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/CLH6 short strangle

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The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Reason P/L
1 1/4/2016 /CLH6
(mar)		 37.68 1 short 31 P 0.30 0.09 44 $590 $3.71 open –
1 short 49 C 0.29 0.10 $3.71
2 1/11/2016 /CLH6
(mar)		 32.38 1 short 28 P 0.60 0.15 37 $410 $3.71 adjustment –
1 long (close) 31 P 0.29 0.30 $3.71
1 short 26 P 0.32 0.09 $3.71 –
1 short 43 C 0.25 0.10 $3.71
1 2/3/2016 /CLH6
(mar)		 31.35 1 long (close) 28 P 0.51 0.20 14 $120 $3.71 adjustment –
1 short 26 P 0.22 0.10 $3.71

Trade reasoning

OVX is up, there are tensions between Saudi Arabia and Iran. They have severed diplomatic ties. Unless there is some sort of supply disruption, this is actually bearish, since it’ll cause increased production from Iran and the Saudis.

OVX jumped back above 50 again, so I think this is a good time to open the trade, especially since the DTE is ideal as well. $31 is below the 2008 crisis lows, and $49 is very far away, so my strangle is pretty “safe”, or at least as safe as a strangle can be.

The oil glut is still strong, and some say the spring refinery maintenance season will bring new lows. We’ll see. Again, my position size is small, so I can manage the trade if needed, without worrying about an increased position size.
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/ZNH6 short strangle

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First trade of the year, volatility is up, markets are down. Going to keep things smaller this year, so I can modify everything freely, without worrying.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Event P/L
1 1/4/2016 /ZNH6
(march)		 126’140 1 short 123.5 P 0″08 .11 46 $250 $3.07 open –
1 short 129.5 C 0″08 .11 $3.07
2 1/15/2016 /ZNH6
(mar)		 128’180 1 short 131 C 0″09 .16 35 $218 $3.07 adjustment –
1 long (close) 129.5 C 0″35 .35 $3.07
1 short 131 C 0″09 .16 $3.07 –
1 short 125.5 P 0″06 .10 $3.07
1 2/4/2016 /ZNH6
(march)		 130’020 1 long (close) 125.5 P 0″01 .02 15 $203 $3.07 adjustment –

Trade reasoning

Volatility is up due to some Chinese market selling. Taking advantage of this. Position size is super small, so even if things go against me, I will be able to modify the position without having to worry about the enlarged position size.

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FXE short strangle 2015 Dec monthly

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The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 11/17/2015 FXE
(dec)		 104.36 1 short 101 P 0.50 0.21 31 $91 $1.50 – –
1 short 108 C 0.41 0.19 $1.50
2 12/03/2015 FXE
(dec)		 107.35 1 long 108 C 0.94 0.21 15 $27 $1.50 – –
1 short 110 C 0.30 0.19 $1.50

Trade reasoning

The IV rank of FXE is high at 83% today, which makes for nice options premiums.
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UNG short straddle 2015 Dec monthly

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I just opened my first ever short straddle position. Until now, I’ve been using short strangles. The straddle is similar, except that it uses the same ATM strike prices on both put-call legs.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 11/09/2015 UNG
(dec)		 9.66 1 short 10 P 0.83 0.54 39 $134 $1.50 – –
1 short 10 C 0.52 0.46 $1.50

Trade reasoning

After thinking a lot about my huge loss in NGZ5, I decided to alter my trading strategy a bit. In short, I will open more positions, which will be much smaller than the previous ones. I’ll write a separate post about this later.

Anyhow, UNG is an ETF which follows natural gas prices. Since gas is at a price extreme, as well as at high volatility, it makes since to open a straddle position.

Tasty trade has lots of research on short straddles and flying V’s, and they recommend profit taking at 25%. That is my goal with this trade.
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/CLF6 short strangle

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I just opened a short strangle position on the January 2016 contract of WTI crude oil, which expires on December 22 of this year still.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 10/21/2015 /CLF6
(jan)		 45.43 2 short 37 P 0.39 0.07 56 $1380 $7.42 – –
2 short 57 C 0.30 0.09 $7.42
2 11/17/2015 /CLF6
(jan)		 41.99 1 long 37 P -0.52 0.15 29 $860 $3.71 – $180
1 long 57 C 0.02 $3.71
3 12/03/2015 /CLF6
(jan)		 40.14 1 long 37 P -0.56 0.21 15 – $3.71 – $130
1 long 57 C 0.02 $3.71

Trade reasoning

I closed the CLz5 trade yesterday, since the trade made 75% of profits in about 40% of it’s time, there was an OPEC meeting today in Vienna, and I also wanted to see the inventory numbers.
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/NGZ5 short strangle

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Today, I opened a short strangle on the upcoming month contract of natural gas.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 10/09/2015 /NGZ5
(dec)		 2.73 2 short 2.3 P 0.022 -0.11 46 $900 $7.42 pending pending
2 short 3.3 C 0.023 0.12 $7.42
2 11/04/2015 /NGZ5
(dec)		 2.293 2 long to close 2.3 P 0.130 -0.48 20 -$1700 $7.42 pending pending
3 11/11/2015 /NGZ5
(dec)		 2.284 2 long to close 2.3 P 0.001 -0.01 13 – $7.42 closed -$1720

Trade reasoning

The supply-demand equation in natural gas has been really balanced over the summer, with no sharp moves in either direction. The price of NG started trending lower towards the end of summer, as supply is strong.

