It looks like Greece is going to cause a lot of pain next week. I'm expecting another down week for ES so my hopes of having my current position reach its exit sooner rather than later may be a bit premature.
Last edited by rsm005; June 28th, 2015 at 06:05 PM.
This is the thousands of dollars question. Timing entering positions.
Frankly, I don't know. Greece vote is July 5th. We have employment numbers on July 2nd. A few other reports this week, manufacturing, construction, car sales, factory orders.
Will another good employment report be bearish news for ES because rate hike more certain?
I'm leaning to stay with my 20% of possible positions on through next week but I am in more of a conservative trading mode now. If I wasn't then I might be adding but not fill my account 100%. Maybe 50-75%?
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I'm in pretty deep on my last set of puts but I have almost a month of decay built into my position. I'm not sure what's going to happen but will take profits, even smaller ones, as they happen rather than wait for a 50% decay. I frankly don't care much about Greece, I think it's a red herring, my bigger worry is China entering "bear territory".
and if you don't have luck getting the precise historical SPAN data, it might be useful in reconstructing trade performance prior to 2013. With some caveats:
1. The data is for SPX, so divide by 5
2. Add something to account for the historical spread between IM and maint margin
3. If you have have enough history to know what an x delta, with x DTE short put requires in margin as a percent of the underlying ES contract, I think you could come up with some ratios that would work for various delta and DTE combinations.
4. You have option and underlying prices.
The net result would be an approximation, of course, but if the methodology was consistent for the entire time period, I *think* you could get enough information to know if strategy XYZ was a winner or way too risky.
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June /ES option trades below. I trade small lots especially on a highly leveraged instrument. Less than .20 delta on the options sold. Selling into weakness, closing the position if the option value decreases in short period of time or >50% decay in premium.
I sold more than usual Monday just because IMO this greece situation is nothing new, has been going on for almost 5 years.
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