Closed: ODAX October 2018 Put Spread

Summary

One day short of two weeks after having opened the trade, the contraction in the Implicit Volatility and a tiny climb in the DAX allowed me to close the Put Spread for about 60% of the maximum profit.

DAX 30 Index on September 18th 2018. Source Investing

I´m happy that I closed this trade early too (September Option Expiration has not even arrived yet, four and a half weeks still to go for October OpEx) as being in the market during the shortest possible time reduces risks and allows entering new trades from better positions.

New position: ODAX October 2018 Put Spread

Summary

The DAX index is hitting again the lower 12.100 level so I decided to open a Put Spread for the October expiration cycle (44 days to go).

DAX 30 on September 5th. Source Investing 

Six and a half trading weeks to go and an Implicit Volatility of 18%. My bet is that the support will hold and the market will rebound again. If things go wrong, I will adjust the trade when the short option reaches 30 delta.

Closed: September 2018 Put Spread

Summary

Barely one week after opening the trade, out of a total of six, I reached 50% profit so I decided to close the trade and take the money from the table.

DAX 30 on August 21st. Source Investing

New position: ODAX September 2018 Put Spread

Summary

This morning, with the DAX 30 hitting 12350, I opened a 11500/11100 Put Spread aiming for the September expiration cycle (39 days until expiration).

DAX 30 on August 13th 2018. Source Investing

Six trading weeks to go and an Implicit Volatility of 19%. The DAX index has declined a bit during this month so my bet is for a slight rebound and a continuation of this sideways market for some weeks.

If things go wrong, I will adjust the trade when the short option reaches 30 delta.

How to import CSV files into Parquet with Kite SDK

Summary 

In order to perform some data studies, I need to import a CSV file, generated by Yahoo Finance and containing historical data from General Electric (GE) into Parquet files in HDFS so I can later run some Spark Jobs on it. 

The data is a time-series and that should be partitioned per year and month (just for the sake of the example).

In order to have a quick solution (I do not want to write a Spark Job or Java application), I will use Kite SDK.

Steps to follow

• Clean the data with a simple AWK script
• Define the schema of the Parquet file (column types, etc.)
• Define the partition strategy that is going to follow (for more optimal querying)
• Execute the import

Calendar Spreads using Put Options

Summary

As I am not too happy with the results, I have not deployed any Iron Condor lately. Nor I have had the chance of deploying a Put Spread, which is a trade that I am much happier with.

In the meantime I have been reading about Calendar Spreads and done a bit of paper trading with them. Today I would like to share my thoughts on them.

Note: This is not meant to be a proper study on Calendar Spreads, just some notes I have compiled on the way. Any serious study on a trading strategy requires a proper set of back tests.

Example Trade Setup: Positions opened, days until expiration (DTE) and debit invested

The calendar spread is composed of two positions (in this example PUT options for the German DAX30 - ODAX):

• Same strike price: 12500 points in this case.
• Different lifespan: A shorter one, using the front month (32 days) and longer in the other, some three or four months in the future (158 days).
• Short/long: You sell the front option and buy the option in the future.

As the option in the future has more time value, this results in an overall debit.

For instance, this is the current status of a "paper trade" that I have simulated for a couple of weeks:

Type	Name	DTE	Delta	Theta	Vega	Debit/Credit
Long Put	December 12500	158	-43,58	1,62	31,82€	-390€
Short Put	August 12500	32	35	-3,68	11,83	90€

Results in this profit/loss graph:

The orange line is the profit/loss at the expiration date of the short option, while the blue line is displaying the profit/loss 9 days after opening the trade. Note that the amounts are all multiplied by 5 here as each ODAX option represents 5 contracts (or 5€ per point).

Closed: ODAX May 2018 Put Spread

Summary

Yesterday was the unusual case when, right after opening a position, the market makes a sharp movement in my favor. So sharp that I was able to collect 60% of the maximum profit in just one day. Therefore, it did not make sense risking the exposure for one month and a half, only to get the 40% remaining.

DAX 30 on April 6th 2018. Source Investing

Trade Status

After closing the spread, I booked a gain of 81€. With that, the current gain since the beginning of the year is 0,49%. DAX 30 index is down 4,9% in the same period of time.

Type	Name	Open Date	DTE	P/L
Put Spread	ODAX May 2018 10700/10300	4/4/2018	44	81,00€

All the trade details can be found here.

Portfolio

No open position in the portfolio right now. I might reopen the Put Spread if we test again the lows made last week.

See also

• Opened: ODAX May 2018 Put Spread
• 2018 trades (so far)
• 2017 track record