Friday, March 11, 2016

Let's trade...Gold

Didn't made any blog post in a while and I felt responsible today... I will make a quick intro into my last trade.
The beginning of the year was one which involved allot of fear that the stocks are going to crash and in times like this the gold begins to feel to investors as safe heaven.
At the time of this post the S&P 500  futures decreased just 1.75% after it was down more than 10% from the beginning of the year. By comparison, Gold this week was at one point up more than 20% from the start of the year.
The one month correlation between the 2 is negative .57%.
The Implied Volatility and Implied Volatility Rank presents a decent opportunity to sell the volatility as one can see just below:
Now if I take a look at the gold's ETF GLD, it's obvious that we have an inverse skew. So the calls are priced higher than the puts, considering the same distance from ATM(at-the-money). That implies the market sees the GLD has a bigger chance to continue higher. This is reflected as well in the probability to be in the money(ITM) which is higher on calls.

Based on supply/demand principles between sellers and buyers, the GLD after such a higher move should at least take a breath and let the investor regroup...
So, in conclusion I will look for the GLD to have maybe a small retracement but more inclined though in seeing a bit higher prices in the next 35 days. The confirmation of not seeing a strong move in the near future is confirmed by the lower kurtosis we see between the IV of the strikes.
Like in all the trades I look to induce in my portfolio a short/neutral delta, short vega and positive theta, which is a perfect hedging between the greeks.
The trade which fits all the above is a skewed Iron Condor where I sell the 35% of being ITM put which is inside of 1 SD and just 18% of being ITM call, outside of 1 SD and collect around third the width of the strikes and because of the skew I increase my POP (probability of profit) to 61%:
My preferred financial network is tastytrade, from where I pick up some of the data analysis.

Tuesday, March 3, 2015

Quick look at EUR/CHF 

In fact this post it would be more about how can you get involved into euro and swiss franc movements without trading Forex. Personally I don't recommend Forex trading despite the fact that you can use the leverage, which most likely even looks good it will turn and bite your ass...
Anyway, trading Forex implies trading from chart analysis which from my experience even it's easier to assimilate, overall it doesn't make a constant positive contribution to your trading.
I will sketch though 2 trading charts analysis:

VSA (Volume Spread Analysis)
 - for this I think is more representative to look at /6S chart (swiss chart symbol in futures market). Cause in forex market there is not volume, it's just an fortunate aproximation.
Let's see what heppen from 01/15/15 to today:

AMT(Auction Market Theory)

With Euro in strong down trend, with prices at almost 10 years low and without any signs of strength in CHF. I don't see any directional opportunity right now considering chart analysis, beside watching the above levels for more clarity. 
If we take a look at Euro and Swiss futures symbols we see that for next 3 months Euro price is seen slightly higher and Swiss unchanged!

So considering all this, how can we translate it into a good trade? Trading options, for me a good trade concept relates to a trade with higher POP (probability of profit) than 50%.
Considering FXE, which is Euro ETF and the fact that today IV Rank is 55% we should look for a credit spread.
As we can see the short strikes are inside 1 standard deviation from the current price and the break-evens are a bit closer to 1SD. Probability to be OTM for the lower break-even 106.95 is around 76.30% and for upper which is 113.05 is 81%, this is the probability for the price to be above/bellow lower/upper break-even at expiration. Overall we risk 195 dollars to make 105 dollars with an overall probability of success of 55%.
Another alternative if you want to increase the probability is to use a strangle which implies just to use the short strikes without the buying the wings. You will make around the same money but with unlimited risk theoretically and with the POP  > 70%.

This is just a quick example how can you play the ideas related to Euro. 
Something similar could be done in FXF, which is the ETF for Swiss but is not liquid and I don't trade if i don't have liquidity which is the insurance that I can get in/out of the trade when I want!

