Systematic Put Write - January 2019

Summary

Today is January Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on January 18th 2019. Source Investing

Strong gains this month in the IBEX 35 January Future which closed at 9078 points, that is 526 points more (or + 6,18%) than the previous month.

As this value is above the strike price of the sold option (which was 8600) I get to keep all the credit initially received (+ 226,35 €).

Considering this, since its inception, the Put Write Strategy is at -3,1%.

Closed: ODAX January 2019 Call Spread

Summary

Today is January options expiration day and the 11400 - 11800 Call Spread expires yielding its maximum possible profit.

DAX 30 on January 18th 2019. Source Investing

Nice comeback from last Christmas lows however, it comes too late to affect this trade negatively. Now it is time to evaluate the situation but probably I will wait for new drops in the index to open new trades.

Closed: ODAX January 2019 Put Spread

Summary

This morning I have closed the trade at around 93% of the maximum possible profit with still 10 days before the expiration date.

DAX 30 on January 8th 2019. Source Investing

We are in a bearish setup, so it makes sense to me to eliminate some downside risk and wait for a new drop in order to deploy a new Put Spread using February options.

Systematic Put Write - December 2018

Summary

Yesterday was December Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on Dec 21st 2018. Source Investing

Sharp decline in the IBEX 35 December Future which closed at 8550 points, that is 506 points less (or -5,58%) than the previous month. This drop overwhelms the credit received for the short 9100 Put Option and results in a loss of 366,85€ this month.

Considering this, the Put Write Strategy is now at -5,8%.

New Position: ODAX January 2019 Call Spread

Summary

Complementing the Put Spread opened last week, I have opened a 11.400 - 11.800 Call Spread for the January expiration cycle. This effectively transforms the trade into an Iron Condor.
Also, in order to add some upside protection, I have bought a 11.350 - 11.400 Call Spread using February options. Ideally I would like to reuse this Spread again in February.

DAX 30 on December 17th 2018. Source Investing

Five trading weeks to go and an Implicit Volatility of around 21%. I should be able to hold longer before adjusting the trade given the fact that I have a debit Call Spread for February and the credit received from the Put Spread. The Put Spread, on the other hand, will be adjusted at 30 delta.

New Position: ODAX January 2019 Put Spread

Summary

Opened a new 9900 - 9500 Put Spread using the January 2019 ODAX options. DAX is now at 10740 (that is -6% since last week!).

DAX 30 on December 12 2018. Source Investing

Six trading weeks to go and an Implicit Volatility of around 22%. I will adjust the trade if the short option reaches 30 delta. Also I will close the trade if there is a bounce upwards and I am able to get a 60/70% of the maximum premium quickly.

Closed: ODAX December 2018 Put Spread

Summary

Today, I have closed the last trade involving 2018 options. With still three weeks remaining, taking 75% of the maximum premium is good enough for me.

DAX 30 on December 3rd 2018. Source Investing

In case there is a Volatility spike, I will be looking forward to January for deploying a new trade.