/ZN Opening setup/trade (Feb 11, 2015)
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Closed the trade for 0”03 debit
Closing trade
P&L Table
Profit = $44.64
/CL Opening setup/trade (Mar 05, 2015)
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Closed the trade for 0.20 debit
Closing trade
P&L Table
Profit = $195.16
SOLD -1 IRON CONDOR /6EM5 1/125000 APR 15 /6EJ5 1.185/1.19/1.065/1.06 CALL/PUT @.001
Neutral bias
Order
Note: Commissions not included
Max. Profit = $125.00
Max Loss = $500.00
DTE = 47
BE = 1.064 & 1.186
POP =~ 71%
Max ROC = 125.00/500.00 =~ 25%
Tgt. ROC (@ 50% of max. profit) = 62.5/500 =~ 12.5%
Depending on how the trade plays out, might adjust this or let it run.
SOLD -2 IRON CONDOR /ZNM5 1/1000 APR 15 /OZNJ5 131/131.5/124.5/124 CALL/PUT @0”06
Neutral bias
Order
Note: Commissions not included
Max. Profit = $187.50
Max Loss = $812.50
DTE = 41
BE = 124’130 & 131’030
POP =~ 74.5%
Max ROC = 187.50/812.50 =~ 23%
Tgt. ROC (@ 50% of max. profit) = 93.75/812.50 =~ 11.5%
Depending on how the trade plays out, might adjust this or let it run.
Note: Commissions not included
Opening setup/trades (Jan 8, 2015)
SOLD -2 VERTICAL /ZNH5 1/1000 MAR 15 /OZNH5 128.5/128 PUT @0”18
Credit = $562.50
SOLD -1 VERTICAL /ZBH5 1/1000 MAR 15 /OZBH5 147/148 CALL @0”29
Credit = $453.13
Total credit = 562.50 + 453.13 = $1,015.63
Closing trades
BOT +2 VERTICAL /ZNH5 1/1000 MAR 15 /OZNH5 128.5/128 PUT @0”07
Debit = $218.75
BOT +1 VERTICAL /ZBH5 1/1000 MAR 15 /OZBH5 147/148 CALL @0”42
Debit = $656.25
Total debit = 218.75 + 656.25 = $875
Profit = 1,015.75 – 875 = $140.75
Total commissions (opening & closing) = $36.84
Profit incl. commissions = 140.75 – 36.84 = $103.91
Some background on trading the yield curve.
Looking for a steepening of the yield curve. i.e. longer term yields rise faster than shorter term. In that event, shorter term bond prices would rise faster than longer term. Expressing that opinion via going long the NOB (Notes – 10 year over Bonds – 30 year) spread using verticals in /ZN & /ZB.
SOLD -2 VERTICAL /ZNH5 1/1000 MAR 15 /OZNH5 128.5/128 PUT @0”18
Bullish bias
SOLD -1 VERTICAL /ZBH5 1/1000 MAR 15 /OZBH5 147/148 CALL @0”29
Bearish bias
Order
Note: Commissions not included
SOLD -2 VERTICAL /ZNH5 1/1000 MAR 15 /OZNH5 128.5/128 PUT @0”18
Max. Profit = $562.50
Max Loss = $437.50
DTE = 43
BE = 128’070
POP =~ 50%
Max. ROC = 562.50/437.50 =~ 128%
Tgt. ROC (@ 50% of max. profit) = 281/437.5 =~ 64%. Will look to see how this spread trades relative to the short call vertical in /ZB – below. The 50% is something to shoot for initially.
SELL -1 VERTICAL /ZBH5 1/1000 MAR 15 /OZBH5 147/148 CALL @0”29 LMT
Max. Profit = $453.13
Max Loss = $546.88
DTE = 43
BE = 147’14
POP =~ 50%
Max. ROC = 453.13/546.88 =~ 83%
Tgt. ROC (@ 50% of max. profit) = 226/546.88 =~ 41%. Will look to see how this spread trades relative to the short put vertical in /ZN – above. The 50% is something to shoot for initially.
Gen ROC 