Options Trading: How I trade without charts (live trading)

Adjustment made to short Put Spread to have extra credit, reduce overall risk: flatten delta and increase Theta! Should benefit also if VXX options volatility comes down! Filled  at 0.20 as inserted!

Trade entered at 2.15 for a credit

Added a Short Call Spread (out-the-money) to deacrese delta and improve a bit theta. Flattened t0 line and prevent fast drop in VXX price. Still no added short term call spreads because markets are still in backwardation.   

2nd ADJUSTMENT: Added a second Short Call Vertical Spread at same strikes to decrease delta to a bit more (21 to 10), as there is signs of volatility crunching. Theta increased a bit and we enter weekend roughly at 6!  Overall position credit increased.

Nov, 7th: Roll-up the 25 Put to 25 Put to reduce overall trade risk and reduce delta to more manageable values. Theta is ok at these levels. But the highlight of today was the huge drop in VXX price (~6%) but overall trade remained unchanged due to decrease in implied volatility of VXX options. Recall that Croc trade is Vega negative, which benefit from implied volatility decrease!

Short Vertical Spread closed for profit (110USD)

Croc adjustment  to reduce delta and added short term vertical.

Closed Vertical for a profit (45USD) / Opened new one. Total trade profit (closed positions): 155USD (+12% in about a month)

Closed Short Vertical / Closed Croc Trade - Full Cycle result = 90USD / lot = 7% in one month!!!

Croc Trade and first short Call Vertical entered

Croc trade doing good; Closed Vertical and Opened a new one.

Short Call Vertical closed for a loss; Croc Trade alive and kicking...!

# Updated with new /VX futures 2018 coding

# Display Contango relationship between the Front and Back Month

# VX Futures.

# This removes the VIX absolute level, to allow visiability of the

# contango only.

# This is merely the Back Month VX futures minus the Front Month

# VX futures.

# Inflections of positive to negative and visa versa are flaged and

# enumerated.

#input bubles = 0;

input configuration = {default percent, commulative };

input Threshold_shortVol = 6.77;

input Threshold_longVol = 0; # 2.90; The URL above uses 2.90 for this threshold,

# Default is Contango threshold (zero)

declare lower;

# Below flags the date for expiring FrontMonth VX Futures per CBOE specs.

# Note: Regardding the Holidays, only one occurrance since 2010, which is

# hard coded in line below.

# For some unknown reason, TOS does not respond to daily VX futures per

# specification before August 2010, so data seems valid after Aug 2010.

# In debugging this, observed that TOS has some issues. Sometimes TOS misses

# complete trading days of info, the "/VX" reference in TOS does not

# match the CBOE spec for settlement, so beware. The TOS "opportunities"

# seem to be dynamic (not static bugs). At the time of this note, TOS

# inferred no trading of "/VX" between 7/16/2013 and 7/22/2016. (Missing 3 days of trading)

script VXexp {

def date = GetYYYYMMDD();

def isholiday = date == 20140319; # Manual injection of holiday on 4/18/14 which alteres VX settlement date in March.

def n3rdfa = Next3rdFriday(1);

def n3rdfb = Next3rdFriday(2);

def n3rdf = if (n3rdfa < 4) then n3rdfb else n3rdfa; # Pick Next month's expiration, not this month.

plot VXexp = if (isholiday) then 1 else ((n3rdf == 30) and !isholiday[1]);#and (dow == 3);

} # End of script for VXexp

# LsD extracts least significant digit of the number (date)

script LsD {

input date = 20100101;

plot LsD = (date - RoundDown(date / 10, 0) * 10);

} # End of script for LsD

def InContango;

def NotContango;

def ContangoBias;

def fm;

def bm;

def date = GetYYYYMMDD();

def dom = GetDayOfMonth(date);

def newmo = dom < dom[1];

def incmo = if newmo then 0 else if VXexp() then 1 else incmo[1];

def Y_ = GetYear();

def Y = LsD(Y_);

def MM = GetMonth();

fm = if (MM + incmo) > 12 then 1 else (MM + incmo) ;

def fmchange = fm != fm[1];

def fmY = if fmchange then (if (MM + incmo) > 12 then LsD(Y + 1) else Y) else fmY[1];

bm = if (fm + 1) > 12 then 1 else (fm + 1) ;

def bmY = if fmchange then (if (bm < 3) then LsD(Y + 1) else Y) else bmY[1];

def fmp = close( "/VX" + (if fm == 1 then "F" else

if fm == 2 then "G1" else

if fm == 3 then "H1" else

if fm == 4 then "J1" else

if fm == 5 then "K1" else

if fm == 6 then "M1" else

if fm == 7 then "N1" else

if fm == 8 then "Q1" else

if fm == 9 then "U1" else

if fm == 10 then "V1" else

if fm == 11 then "X1" else

if fm == 12 then "Z1" else " ") + fmY);

def bmp = close( "/VX" + (if bm == 1 then "F" else

if bm == 2 then "G1" else

if bm == 3 then "H1" else

if bm == 4 then "J1" else

if bm == 5 then "K1" else

if bm == 6 then "M1" else

if bm == 7 then "N1" else

if bm == 8 then "Q1" else

if bm == 9 then "U1" else

if bm == 10 then "V1" else

if bm == 11 then "X1" else

if bm == 12 then "Z1" else " ") + bmY);

