JW Trading Journal

2007-07-30 JW Trading Activity :

2007-07-30T18:25:00.000-07:00

Initiated long position with SFBHP SPY AUG 146 Call @4.50.

Add to long position with DAWHZ - DIA AUG 130 Call @5.00.

Open position : 2.

2007-07-26 JW Trading Activity : Arb play

2007-07-26T12:11:00.000-07:00

Today the options buy signal was strong until about 2 hours before the market close it started to fade. Does this mean tomorrow is going to be a down day? I don't know and quite frankly, I don't really care either. So I dicided to test the arbitrage concept again. The money in play was minimal but outcome is a positive one.

2007-07-12 JW Trading Activity : Year To Date 49.25%

2007-07-12T20:33:00.000-07:00

Should've opened position at the close yesterday at $3.4 but instead got in at the market open this morning @4.10, missed 20%+ potential profit over night. Lunch meetings at market close hour, what can I say. Once the market opened I pulled the trigger without hesitation, and got my position filled at the lowest price of the day. Sold it at the market close @5.80. Chi-ching, buy low sell high, one great day.

Closed position: SFBGS - SPY July 149 Call @ 5.8, +41.5%
2007-07 month to date return : 4.17%
2007 year to date return : 49.25%
vs. 2007 year to date SPY (S&P500) return : 9.02%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.13
Trailing 12 Month Model Alpha (Annualized) : 80.85%

Open position: 0

2007-07-03 JW Trading Activity : Year To Date 41.81%

2007-07-03T19:07:00.000-07:00

Gladly sold and closed the Diamond options 15 minutes before the market close, and at a good price too. This marks the end of the trading activity for the 1st half of the year, up 41.81%. The majority of the return was made outside of the huge market rally between April and May. This shows the model is a good alternative investing strategy which should be combined with a regular asset allocation model that takes advantage of continuous market rally. None of the stats here includes any futures arb trades, which made a small sum of profit. Have a happy July 4th, everyone. :)

Closed position: DAWGA - DIA July 131 Call @ 5.3, +20.5%
2007-06 month to date return : 5.57%
2007 year to date return : 41.81%
vs. 2007 year to date SPY (S&P500) return : 7.57%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.16
Trailing 12 Month Model Alpha (Annualized) : 74.45%

Open position: 0

2007-06-28 JW Trading Activity : Year To Date 37.38%

2007-06-28T18:55:00.000-07:00

Sold SPY July calls and took profit. Leaving DIA options in play. The intraday long/short arb worked out well today too.

[ Stats EXCLUDE intraday futures arb : ]

Closed position: SFBGQ - SPY July 147 Call @ 4.7, +23.7%
2007-06 month to date return : 2.96%
2007 year to date return : 37.38%
vs. 2007 year to date SPY (S&P500) return : 6.19%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.21
Trailing 12 Month Model Alpha (Annualized) : 70.96%

Open position: 1

[ From futures arb : ]
4 YM vs 2 ES : +$455.04

2007-06-27 JW Trading Activity :

2007-06-27T18:55:00.000-07:00

Initiated long position with SFBGQ - SPY July 147 CALL @3.80.

Add to long position with DAWGA - DIA July 131 CALL @4.40.

Open position : 2

Signal showed up at the last minute of market close yesterday. Initiated the SFBGQ long position around opening this morning. It's holding on so far hope the gain will last. Added position at the close of the session.

2007-05-18 JW Trading Activity : Year To Date 32.38%

2007-05-18T17:59:00.000-07:00

Sold everything and back to 100% cash. Trading result so far is pretty consistant with the model baseline. Rather than close the positions myself, I placed the sell orders as "Sell At Market Close" because I had to attend a meeting. But it turned out that SFBFQ had a higher ending bid/ask price than my selling price. So I guess somebody took a spread on me? Oh well, other than that, it has been a good week.

Closed position: SFBFQ - SPY June 147 Call @ 6.40, +23.1%
Closed position: SFBFQ - SPY June 147 Call @ 6.40, +16.4%
Closed position: SFBFR - SPY June 148 Call @ 5.60, +9.8%

2007-05 month to date return : 13.12%
2007 year to date return : 32.38%
vs. 2007 year to date SPY (S&P500) return : 7.77%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.18
Trailing 12 Month Model Alpha (Annualized) : 68.52%

Open position: 0

2007-05-17 JW Trading Activity : Year To Date 22.96%

2007-05-17T18:50:00.000-07:00

Closed another position and took some money off the table. OptionXpress uses 'last in, first out' method for calculating PnL. So I will do the same to keep the record consistant.

