VIX Algo with Defined Risk

1. Divide capital into 12 equal parts;
2. Every month   Sell  VXX 10% ITM Call with DTE according to the probability distribution of 10% irreversible decay (see figure below) and the Kelly criterion (KC);
3. Buy ATM  Call.
* 5 trading days= 7 calendar days
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Expected return:
ROC 25%  DTE ~ 400
ROC 35%  DTE  ~200
ROC 55%  DTE  ~150

KC=0.8-0.2/0.25=0 -> 80% probability of win is the lower bound  for trading with DTE ~400.

KC=0.85-0.15/0.2=0.1  -> 12 equal parts is reasonable partition of the bet capital.
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WTI is down -> Sell Premium

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/31/2016 13:14 SINGLE SELL -1 TO OPEN /CLF7 1/1000 JAN 17 /LOF7 37.5 PUT 0.23 0.23 LMT

+$370 Short New ATH F7 Simple Crack Spread

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Crack
11.6932
10/27/2016 9:46 FUTURE SELL -1 TO CLOSE /CLF7 17-Jan FUTURE 50.03 MKT
10/27/2016 9:46 FUTURE BUY 1 TO CLOSE /RBF7 17-Jan FUTURE 1.4696 MKT
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Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Crack
12.0834
10/26/2016 14:39 FUTURE SELL -1 TO OPEN /RBF7 17-Jan FUTURE 1.4727 MKT
10/26/2016 14:39 FUTURE BUY 1 TO OPEN /CLF7 17-Jan FUTURE 49.77 MKT

+$225 Short F7 Crack Spread

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Crack
11.4074
10/24/2016 15:37 FUTURE BUY 1 TO CLOSE /RBF7 17-Jan FUTURE 1.4897 MKT
10/24/2016 15:37 FUTURE SELL -1 TO CLOSE /CLF7 17-Jan FUTURE 51.16 MKT

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Crack
11.6476
10/21/2016 11:07 FUTURE SELL -1 TO OPEN /RBF7 17-Jan FUTURE 1.4978 MKT
10/21/2016 11:07 FUTURE BUY 1 TO OPEN /CLF7 17-Jan FUTURE 51.26 MKT

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Short /NQZ6

1.  New trade: / -1 NQZ6 Call4960@5.00 (QN1X6)

 2. +$55  /QN3V6 sold on 10/12/2016 expires today OTM. 
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Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type
10/21/2016 11:03 SINGLE SELL -1 TO OPEN /NQZ6 1/20 NOV 16 (Wk1) /QN1X6 4960 CALL 5 LMT
10/17/2016 14:03 SINGLE SELL -1 TO OPEN /NQZ6 1/20 OCT 16 (EOM) /QNEV6 4940 CALL 3.5 LMT
10/12/2016 14:10 SINGLE SELL -1 TO OPEN /NQZ6 1/20 OCT 16 (Wk3) /QN3V6 4940 CALL 3.2 LMT
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10/12/2016 Trading idea:
Sell /NQZ6 (Wk3) Call1940@price ;
if assigned-> play covered put or short;
if not > collect the premium and keep selling Call according to the trendline
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Long Gold

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/19/2016 14:35 SINGLE SELL -1 TO OPEN GLD 16-Dec-16 115 PUT 0.62

And a Little Bit of Short /NQ Delta

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/17/2016 14:03 SINGLE SELL -1 TO OPEN /NQZ6 1/20 OCT 16 (EOM) /QNEV6 4940 CALL 3.5

Little bit of Long WTI Delta

 OPEX and WTI is down -> Sell premium

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/17/2016 13:07 SINGLE SELL -1 TO OPEN /CLG7 1/1000 FEB 17 /LOG7 35 PUT 0.17

Cable Update

Cable may stay this low for a long time.  Selling  premium aggressively.
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Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price
10/13/2016 10:57 VERTICAL SELL -1 TO OPEN FXB 18-Nov-16 120 CALL 1.45 1.1
BUY 1 TO CLOSE FXB 18-Nov-16 124 CALL 0.35 CREDIT
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The trade is about -$700 as for now.