# TOS may miss some vx futures quotes, so if this occurs

# re-use the prior day close for the missing entry.

# The filter below accomplishes this.

def fmpfiltered = if IsNaN(fmp) then fmpfiltered[1] else fmp;

def bmpfiltered = if IsNaN(bmp) then bmpfiltered[1] else bmp;

def reladj = if (bmpfiltered > 0) then bmpfiltered else 1;

def AbsDiffContango = if (BarNumber() < 5) then 0 else (if (configuration == configuration.commulative) then (bmpfiltered - fmpfiltered) / reladj else (bmpfiltered - fmpfiltered));

ContangoBias = if (BarNumber() < 5) then 0 else ContangoBias[1] + (if (configuration == configuration.commulative) then (bmpfiltered - fmpfiltered) / reladj else (bmpfiltered - fmpfiltered));

def bmfmReference=bmpfiltered; # bmpfiltered;

plot FmBmContango = if IsNaN(fmp) then Double.NaN

else if (configuration == configuration.percent) then Double.NaN else ContangoBias;

def ContanoPerCentage = 100 * AbsDiffContango / bmfmReference;

#def ContanoPerCentage = 100 * AbsDiffContango / bmpfiltered;

FmBmContango.DefineColor("green", Color.GREEN);

FmBmContango.DefineColor("red", Color.RED);

FmBmContango.DefineColor("white", Color.WHITE);

plot Cper = if ((configuration == configuration.percent) and (IsNaN(fmp)==0)) then ContanoPerCentage else Double.NaN;

Cper.DefineColor("green", Color.GREEN);

Cper.DefineColor("red", Color.RED);

Cper.DefineColor("white", Color.WHITE);

Cper.AssignValueColor(if (ContanoPerCentage > Threshold_shortVol) then Cper.Color("green") else if (ContanoPerCentage > Threshold_longVol) then Cper.Color("white") else Cper.Color("red"));

Cper.SetPaintingStrategy(PaintingStrategy.POINTS);

def Direction = ContangoBias > ContangoBias[1];

def DirectionChanges = if (BarNumber() == 1) then 0 else if (Direction != Direction[1]) then DirectionChanges[1] + 1 else DirectionChanges[1];

FmBmContango.AssignValueColor(if (ContangoBias > ContangoBias[1]) then FmBmContango.Color("green") else if (ContangoBias == ContangoBias[1]) then FmBmContango.Color("white") else FmBmContango.Color("red"));

FmBmContango.SetPaintingStrategy(PaintingStrategy.POINTS);

InContango = if ((BarNumber() == 1) or (DirectionChanges < 1)) then 0 else InContango[1] + (bmpfiltered > fmpfiltered);

NotContango = if ((BarNumber() == 1) or (DirectionChanges < 1)) then 0 else NotContango[1] + (bmpfiltered <= fmpfiltered);

plot UpperThreshold = if (configuration ==configuration.percent) then Threshold_shortVol else Double.nan;

plot LowerThreshold = if (configuration ==configuration.percent) then Threshold_longVol else Double.nan;

AddLabel(1, Concat("Contango inflections : ", DirectionChanges) + ", Time(bars) in Contango: " + InContango + " of " + BarNumber()+" (" + aspercent(InContango/ (InContango + NotContango))+") " + if (configuration==configuration.commulative) then "), Bars in Backwardation or same: "+ NotContango else "" , Color.GRAY);

AddLabel((configuration == configuration.percent), "" +aspercent(AbsDiffContango / bmfmReference), Cper.TakeValueColor());

AddChartBubble((configuration == configuration.commulative) and Direction and !Direction[1], ContangoBias, DirectionChanges, Color.GRAY, 1);

AddChartBubble((configuration == configuration.commulative) and !Direction and Direction[1], ContangoBias, DirectionChanges, Color.YELLOW, 0);

AddVerticalLine(VXexp(), "VX" + (if bm == 1 then "F" else

if bm == 2 then "G1" else

if bm == 3 then "H1" else

if bm == 4 then "J1" else

if bm == 5 then "K1" else

if bm == 6 then "M1" else

if bm == 7 then "N1" else

if bm == 8 then "Q1" else

if bm == 9 then "U1" else

if bm == 10 then "V1" else

if bm == 11 then "X1" else

if bm == 12 then "Z1" else " ") + bmY

+ (if (configuration==configuration.percent) then " vs VX" else " - VX") + (if fm == 1 then "F" else

if fm == 2 then "G1" else

if fm == 3 then "H1" else

if fm == 4 then "J1" else

if fm == 5 then "K1" else

if fm == 6 then "M1" else

if fm == 7 then "N1" else

if fm == 8 then "Q1" else

if fm == 9 then "U1" else

if fm == 10 then "V1" else

if fm == 11 then "X1" else

if fm == 12 then "Z1" else " ") + fmY, Color.DARK_GREEN);#color.light_orange);

#