Str II

Rules:
1. Sell new top (0.5-1SD)  top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
--------------------------------------------------------------------------------------------------------------
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price
5/27/2016 15:34 CUSTOM SELL -1 TO OPEN /ESU6 1/50 JUL 16 (EOM) /EWN6 2100 CALL 34.5 50
SELL -1 TO OPEN /ESU6 1/50 JUL 16 (EOM) /EWN6 2100 PUT 48.5 CREDIT
BUY 1 TO OPEN /ESU6 1/50 JUL 16 (EOM) /EWN6 2055 PUT 33
--------------------------------------------------------------------------------------------------------------
3/18/16-4/29/16  + 21 points of Realized Profit
--------------------------------------------------------------------------------------------------------------

High Probability Low Income II: $830 of Extrinsic Value

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
5/25/2016 14:25 SINGLE SELL -1 TO OPEN /ESU6 1/50 JUL 16 (Wk3) /EW3N6 2160 CALL 5.5 5.5 LMT
5/25/2016 14:17 SINGLE SELL -1 TO OPEN /CLU6 1/1000 SEP 16 /LOU6 33 PUT 0.11 0.11 LMT
5/25/2016 14:15 SINGLE SELL -1 TO OPEN /ZBU6 1/1000 JUL 16 /OZBN6 170 CALL 0''07 0''07 LMT
5/25/2016 14:13 SINGLE SELL -1 TO OPEN /GCQ6 1/100 JUL 16 /OGN6 1140 PUT 1.4 1.4 LMT
5/25/2016 14:12 SINGLE SELL -1 TO OPEN /NGQ6 1/10000 AUG 16 /ONQ6 1.7 PUT 0.011 0.011 LMT
5/25/2016 14:11 SINGLE SELL -1 TO OPEN /ESM6 1/50 JUN 16 /ESM6 2150 CALL 2.1 2.1 LMT

Bought Aug-Sept Crack Spread Calendar

Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type CSC
5/25/2016 11:03 FUT CALENDAR SELL -2 TO OPEN /CLQ6 16-Aug FUTURE 49.47 -0.35 LMT 1.2446
BUY 2 TO OPEN /CLU6 16-Sep FUTURE 49.82 DEBIT
5/25/2016 11:03 FUT CALENDAR BUY 2 TO OPEN /RBQ6 16-Aug FUTURE 1.634 0.0213 LMT
SELL -2 TO OPEN /RBU6 16-Sep FUTURE 1.6127 DEBIT

Shorting Aug,16 Crack Spread +$130 of Realized Profit After Fees

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Crack Spread
-20.229
5/23/2016 15:59 FUTURE BUY 1 TO CLOSE /RBQ6 16-Aug FUTURE 1.6395 1.6395
5/23/2016 15:59 FUTURE SELL -1 TO CLOSE /CLQ6 16-Aug FUTURE 48.63 48.63
-20.3746
5/23/2016 11:57 FUTURE SELL -1 TO OPEN /RBQ6 16-Aug FUTURE 1.6313 1.6313
5/23/2016 11:57 FUTURE BUY 1 TO OPEN /CLQ6 16-Aug FUTURE 48.14 48.14

High Probability Low Income Trades +$200 of Realized Profit (Tastytrade Style Managment ) After Fees

Today I've closed High Probability Low Income Trades and took 25% of Max Profit. That's the tastytrade management style. There is a difference. I didn't separate the trades and managed these things altogether.
------------------------------------------------------------------------------------------------------------------------
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
5/23/2016 11:48 SINGLE BUY 1 TO CLOSE /CLQ6 1/1000 AUG 16 /LOQ6 35 PUT 0.13
5/23/2016 11:45 SINGLE BUY 1 TO CLOSE /GCQ6 1/100 JUL 16 /OGN6 1145 PUT 1.1
5/23/2016 11:44 SINGLE BUY 1 TO CLOSE /NGN6 1/10000 JUL 16 /ONN6 1.75 PUT 0.006
5/23/2016 11:43 SINGLE BUY 2 TO CLOSE /ESM6 1/50 JUN 16 /ESM6 2115 CALL 2.75
5/20/2016 12:05 SINGLE SELL -2 TO OPEN /ESM6 1/50 JUN 16 /ESM6 2115 CALL 4.35
5/18/2016 10:15 SINGLE SELL -1 TO OPEN /GCQ6 1/100 JUL 16 /OGN6 1145 PUT 1.2
5/18/2016 10:13 SINGLE SELL -1 TO OPEN /CLQ6 1/1000 AUG 16 /LOQ6 35 PUT 0.14
5/18/2016 10:11 SINGLE SELL -1 TO OPEN /NGN6 1/10000 JUL 16 /ONN6 1.75 PUT 0.012