Group "Cable" Beta Weighing on 'FXB'
Instrument Qty Days Strike Break Price Mark Delta Theta Vega P/L Open
 /M6B E-Micro GBP/USD Future,Dec-2016,ETH  4 67 1.251325 1.2209 187.22 0 0 ($760.63)
FXB CURRENCYSHARES BRITISH POUND STERLING TRUST 0 0 119.1102 0 0 0 $0.00
100 18 NOV 16 120 CALL -2 36 120 1.8 1.5 -87.64 5.16 -29.88 $60.00

Sold /NQZ6 1/20 OCT 16 (Wk3) 4940Call@3.20

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
10/12/2016 14:10 SINGLE SELL -1 TO OPEN /NQZ6 1/20 OCT 16 (Wk3) /QN3V6 4940 CALL 3.2 3.2 LMT

Cable Long Term Position

Two contracts of  FXB vs 4 of M6B gives slightly positive delta in Cable if  assigned.
Let us keep selling premium and no more M6B.
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Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Break
10/11/2016 13:52 SINGLE SELL -1 TO OPEN FXB 18-Nov-16 120 CALL 1.2 1.2 LMT 1.2
10/7/2016 9:53 VERTICAL SELL -1 TO OPEN FXB 18-Nov-16 124 CALL 0.85 0.55 LMT 1.35
BUY 1 TO CLOSE FXB 18-Nov-16 127 CALL 0.3 CREDIT
10/5/2016 10:09 SINGLE SELL -1 TO OPEN FXB 18-Nov-16 127 CALL 0.8 0.8 LMT
10/11/2016 13:45 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.212 1.212 LMT 1.251325
10/6/2016 19:40 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.2407 1.240701 MKT
10/5/2016 10:09 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.275 1.275 MKT
10/4/2016 9:11 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.2776 1.2776 MKT

+$240 Short 2nd Debate Ramp @ NASDAQ100 All Time High

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/10/2016 16:08 SINGLE BUY 1 TO CLOSE /NQZ6 1/20 OCT 16 (EOM) /QNEV6 5000 CALL 8.75
10/10/2016 15:59 FUTURE BUY 1 TO CLOSE /NQZ6 16-Dec FUTURE 4889.75
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Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/10/2016 10:58 FUTURE SELL -1 TO OPEN /NQZ6 16-Dec FUTURE 4900.25
10/10/2016 11:02 SINGLE SELL -1 TO OPEN /NQZ6 1/20 OCT 16 (EOM) /QNEV6 5000 CALL 10.25

/NG Channel


Cable Defense

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price break
1.2
10/7/2016 9:53 VERTICAL SELL -1 TO OPEN FXB 18-Nov-16 124 CALL 0.85
BUY 1 TO CLOSE FXB 18-Nov-16 127 CALL 0.3
10/5/2016 10:09 SINGLE SELL -1 TO OPEN FXB 18-Nov-16 127 CALL 0.8

+$120 Short Clinton Trump Debates

Closed before NFP

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/6/2016 23:21 SINGLE BUY 1 TO CLOSE /ESZ6 1/50 NOV 16 (EOM) /EWX6 2225 CALL 8.5

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
9/26/2016 21:48 SINGLE SELL -1 TO OPEN /ESZ6 1/50 NOV 16 (EOM) /EWX6 2225 CALL 11.25

Cable Crashed: Averaging The Loser


Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price break
10/5/2016 10:09 SINGLE SELL -1 TO OPEN FXB 18-Nov-16 127 CALL 0.8 0.8
10/6/2016 19:40 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.2407 1.2645
10/5/2016 10:09 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.275
10/4/2016 9:11 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.2776

WTI into OPEX


Cable Cost Basis Reduction

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type  Price Order Type
10/5/2016 10:09 SINGLE SELL -1 TO OPEN FXB 18-Nov-16 127 CALL 0.8 LMT
10/5/2016 10:09 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.275 MKT
10/4/2016 9:11 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.2776 MKT

+$350 F7 Crack Spread

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Order Type Crack
10/5/2016 9:55 FUTURE SELL -1 TO CLOSE /CLF7 17-Jan FUTURE 50.71 MKT 11.03
10/5/2016 9:55 FUTURE BUY 1 TO CLOSE /RBF7 17-Jan FUTURE 1.47 MKT
10/4/2016 10:33 FUTURE BUY 1 TO OPEN /CLF7 17-Jan FUTURE 50.09 MKT 11.3896
10/4/2016 10:33 FUTURE SELL -1 TO OPEN /RBF7 17-Jan FUTURE 1.4638 MKT

Long GBP

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/4/2016 9:11 FUTURE BUY 1 TO OPEN /M6BZ6 16-Dec FUTURE 1.2776

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Short F7 Crack Spread

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Crack
11.3896
10/4/2016 10:33 FUTURE BUY 1 TO OPEN /CLF7 17-Jan FUTURE 50.09
10/4/2016 10:33 FUTURE SELL -1 TO OPEN /RBF7 17-Jan FUTURE 1.4638

+$200 SP500 Short

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price
10/3/2016 15:01 SINGLE BUY 1 TO CLOSE /ESZ6 1/50 OCT 16 (EOM) /EWV6 2200 CALL 4.75
9/14/2016 11:09 SINGLE SELL -1 TO OPEN /ESZ6 1/50 OCT 16 (EOM) /EWV6 2200 CALL 9