trading recap 14th of Jun

Trading wise, I held 2 trades overnight, Euro short and crude long. The Euro was stopped out and the Crude long worked out well.
I did 7 trades (round turns) on the day(including the 2 trades kept overnight) and the result was 492 USD profit on the 50 000 model account, which is 0.985% on the day. I am still holding the Euro structure that I put on today, which was buying 1x future at 1.4409 and selling 2x the 1.4450 calls (CME options) for expiration 17 Jun (Friday). The big contributor today was Crude oil, which gave me 612,50 USD in profit on the day. Remember that you can follow the trades live over my Twitter account.
You can see full list of trades under this link:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/tradinglogtwitter.xlsx
 
16th of June recap

Good day in the futures today, showing 1550 USD gain in the delta one trading, with all trades being winners. Still have a Euro and crude structure that I will keep overnight.

Perfect inside day in Crude for range trading and it treated me well playing the 94,60 to 95.30 range 7 times duting today's session. All were winners, so good thing.
Looking at the Crude oil chart it looks like yesterday could actually be a false break down. We will get the answer tomorrow most likley. The above average volume yesterday, do signal a potential reveral. Remember that the reversals normally take place on excessive volume days. It traded 323k contracts yesterday, by far the highest volume day over the last month.

Quite hectic day with another sell off in the Euro and Corn. S&P was very choppy and took out the key support at 1259, but found support down at 1252 and rallied into the close, which should open for a move close the gap up at 1277.50 from Tuesday.
See S&P 500 emini chart below. The average true range for the last 9 sessions is 16.9 points. We traded 2.478m contracts today, which is good amount, we have seen several reversals on days with 2,5m or more contracts traded. Yesterday had 2,7m contracts traded.

I was looking for Corn to bounce today as the gap down at 721 was filled, but it continued to tank and is down close to 100 points the last week, wow. The volume has also increased on the sell off and we have closed at the very bottom of the daily range 3 days in a row, which signals that smart money has been selling in force. Next key support is 686 now, the rising support from the March low.
 
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