I have slighted away from my initial concept to have around 5 open positions and trade around them, but I think I am going to make an effort to return to that. In the past few weeks I have experienced significant volatility in overall P&L but, despite it working out quite well for me and reaching a new high of 60% return since inception, my Sharpe ratio has taken a significant hit–and this isn’t a healthy direction to go. So I will try to focus on spreading out positions once again, and reducing size.
I will be spending some time on SeasonAlgo this week and looking for a few ways to spread things out in these interesting times.
CL Crude Oil Inventories rose significantly after being reported on this week; this drove the differential of my -Jun/+Dec CL Crude Oil calendar in a favourable direction. This was pleasant news because, up until I closed it at $5.05, it was by far my largest position. In a way I am glad it is closed now so I am not waking up in the middle of the night catching myself thinking about it. If I decide to get back into this trade, I likely will take a more modest position size and it probably won’t be contributing to huge swings in P&L. Total profit per contract this time around was $0.95.
The GF Feeder Cattle reverse calendar for +Mar/-Apr is my current largest position now and only remaining seasonal trade (ZC Corn was closed for a small loss). As mentioned in the previous post, this position contributed to a large swing in P&L when it unexpectedly moved against me fairly aggressively. My decision to stick it out and play the probability as opposed to the P&L was rewarded: the spread started to collapse and eventually broke into positive territory. I did not take any off the table or add any, and it reverted back to my entry level. We will see how this plays out in the next few weeks, as I will be due to close it at some point.
This isn’t a position I have open, but I just thought it was a little humorous. Not too long ago I had closed a position in BBRY Blackberry which I closed due to a bad feeling I had in equities (just some weird behavior). A few days after I had closed that position, there was a rumor which hit the news saying Samsung was looking into a takeover of Blackberry send it up about 30% in the afternoon session. As it was happening, I certainly felt like I missed out by just a hair. After the news hit that Samsung didn’t really have any intention of buying BBRY, it sank back down just as quickly. I have mixed feelings about the episode, but I thought it was a pretty interesting reminder of how quickly information moves markets.
I am still holding my ES S&P 500 1810/1800 Bear Put Spread for March expiration. This trade hasn’t done much other than bounce around, it catches value on large down days and gives them back on up days. Because this is a very low risk low probability position I am not too worried about it. I might close this out just to clean up the portfolio a bit, also because my guess that equities might take a severe beating hasn’t really panned out yet. Since this is a time sensitive trade it may be a better decision to take it off the table.