High Probability Low Income Trades ~$800 of Maximum Profit (Extrinsic Values) After Fees

At the moment I don't see good trading opportunities, hence these high probability-low income  theta trades .
--------------------------------------------------------------------------------------------------------------------------
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price
5/20/2016 12:05 SINGLE SELL -2 TO OPEN /ESM6 1/50 JUN 16 /ESM6 2115 CALL 4.35 4.35
5/18/2016 10:15 SINGLE SELL -1 TO OPEN /GCQ6 1/100 JUL 16 /OGN6 1145 PUT 1.2 1.2
5/18/2016 10:13 SINGLE SELL -1 TO OPEN /CLQ6 1/1000 AUG 16 /LOQ6 35 PUT 0.14 0.14
5/18/2016 10:11 SINGLE SELL -1 TO OPEN /NGN6 1/10000 JUL 16 /ONN6 1.75 PUT 0.012 0.012

Finally. The WTI Trade is Closed +$300

TAKEAWAYS
Look for out of range (>1SD) price movements .
Start a Play with a  Small Bet.
The leverage should be increased  by risking the profit from  the wining trades.
-------------------------------------------------------------------------------------------------------------------
Well. After so many days of fighting the WTI trade is closed. The trade went through $48 to $25    swings in the price. Today the position (below) was called and that's it.

InstrumentQtyDaysStrikeBreakMarkDeltaThetaVega
/CL320.92103.36-136.22
Light Sweet Crude Oil Futures,May-2016,ETH33241.6541.13755.8800
1/1000 MAY 16 /LOK6 40.5 CALL-32740.51.362.34-434.97103.36-136.22

Startegy I, 3/17/16-5/16/16 +30 points ($1500)

Rules:
1. Sell new top (about +0.5SD* );
2. Take profit at 0.25SD;
3.Stop loss +1SD;
4. Play Time 2 trading days;
5. If time is due change into an option play or close the position.
*- Daily SD
------------------------------------------------------------------------------------------------------------
5/16/16  +4 points
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price
5/16/2016 15:40 FUTURE BUY 2 TO CLOSE /ESM6 16-Jun FUTURE 2064.5
5/16/2016 14:31 FUTURE SELL -2 TO OPEN /ESM6 16-Jun FUTURE 2066.75
------------------------------------------------------------------------------------------------------------
5/10/16-5/10/16  +2 points 
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price
5/10/2016 16:30 FUTURE BUY 1 TO CLOSE /ESM6 16-Jun FUTURE 2076.75
5/10/2016 15:47 FUTURE SELL -1 TO OPEN /ESM6 16-Jun FUTURE 2079
------------------------------------------------------------------------------------------------------------
3/17/16-4/20/16  +24 points 

Sept - Aug Crack Spread Calendar +$100 after fees

Takeaways
CSC price fluctuates with a magnitude of ~10% on 5min time scale.
It looks OK on paper but in reality bid/ask differential is very large.
The cost of trading is ~$30 which is high.
--------------------------------------------------------------------------------------------------------------------------
Update : Closed with profit of  ~ $100 after fees.
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type CSC
-1.274
5/16/2016 12:20 FUT CALENDAR BUY 1 TO CLOSE /RBQ6 16-Aug FUTURE 1.6166 0.022 MKT
SELL -1 TO CLOSE /RBU6 16-Sep FUTURE 1.5946 DEBIT
5/16/2016 12:20 FUT CALENDAR SELL -1 TO CLOSE /CLQ6 16-Aug FUTURE 48.73 -0.35 MKT
BUY 1 TO CLOSE /CLU6 16-Sep FUTURE 49.08 DEBIT
-1.3982
5/13/2016 14:12 FUT CALENDAR SELL -1 TO OPEN /RBQ6 16-Aug FUTURE 1.5876 0.0221 MKT
BUY 1 TO OPEN /RBU6 16-Sep FUTURE 1.5655 CREDIT
5/13/2016 14:12 FUT CALENDAR BUY 1 TO OPEN /CLQ6 16-Aug FUTURE 47.39 -0.47 MKT
SELL -1 TO OPEN /CLU6 16-Sep FUTURE 47.86 CREDIT