Closed position: SFBFQ - SPY June 147 Call @ 5.50, +7.84%
2007-05 month to date return : 5.69%
2007 year to date return : 22.96%
vs. 2007 year to date SPY (S&P500) return : 6.84%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.19
Trailing 12 Month Model Alpha (Annualized) : 59.81%

Open position: 3

2007-05-16 JW Trading Activity :

2007-05-16T18:30:00.000-07:00

It was a little painful adding all these positions over the past few days. As SFBER's expiration approaches, I'm happy to close it at a good price. However, model indicated to open another position today so I sort of rolled the position into June 148 Call. Hope they will work out in the next few days.

Closed position: SFBER - SPY May 148 Call @ 3.60, +60%
2007-05 month to date return : 4.63%
2007 year to date return : 21.61%
vs. 2007 year to date SPY (S&P500) return : 7.05%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.18
Trailing 12 Month Model Alpha (Annualized) : 53.14%

Initiated long position with SFBFR - SPY June 148 CALL @ 5.10.

Open position: 4

2007-05-15 JW Trading Activity :

2007-05-15T19:45:00.000-07:00

Add to long position with SFBFQ - SPY June 147 call @5.1.

Open position : 4

2007-05-14 JW Trading Activity (2) :

2007-05-14T18:57:00.000-07:00

Add to long position with SFBFQ - SPY June 147 call @5.2.

Open position : 3

2007-05-14 JW Trading Activity :

2007-05-14T06:41:00.000-07:00

Add to long position with SFBFQ - SPY June 147 call @5.5.

Open position : 2

2007-05-10 JW Trading Activity :

2007-05-10T19:49:00.000-07:00

Initiated long position with SFBER - SPY May 148 CALL @2.25.

Open position : 1

JW Trading Journal : 2007-04-17 Result - Year To Date 15.74%

2007-04-17T23:56:00.000-07:00

Closed position: SFBPQ - SPY April 147 Put @ 0.55, -76.60%
2007-04 month to date return : 0.03%
2007 year to date return : 15.74%
vs. 2007 year to date SPY (S&P500) return : 3.86%

Open position: 0

2007-04-12 JW Trading Activity :

2007-04-12T18:15:00.000-07:00

Initiated long position with SFBPQ - SPY April 147 PUT @2.35.

Open position : 1

JW Trading Journal : 2007-04-09 Result - Year To Date 21.71%

2007-04-09T18:12:00.000-07:00

I closed the remaining long position today with a little more gain. But too bad the market did not move much to the upside. These days I am evaluating the option of starting an incubator fund. If anybody can share their experience and/or opinion on the service provider I'd really appreciate it.

Closed position: SFBDK - SPY April 141 Call @ 3.90, +25.81%
2007-04 month to date return : 4.94%
2007 year to date return : 21.71%
vs. 2007 year to date SPY (S&P500) return : 1.99%

Open position: 0

JW Trading Journal : 2007-04-05 Result - Year To Date 19.33%

2007-04-05T18:40:00.000-07:00

Overall a pretty good week. Took profit with half of the position on Thursday and will ride house's money on Monday. Both initial trades should've happened at the market close of the previous day, but the damn meetings caused me to miss my trade. I figure it costs me about 15% ROR... oh well, I'm still an employee and such is the cost of doing business I guess.

Closed half of position: SFBDK - SPY April 141 Call @ 3.80, +38.18%
2007-04 month to date return : 2.99%
2007 year to date return : 19.33%
vs. 2007 year to date SPY (S&P500) return : 1.85%
Open position: 1

2007-04-03 JW Trading Activity :

2007-04-03T06:18:00.000-07:00

Add to long position with SFBDK - SPY April 141 call @3.10.

Open position : 2

2007-04-02 JW Trading Activity :

2007-04-02T07:02:00.000-07:00

Initiated long position with SFBDK - SPY April 141 call @2.75.

Open position : 1

JW Trading Journal : 2007-03-31 : Further OEX Analysis

2007-03-31T16:07:00.000-07:00

Unfortunately, further analysis from the past few days has came to some undesirable findings.Whereas the OEX gives me much more upside potential, it's a double edge sword. In order to protect the downside not to exceed the maximum drawdown that I can tolerate, I HAVE TO set stop loss points if I want to use OEX instead of SPY or DIA as the underlying instrument.

