Thursday, 28 September 2017

ODAX November 2017 Iron Condor adjustment (III)


DAX keeps climbing and the Call leg of the trade is getting really close to the money, so I made the last adjustment before closing it. I rolled the put leg from 11500 to 12000.

There are still 50 days to go, so we are three weeks away from the usual 30 days mark when I like to close the trades. Let´s see if I can hold until then and I might break even for this month.

DAX on September 29th. Source Investing
Pretty nice climb during this month, all the way from 11950. Let´s see if the previous 12800 maximum value holds and we have a pullback that allows to close the position in a better condition. If not, I will close it for the bigger loss of 2017 (so far).

Monday, 25 September 2017

ODAX December 2017 Bull Call Spread


Last week, I bought a Dec 13600 Call at 50€ in order to act as a small hedge against a DAX climb and the threatened Nov 12800 - 13200 Call Spread. Thinking about this during the weekend, I realized that I could have made a better move by buying a bull call spread closer to the money.

Bull Call Spread. Source Wikipedia.
The setup that I could have used, could be this one:

BUYODAX Dec 2017 134001081-100€
SELLODAX Dec 2017 13600581+50€

I still would have had to pay 50€ and the maximum profits would have been capped to 200 points (950€ considering the paid 50€) but the hedge would have been bigger as the long position is closer to the money (13600 sits at 5 deltas while 13400 sits at 10 deltas).

Anyway, while the IV increased quite a bit, I guess due to the elections last weekend, and with a +0,30% increase in the spot value, I sold the 13650 Call at 51€ in order to enter in a bull call spread:

BUYODAX Dec 2017 13600581-50€
SELLODAX Dec 2017 1365048151€

This trade allows me to recover the invested premium while caps my profits to 50 points (250€)

Now, I am thinking about deploying a proper bull call spread in December, which should be closer to the money. Ideally IV should drop a bit to make the purchase cheaper.

See also

Tuesday, 19 September 2017

ODAX November 2017 Iron Condor adjustment (II)


DAX keeps climbing and the volatility is reaching year lows, so I bought a Dec 13600 Call option as a small hedge for further climbs. Also, if the market conditions are the proper ones, it will form the long leg of a possible December 13200-13600 call spread.

DAX on September 19th. Source Investing
By definition, there is very little chance for this option to gain value, but the low IV made it relatively cheap to buy and the November Iron Condor is being threatened on the call side.

Sunday, 17 September 2017

Adapting Hive partitions to different data sizes


Hive's table partitioning allows the user to have better querying performance as it avoids costly scans over data that is not relevant for the user. This partitioning is based on the data structure to be found in HDFS, as partitions match with directories.

One quite common usage for partitions is time series, which can be modeled like this:

Our TimeSeries entity

: The time-stamp has been decomposed in several columns that will form the partitions. Month and day are TinyInt in order to save space (we might end up having millions of records).

This can be easily partitioned by using this folder structure in HDFS, if we take a look we will see these directories (data shown for our table being partitioned by year and month):

As per the Hive documentation, the most optimal partition size is 2 Gb. What does it happen if you have defined a partitioning system that ends up in production with too big or too small partitions? Here some examples on how can you adjust your partitions using Spark.

Monday, 11 September 2017

ODAX November 2017 Iron Condor adjustment


Again, as it happened in late July, a nice climb in the index forced me to adjust the trade when the Call leg hit 30 delta.

Dax on September 11 2017. Source

The call side was deployed too close, even though the Implicit Volatility was relatively high when I opened the position.

Thursday, 7 September 2017

Closed: October 2017 Credit Put Spread


Today, after waiting a bit longer than expected (36 days out of a total of 79), I was able to close the trade.
DAX on September 7 2017. Source
I closed the Put Spread after reaching 50% of the maximum theoretical profit, which means 103€, or a +0,6% account increase since the beginning of the year (+6,7% compared to +5,8% in the DAX).