One can elaborate more, but I just wanted to post a sample of my ideas for my buddy Spirtoru! ;)

Friday, July 4, 2014

If you're a volatility trader, you most likely got run over by the market. I know I did. There's no volatility to sell for a credit nowhere and when you buy VIX/VXX/UVXY you go to a war with a very stubborn, powerful and annoying adversary.
I'm glad that today is 4'th of July. Besides the obvious reasons, I have a worry free day. A day where I don't have to search luckless for trades for a credit, get some theta decay and some POP to CPR my portfolio.

I found an opportunity to sell volatility in WAG and the chart looked in line with the strategy i choose.
First i tried to sell the 67.5 put part of an iron condor strategy, i tried for few days to reopen the trade for a decent credit but without success. I liked the idea of having the break evens very close to 1SD. then, because the lack of other opportunities i rearranged the trade and decided that selling the 70 put after all is not that bad. you can see on the chart the prices and their meanings and below you can see the statistics of the strategy.
even though at one point i was 3 cents below the market, still no fill. I have no credit strategy in my portfolio.
all my trades are directional and most of my previous losses are derived from debit spreads. so what to do? risk more on debit spreads, take what i get in a credit spread, stay on the sidelines, pray not to lose all my money?
this market is like a bad movie. some people whisper that soon it will be the premiere of the 'uprise of the volatility', best movie ever!
all can we do is to manage things in the way to get to be around and see it...

here are few ideas for direction trades:

Sunday, January 5, 2014

Friday, October 25, 2013

short bonds...

->has rallied in the last 2 weeks but the rally is not exactly sustained by the volume
->we are way above this month value area and we are even above value area of the last 3 months
->to get short i choose first out of the money put strike in order to obtain a put debit spread strategy, considering that the IV percentile is at 0!
->the expected move for the next 35 days is ~ 3$, so i choose 109 (OTM probability=37%)/106
->what i don't like is that from the start i'm above break even and so i have negative theta, but i'm not by much so is acceptable

Saturday, May 18, 2013

it's hard to find a trade where you can avoid to feel like a laggard. this market is irrational or it was irrational couple of moths ago, now it's unreal.
anyway here are some ideas...


->i would look for a neutral/slightly bullish if it goes a bit lower
->with IV percentile in 25% considering the 52 weeks IV but higher then the recent HV we could choose some credit strategy though, depends where is the entry and the view.

->it seems like last week we tested  the previously bottom reversal at the demand area, we had some weakness last week though...
->with implied volatility at 21% and lower than HV some time of debit spread would fit better

->is at strong supply area, it could be an opportunity here.
->IV=23.82% > HV. Friday we traded more considerably more puts than calls compared with the week, this could not mean much though...


->potential weakness
->kind of the same image in TSLA

->gold is at previous low made few weeks ago, i opened a long trade on Friday but i closed it right before market close. i saw poor demand reaction and we closed on the low on higher volume...
->euro is at strong demand area, could be a good opportunity to get long...

Sunday, April 21, 2013

->big gap after earnings, which found more initiative sellers during Friday. the highest volume seen in a while!
->potential demand around 185$ area.

->another gap after earnings, with some degree of hidden sellers.
->watch closely 30.20$ area for more clues, chances for a nice potential trade are significant.

->we are in the biggest down wave since we started the up trend, this could imply a potential reversal or maybe just a retracement which implies a continuation up. either way once it clears, it's a nice trade opportunity.

->bot had a very large down moves, the one in gold was the biggest in last 30 years.
->both days was testing on Friday for any sellers left and if this is confirmed next week we could see a nice up retracement, helped by the short covering which will be triggered.

->both emini S&P and Russell ETF's are at demand area and could be a nice opportunity but for relatively low period of time, considering the context we are.

->i keep watching to sell the gas but i didn't get any confirmation when weakness appeared and frankly in don't get based why price keeps continues to trade up.

->we are at long term demand area and we saw some buyers stepping in last week.

->another stock with nice up side potential, i look for that to confirm next week.