This, however, goes against the core idea of the model itself which is aiming at high accuracy of the "outcome" when closing the position. Higher number of positive outcome enables constant compounding. The swing of OEX would stop me out a lot more times than the number of incidents that a non-stop model would have a 100% loss.

Using DIA 121 CALL for example. Current ask is 3.50 and delta is 0.808, which I like. It will expire in 20 days. The trade from non-stop model would only have a POTENTIAL 100% loss when the Dow suddenly having a total of more than 430 point drop within "1 to 4" trading days AND if not able to recover in the coming 20 days before it expires. Between the day that it cut-through my threshold and day #20 (expiration), I still have the flexibility to close the position out at any recovery after the big drops.

From the cumulative $ return point of view, because the fact that I was stopped out so many times from the OEX model, it wasn't compounding enough times to have the same outcome as the non-stop-non-OEX model. If I tweak it to have a comparable cumulative $ return, then I'll be forced to accept the maximum draw-down of more than 70% of the total capital, which is probably unacceptable to anybody. Why so high of a max drawn down? It is because the total capital is now being divided into fewer trades in order to "make more money back from the bigger winner" when it is proved to be a good trade at the end. For lack of better expression, "you can't eat like a bird and shit like an elephant".

Anyway long story short, when considering my own personal risk-reward on the per trade and cumulative $ return basis, I probably will stick with DIA and SPY options for a while for the original model. But I do feel OEX have its advantages as I was modeling and testing it. It's just that it will need an entirely different game plan than what I have for now.

Overall I have learn a lot in the OEX modeling process. Besides, I did make that money with OEX Put. LOL! :)

JW Trading Journal : 2007-03-28 Result - Year To Date 15.71%

2007-03-28T18:17:00.000-07:00

Closed OEYPI - OEX April 645 PUT @6.50, +71.05%

2007-03 month to date return : 11.23%
2007 year to date return : 15.71%
vs. 2007 year to date SPY (S&P500) return : 0.14%

Open position: 0

First PUT trade was a success. :)
The bid/ask spread for OEX options seemed kind of wide. And I placed a market order in at the close which was executed at a price better than bid. Maybe it's normal for OEX options... I'm not sure. Can't say I'm not happy with the execution though.

2007-03-26 JW Trading Activity : Testing the short side

2007-03-26T13:38:00.000-07:00

Testing with PUT.

Initiated long position with OEYPI - OEX April 645 PUT @3.80.

Open position : 1

JW Trading Journal : 2007-03-22 Result - Year To Date 10.71%

2007-03-22T18:10:00.000-07:00

Closed DAWDO - DIA April 119 Call @6.10, +32.60%

2007-03 month to date return : 6.39%
2007 year to date return : 10.71%
vs. 2007 year to date SPY (S&P500) return : 1.10%

Open position: 0

Losses from DAWCU call expiration has shown up in the log due to March expiration. However I booked it as February's monthly % return. Which is why March is still positive. It doesn't impact year to date return, though.

2007-03-19 JW Trading Activity :

2007-03-19T16:59:00.000-07:00

Initiated long position with DAWDO - DIA April 119 call @4.60.

Open position : 1

JW Trading Journal : 2007-03-16 Result - Year To Date 8.02%

2007-03-16T23:08:00.000-07:00

As the DIA March 125 call (DAWCU) became expired, it concluded the first half of the monthly result. Yesterday the indicator changed at the last minute which resulted the long of DAWDO got filled at $4.20. The position was closed first thing this morning at market open ($4.00). I was debating for a little while if I should take the trade off the table because I know that I would be losing money to sell at the opening due to the spread. However it is more important to be discipline and stick to the rule. Making money for the wrong reason is as bad as trading blindly. Besides, it did close down further (final bid 3.70).

DIA MAR 125 Call expired, - 100%

2007-03 month to date return : 3.78%
2007 year to date return : 8.02%
vs. 2007 year to date SPY (S&P500) return : -2.25%

Open position: 0

JW Trading Journal : 2007-03-9 Result - A week of recovery

2007-03-09T17:06:00.000-08:00

The model forecasted the correct outcome of higher DIA(+0.19) than SPY(+0.04), but unfortunately the move was not big enough for the options to move to the upside and obviously time decay got its fair share of the coming weekend. Still, it's been a good week in terms of the recovery.