All else being equal, the autumn months are slow for NG. It’s not hot enough, nor cold enough to dig into supplies.

Winter is approaching though, and as we know, NG reacts with harsh volatility to weather patterns during the winter, if supplies are strained. Right now, supplies are strong. Surpluses now stand at 155 Bcf versus the 5-year average, and 443 Bcf greater than at this time last year. This year’s El Nino is a strong one, so meteorologists are expecting a mild winter. If this hold up, it should stay relatively calm for NG as well.

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/CLZ5 short strangle

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I just opened a short strangle position on the December contract of WTI crude oil.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 9/29/2015 /CLz5
(dec)		 45.40 2 short 35 P 0.32 0.07 49 $1200 $7.42 – –
2 short 58 C 0.28 0.09 $7.42
2 10/20/2015 /CLz5
(dec)		 46.06 2 long 35 P 0.07 0.03 28 – $7.42 bought to
close		 $900
2 long 58 C 0.08 0.03 $7.42

My previous crude trade is still open, but it’s safe with deltas 0.02 on both legs, so I’m going to let it expire in 2 weeks. This trade is very similar to the previous one.

Trade reasoning

For the last few weeks, oil has been trading in a nice range. The OVX at 49.25 is still high, so you can still get good premium for selling options. Unfortunately, Thinkorswim seems to be acting up, and I can’t get a clear reading on the implied volatility of CLZ5.
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/ZNZ5 November short strangle

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I just opened another 10 year treasury short strangle. My previous one, which will expire this Friday, was very successful. I’ve been keeping track of the treasuries market ever since, and I feel like I’m getting to know this instrument as well. I have gathered my findings in my treasuries trading guide, in case you want to learn more about it.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 9/21/2015 /ZNZ5
(November)		 127’170 5 short 124.5 P 0″04 .08 32 $703.13 $15.35 pending pending
5 short 130.5 C 0″05 .08 $15.35
2 10/02/2015 /ZNZ5
(November)		 129’290 5 long to close 124.5 P 0″02 .02 – – $15.35 – -$1,171
5 long to close 130.5 C 0″22 .31 $15.35

I opened 5 contracts on each side, making for an initial margin requirement of about $4,100. I am keeping it safe with the lower than 0.10 deltas on each side, making this a high probability trade. Because of the large number of contracts (10 in total for this strangle), the commission is pretty high, $30.70. I’m going to have to talk to TD Ameritrade about this later this year, once they see that I’m an active trader. It seems they can be bargained with, as described on optionalpha.

Trade reasoning

/ZN has continued to move in a very nice range for quite a while, despite the flash crash in late August, and the excitement around the FED meeting. It’s sort of shocking actually, to see it still in it’s range.

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/CLX5 short strangle

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I just opened a short strangle position on the upcoming month contract of WTI crude oil.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 9/10/2015 /CLX5
(november)		 45.63 2 short 35 P 0.18 5 35 $760 $7.42 expired OTM $760
2 short 58 C 0.20 7 $7.42

This is another high probability trade with low deltas.

Trade reasoning

I’ve been eyeballing oil ever since it’s implied volatility spiked, with the massive 25% increase it had in 3 days. I didn’t have the nerves to open a short strangle when the IV was at its peak, but it’s still relatively high, so now was the time. Read more

/NGX5 short strangle

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Today, I opened a short strangle on the upcoming month contract of natural gas.

The details of this trade are as follows:

Date Inst. Mark. # L/S Strike C/P Price Δ Days Max profit Comm. Close P/L
1 8/31/2015 /NGX5
(november)		 2.76 2 short 2.3 P 0.018 -0.09 57 $980 $7.42
2 short 3.2 C 0.031 -0.16 $7.42
2.1 10/02/2015 /NGX5
(november)		 2.44 2 long to close 2.3 P 0.054 -0.28 25 – $7.42
2 long to close 3.2 C 0.004 0.03 $7.42
2.2 10/02/2015 /NGX5
(november)		 2.44 3 short 2.1 P 0.013 -0.09 25 $510 $11.13
3 short 2.9 C 0.010 .08 $11.13
3.1 10/27/2015 /NGX5
(november)		 2.14 3 long to close 2.1 P 0.024 -0.40 1 – $7.42 Put closed
Call expired		 -$210
3 expired 2.9 C 0.000 0.00 $0

Following my previous successful trade in NG, I’ve been looking at it ever since.

Trade reasoning

/NG has been trading in a fairly narrow channel for several months now. The summer hot season is more or less over, so demand should not be a catalyst towards higher prices. Even if an unexpected heat wave comes, it won’t raise demand as much, as to put my strangle in jeopardy.

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