/GC BWB, /CL & /ZB Short Strangles, /6E remaining call vertical, /ZS IC closing trades, New /CL, /ZB Short Strangles

/GC Opening trade setup

Closed the trade on Mar 23.
Loss (after commissions) = $329.68


/CL Open trade setup

Closed the trade on Mar 23.
Profit (after commissions) = $195.16


/ZB Opening trade setup

Closed the trade on Mar 31.
Profit (after commissions) = $319.20


/6E Partially closed trade setup

Closed the remaining trade on April 2
Profit (after commissions) = $67.28


/ZS Opening Trade setup

All legs expired worthless on March 27
Profit (after commissions) = $153.82


Opened Short Strangle in /CL on Mar 16. Opened Short Strangle in /ZB on Mar 19

SOLD -1 STRANGLE /CLM5 1/1000 JUN 15 /LOM5 62/30.5 CALL/PUT @.35
SOLD -2 STRANGLE /ZBM5 1/1000 JUN 15/JUN 15 /OZBM5 178/151 CALL/PUT @0”21


YTD P&L

/ES (E-Mini S&P 500 Index Futures) Broken Wing Butterfly: 2/2/2015

BOT +2 BUTTERFLY /ESH5 1/50 MAR 15 /ESH5 1980/2000/2030 CALL @-3.75
Bearish bias
Order

Note: Commissions not included
Max. Profit = $2,375
Max Loss = $625.00
DTE = 45
BE = 2,024.00
POP =~ 63%
Max ROC  = 2,375/625 =~ 380% – this is only if the underlying closes exactly at 2000 (short strike) upon expiration.
Looking to buy the embedded short CALL vertical (-2030/+2020) for around 3.00.  Buying this for anything lower than 3.75 (credit collected for the trade) would turn the resulting regular butterfly (2000/2020/2050) into a risk free trade.

P&L diagram
Chart

/GC (Gold Futures) Broken Wing Butterfly: 1/6/2015 – Update 1

Opening setup/trade (Jan 6, 2015)

Bought back the embedded short PUT vertical (-1190/+1185) for 0.30.
BOT +1 VERTICAL /GCJ5 1/100 MAR 15 /OGH5 1190/1185 PUT @.30
Order

The remaining regular butterfly (1210/1200/1190) is now a risk free setup.
P&L diagram
Max. profit at expiration would occur at the short strike (1200).  GC is trading around 1294, but there are still 31  day left to expiration.  As such there is time to decide on when to close the trade.

Long the NOB spread via verticals: 1/7/2015 – Update (Closed)

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

Long the NOB spread via verticals: 1/7/2015

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.

P&L diagram
Chart