Reprise - Watch HowardCohodas Trade Index Options Credit Spreads

[HowardCohodas]

Welcome to the reprise of my Index Options Credit Spreads Journal.

Contents to include:

1. Elements of my strategy
2. • Answers to questions/comments received via PM
   • Answers to questions/comments I've seen in other threads
   • Answers to questions/comments from other forums
3. Trading Plans before the market opens
4. Trading summary after the market closes
5. Journal entries including errors, failures, and general commentary
6. Stuff I haven't thought of yet.

 

[HowardCohodas]

18 JAN 2010 Trading Plan

18 JAN 2010 Trading Plan

Opportunity - Takeoffs are optional
Column: IC
Spread #61 is unpaired. Opportunity to form an Iron Condor.

Column: Spread P/L
Spreads #50, #77, and #69 at more than 80% of capped profit.
Within 5 days of expiration, no opportunity to roll.
Future version of Dashboard will not highlight this column when there are 5 or less days to expiration.
Spreads #69, #58, and #61 at more than 80% of capped profit. Opportunity to roll.


Jeopardy - Landings are mandatory
Column: Probability of Touching
Spread #35 shows at 27% PoT. The overnight futures show a large decline in the index. None the less, this spread should be watched carefully.
Future version will highlight PoT over 10% in last 5 days of trading.

Column: Days Until Expiration
Six spreads are 2 days from expiration.

Column: At Risk P/L
No caution indications.

New Opportunity
None

 

[HowardCohodas]

18 JAN 2011 Trading Summary

18 JAN 2011 Trading Summary

A roll was executed within Iron Condor #22 by closing PUT spread #58 and opening PUT spread #79 which is closer to the NDX price. Notice that the PoT at the close of trading today of spread #79 is 16% and I received a credit of $2.00 which will provide a capped return of 8.7%. Both of these key selection criteria are met by the spread we rolled to in the same fashion as when spreads are first entered in a new series (expiration date).

 

[HowardCohodas]

19 JAN 2010 Trading Plan

19 JAN 2010 Trading Plan

Opportunity - Takeoffs are optional
Column: IC
Spread #61 is unpaired. Opportunity to form an Iron Condor.

Column: Spread P/L
Spreads #69, #59, and #61 at more than 80% of capped profit. Opportunity to roll.


Jeopardy - Landings are mandatory
Column: Probability of Touching
Spread #35 shows at 24% PoT. With only 1 day until expiration, it looks likely this spread will be closed, perhaps at a loss.

Column: Days Until Expiration
Six spreads are 1 day from expiration.

Column: At Risk P/L
No caution indications.

New Opportunity
None

_________________________________________________
Questions or comments, PM or post here​

 

[HowardCohodas]

A poster in another forum where I post my trading journal has successfully resurrected an idea I had late last summer but did not test thoroughly. That is, rather than waiting to bail out on a spread once it reached 20% loss, to use PoT and roll the losing side.

This should be interesting.

_________________________________________________
Questions or comments, PM or post here​

 

[HowardCohodas]

20 JAN 2010 Trading Plan

20 JAN 2010 Trading Plan

Opportunity - Takeoffs are optional
Column: IC
Spread #61 is unpaired. Opportunity to form an Iron Condor.

Column: Spread P/L
No roll opportunities

Jeopardy - Landings are mandatory
Column: Probability of Touching
All spreads expiring tomorrow show less then 5% PoT. Overnight futures show little change expected. None the less these will be monitored near the end of trading today to make the final decision of closing them or letting them expire.

Column: Days Until Expiration
Six spreads are in their last day of trading.

Column: At Risk P/L
No caution indications.

New Opportunity
Weeklies become available today

_________________________________________________
Questions or comments, PM or post here​

 

[HowardCohodas]

21 JAN 2010 Trading Plan

21 JAN 2010 Trading Plan

Opportunity - Takeoffs are optional
Column: IC
Spread #61 is unpaired. Opportunity to form an Iron Condor.

Column: Spread P/L
Roll opportunities:
Spread #65

Jeopardy - Landings are mandatory
Column: Probability of Touching
No cautions. No warnings

Column: Days Until Expiration
No cautions. No warnings

Column: At Risk P/L
No cautions. No warnings

New Opportunity
Funds will be released from quarantine today.

_____________________________
Questions or comments, PM or post here​

 

[HowardCohodas]

21 JAN 2010 Expiration Report

21 JAN 2010 Expiration Report

NDX Iron Condor 15 - Yield 63.8%
   35   CALL   4.2%   Expired
   33   PUT    8.1%   Rolled
   48   PUT    7.6%   Rolled
   52   PUT    1.0%   Closed - Error in entering spread
   64   PUT    5.3%   Rolled
   70   PUT    5.9%   Rolled
   74   PUT    5.6%   Rolled
   78   PUT    4.1%   Expired

RUT Iron Condor 16 - Yield 30.5%
   50   CALL   4.2%   Expired
   34   PUT    8.0%   Rolled
   55   PUT    6.6%   Rolled
   77   PUT    4.1%   Expired

SPX Iron Condor 17 - Yield 26.6%
   53   CALL   3.6%   Expired
   36   PUT    7.7%   Rolled
   69   PUT    7.5%   Expired

Total closed spreads:       72
Profitable spreads:         68
Average profit per spread: 6.0%
Unprofitable spreads:        4
Average loss per spread:   9.3%

Percentage Profitable:      94%
Average Life (Days)         19

How were spreads closed?
Rolled spreads:             25
Exited spreads (last day):   9
Expired spreads:            38

Total closed Iron Condors:         20
Profitable Iron Condors:           19
Average profit per Iron Condors: 22.9%
Unprofitable Iron Condors:          1
Average loss per Iron Condors:   20.3%

_____________________________
Questions or comments, PM or post here​

 

[HowardCohodas]

31 JAN 2010 Trading Plan

31 JAN 2010 Trading Plan

Opportunity - Takeoffs are optional
Column: IC - Opportunity to form an Iron Condor
Spread #61 and 89 are unpaired.