-------------------------------------------------------------------------------------------------------------------
I propose here to trade Crack Spread Calendar which is the difference between  /RB and /CL calendars. CSC is  a capital efficient trade. The trade below is an experiment to better understand the mechanics of such trading.
Sept-Aug CSC = 42*(/RBU6-/RBQ6)-(/CLU6-/CLQ6)
------------------------------------------------------------------------------------------------------------------
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type CSC
-1.3982
5/13/2016 14:12 FUT CALENDAR SELL -1 TO OPEN /RBQ6 16-Aug FUTURE 1.5876 0.0221 MKT
BUY 1 TO OPEN /RBU6 16-Sep FUTURE 1.5655 CREDIT
5/13/2016 14:12 FUT CALENDAR BUY 1 TO OPEN /CLQ6 16-Aug FUTURE 47.39 -0.47 MKT
SELL -1 TO OPEN /CLU6 16-Sep FUTURE 47.86 CREDIT

Crack Spread +$260

5/9/16-5/10/16 +$110 after fees
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type Crack Spread
16.6876
5/10/2016 12:28 FUTURE SELL -1 TO CLOSE /RBQ6 16-Aug FUTURE 1.4828 1.4828 MKT
5/10/2016 12:28 FUTURE BUY 1 TO CLOSE /CLQ6 16-Aug FUTURE 45.59 45.59 MKT
16.5606
5/9/2016 9:32 FUTURE BUY 1 TO OPEN /RBQ6 16-Aug FUTURE 1.4693 1.4693 MKT
5/9/2016 9:32 FUTURE SELL -1 TO OPEN /CLQ6 16-Aug FUTURE 45.15 45.15 MKT

-----------------------------------------------------------------------------------------------------------------------
5/5/16-5/6/16 +$150 after fees
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type Crack Spread
5/6/2016 15:58 FUTURE SELL -1 TO CLOSE /RBQ6 16-Aug FUTURE 1.5046 1.5046 MKT 17.5432
5/6/2016 15:58 FUTURE BUY 1 TO CLOSE /CLQ6 16-Aug FUTURE 45.65 45.65 MKT
5/5/2016 11:47 FUTURE BUY 1 TO OPEN /RBQ6 16-Aug FUTURE 1.5102 1.5102 MKT 17.3784
5/5/2016 11:47 FUTURE SELL -1 TO OPEN /CLQ6 16-Aug FUTURE 46.05 46.05 MKT

Yen (6J) Scalping +$280 after fees

Second trade: New top - ok; Rule #2-ok,  26 ticks +$162.5 - $7.5 fees
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type
5/3/2016 9:30 FUTURE BUY 1 TO CLOSE /6JM6 16-Jun FUTURE 0.009437 0.009437 LMT
5/3/2016 0:36 FUTURE SELL -1 TO OPEN /6JM6 16-Jun FUTURE 0.00945 0.00945 LMT
-----------------------------------------------------------------------------------------------------------------
Numbers
1. Notional 12, 500, 000.00 japanese yen.
2. Implied volatility as of today is ~ 13%
3. Expected daily move 12500000*0.13/sqrt(365)=85, 056 yen=$800
which is 800/6.25=128 ticks
4. Today's actual range was 120 ticks.
-----------------------------------------------------------------------------------------------------------------
STRATEGY 1
1. Sell new top (about +0.5SD ); +60 ticks
2. Take profit at 0.25SD;               30 ticks
3.Stop loss +1SD;                         128 ticks.
-----------------------------------------------------------------------------------------------------------------
1. Rule #1 was not fulfilled. The position was opened below slightly the previous top.
2. The drawdown of ~-$500 was experienced.
2. The profit of $125 was taken, which is 20 not 30 ticks.

Conclusion is that Rule #1 must not be violated.
-----------------------------------------------------------------------------------------------------------------
Exec Time Spread Side Qty Pos Effect Symbol Exp Type Price Net Price Order Type
5/1/2016 18:13 FUTURE BUY 1 TO CLOSE /6JM6 16-Jun FUTURE 0.009381 0.009381 LMT
4/29/2016 15:28 FUTURE SELL -1 TO OPEN /6JM6 16-Jun FUTURE 0.009391 0.009391 LMT