Closed DIA MAR 120 Call @3.10, - 3.1%

2007-03 month to date return 4.46%
2007 year to date return 9.20%
vs. 2007 year to date SPY (S&P500) return -0.59%

Open position: 1

JW Trading Journal : 2007-03-8 Result

2007-03-08T18:47:00.000-08:00

Closed SPY MAR 135 Call @5.90, + 59.5%
Closed SPY MAR 137 Call @4.00, + 11.1%

2007-03 month to date return 4.89%
2007 year to date return 9.65%
vs. 2007 year to date SPY (S&P500) return -0.62%

Initiate Long position with DIA Mar 120 Call @3.20
Open position: 2

2007-03-06 Trading Activity : Hold and Accumulate

2007-03-06T18:17:00.000-08:00

Initiated long position with SPY March 137 call @3.60.

Open position : 3

2007-03-05 Trading Follow Up :

2007-03-05T23:36:00.000-08:00

Futures looks good before I go to bed. Tomorrow (3/6/07) should be a good opening... Hopefully it will hold until the model has the sell signal.

2007-03-05 Trading Activity :

2007-03-05T17:15:00.000-08:00

Initiated long position with SPY March 135 call @3.70.

Open position : 2

JW Trading Journal : 2007-03-1 Result

2007-03-01T17:24:00.000-08:00

Closed DIA March 120 Call @3.20, -11%

2007-02 month return -3.36%
2007 year to date return 4.10%
vs. 2007 year to date SPY (S&P500) return -0.49%
Open position: 1

2007-02-28 Trading Activity :

2007-02-28T19:45:00.000-08:00

(Yikes am I gonna be the only one going long here?... Be strong and stick to the rulez!)

Initiated long position with DIA March 120 call @3.60.

Open Positions : 2

2007-2-27 A brutal day ... for some.

2007-02-27T18:29:00.000-08:00

No trade today. Open position : 1 (DIA March Call)

So I was watching CNBC during my lunch hour. Dow was trading down 250+ some points.
A newswoman was reporting something about the market, I don't remember. At the end of her reporting, she looked up at the indices ready to report the trading level of Dow.
Wait, is it my eyes or does CNBC's meter had gone busted? -2xx had just gone -5xx ? She looked puzzled too so it must not have been my eyes. Hmmm let me check my charts,

Ok it's showing -500 on my chart too so it's got to be real... and a -250 point drop in just 2 seconds, top, wow. Well at least my downside is limited. If this DIA call has gone busted I am still up 6% for the year. All in all, I am experiencing something that's unavoidable and I am glad the feeling wasn't so bad. The market ended trading down -416 points. Oh well just another day.

2007-2-22 Trading Activity :

2007-02-22T19:07:00.000-08:00

Initiated long position with DIA March 125 call @2.65.

JW Trading Journal : 2007-02-21 Result

2007-02-21T19:07:00.000-08:00

2007-02 month to date return 4.77%
2007 year to date return 12.79%
vs. 2007 year to date SPY (S&P500) return 3.08%

Open position: 0

Refer to yesterday's post, the remaining of call options were sold at open on 2/21/2007 @3.5 which should've been sold @3.8 the previous close. I guess I could've act a little faster to avoid such an Un-necessary loss.

JW Trading Journal : 2007-02-20 Result

2007-02-20T19:19:00.000-08:00

2007-02 month to date return 5.67%
2007 year to date return 13.75%
2007 year to date SPY (S&P500) return 3.12%

Open position: 1

Indicator changed in the last minute, was not able to close all positions in time. The remaining of call options to be sold at open on 2/21/2007.

JW Trading Journal : 2007-02-16 Result

2007-02-19T11:19:00.000-08:00

20070216 month to date return 3.69%
2007 year to date return 11.64%
2007 year to date SPY (S&P500) return 2.9%

Would have made 30c more on the SPY Feb 141 call if I wasn't being forced to liquidate the position at 1pm ET instead of sell at the mkt close, due to 'insufficient fund to exercise the option'. :(

JW Trading Journal : 200701 Results

2007-02-18T21:19:00.000-08:00

200701 month return 7.7%
2007 year to date return 7.7%