Column: Spread P/L - Opportunity to roll
Spreads #63, #65, and #80 at more than 80% of capped profit.

Jeopardy - Landings are mandatory
Column: Probability of Touching
PUT spreads 79, 90, 88 & 89 exceed 40% PoT. The overnight futures indicate a modest increase at opening, therefore each of the PUT spreads above should improve relative to PoT. The spreads will be reviewed at market opening and periodically during the day.

Column: Days Until Expiration
Two spreads are 3 days from expiration.

Column: At Risk P/L
PUT spreads 79, 90, 88, 89 & 83 are loss positions. Same procedures as outlined above for PoT

New Opportunity
None

 

[HowardCohodas]

31 JAN 2011 Trading Summary

31 JAN 2011 Trading Summary

New Spreads: 94, 95.

 

[HowardCohodas]

 

[dimecatcher]

Hello Howard,

I just got through reading all 1000+ posts on your original thread. Very lively discussion to say the least.

I trade a very similar method to you:
-Utilizes ToS platform and proprietary studies
-Back tested against historical data (especially the 2008 big crash)
-Main instrument is the RUT using independent credit spreads legged into a condor.
-Stop losses in place on all trades

I have a lower target than you, shooting for a more conservative 5% a month.

I was glad to find these threads because it's always nice to see someone doing similar strategies. Your system is very neatly defined and the streaming data from the ToS platform to an Excel Dashboard (is that correct?) looks like a great way of visualizing your open positions.

Other than credit spreads, I trade a few naked VIX calls when it spikes and a few /CL future options when volatility is high.

Just wanted to post a quick hello and hope that you keep this thread up to date!

 

[HowardCohodas]

Hello Howard,

I just got through reading all 1000+ posts on your original thread. Very lively discussion to say the least.

I trade a very similar method to you:
-Utilizes ToS platform and proprietary studies
-Back tested against historical data (especially the 2008 big crash)
-Main instrument is the RUT using independent credit spreads legged into a condor.
-Stop losses in place on all trades

I have a lower target than you, shooting for a more conservative 5% a month.

I was glad to find these threads because it's always nice to see someone doing similar strategies. Your system is very neatly defined and the streaming data from the ToS platform to an Excel Dashboard (is that correct?) looks like a great way of visualizing your open positions.

Other than credit spreads, I trade a few naked VIX calls when it spikes and a few /CL future options when volatility is high.

Just wanted to post a quick hello and hope that you keep this thread up to date!

The images I post come from the online version of my Dashboard. It only gets data that is 20 minutes old by screen scraping the data from one of the many websites that provide quotes.

I have a similar version in an Excel spreadsheet with a DDE connection to the ToS platform.

My trading unit is the credit spread. I target 5% with a minimum of 3%. The Iron Condor is just an artifact that permits the companion spread to be put on with no additional capital and providing a way to position myself with a neutral market bias (delta neutral).

 

[HowardCohodas]

Iron Condor 38 presented a roll opportunity.

Iron Condor 42 is designated as a weekly as it was established in the last week of the FEB 11 series with funds out of quarantine used for weeklies.

 

[dimecatcher]

Taking a closer look at your above chart and positions, I may have come across either a typo or a misunderstanding on my part. IC 39 P is supposed to be a RUT put, rather than NDX, correct?

Are you comfortable with the probability of touching being so high (~30%) on both sides of IC42 weekly?

 

[HowardCohodas]

Taking a closer look at your above chart and positions, I may have come across either a typo or a misunderstanding on my part. IC 39 P is supposed to be a RUT put, rather than NDX, correct?

Are you comfortable with the probability of touching being so high (~30%) on both sides of IC42 weekly?

Thanks for the heads-up about the typo. Good eye on both.

30% POT is higher then my normal entry limits. I exceeded my limits on this entry with small money as a test. I should have noted it in the comments.

Once entry is made, my key indicator for jeopardy is at-risk-p/l. All spreads in their last week require more frequent monitoring.

 

[HowardCohodas]

This gives a view of my dashboard is its minimalist form. The opportunities and jeopardies are clear to see from the yellow highlighted cells. The details are available a few posts earlier in this thread.

Quick summary:

No incomplete Iron Condors

Five opportunities to roll.

One spread is in caution territory as a consequence of Probability of Touching.

Eighteen spreads expire this week.

No spreads (in spite of the one spread in caution) is in caution because of loss on capital at risk.

 

[HowardCohodas]

Surprisingly, three roll opportunities were available with good places to land. I did not expect to collect so much credit in the last week before expiration.

If I don't mess up, this will be an outstanding month.

 

[HowardCohodas]

Many of the pundits here warned me that a jump in volatility would cause me pain, and it did. But wait... February will still be my best month ever. Mustn't get complacent. Hubris is a heartless companion.

Trader333 was kind enough to ask to interview me for Trade2Win. It appears here.

 

[HowardCohodas]