Category: Post mortem

When scalp goes wrong – Week 10

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New trades/adjustments

Date3/06
CycleMar/20
SymbolCOST
IVR78.03
StrategyIC
Strikesp:-$280/+$285 c:-$325/+$330
Price$1.85
PoP56%

Closed trades

CycleMar/20
SymbolSPCE
Total open price$1.42
Close price$1.24
Multiplier100
P/L$18

Daily Scalp

Date03/02/2003/04/2003/06/2003/02/20
SymbolSPXSPXSPXNDX
StrategyICICCr – CIC
Strikesp:-$3080/+$3075 c:-$3040/+$3045Multiple-$3020/+$3025Multiple
Price(o/c)$215/$500$370/$1000$55/0$510/-$2000
P/L-$285-$630$55-$1490
TriggerAnother huge move day! Early on the day SPX jumped up 2% so I thought ~4% is safe, however market proved me wrong. Market jumped again almost 4%! and my IC got wrecked. I finally started to trade the same direction as the market! Early I saw almost down 2% and set the call spreads at the high of the day. This is a disaster! Obviously I got greedy and traded too big! 2x $20 spreads! with SPX on at the same time, same direction! I did all I can to save the trade but couldn’t.

P/L Change

  • P/L Week: -$1822
  • P/L Year: +3012.5$(50.2%), including rolls and $1000 deposit($6k as base)
  • Total commission & fees: $770.48
  • P/L Year w/fees: $2242.02(37.367%)

With volatility expanding I got seriously hurt! I also made bad trades on scalp which give back all my gains this year! I also have to deposit more money to save my current positions. Not sure what I can do other than wait and hope volatility comes down, and with no enough capital to trade, I don’t know how or even if I want to put down more trades, although I know IV is high.

The fear on Coronavirus seems to be down a little, however panic selling continues and Fed rate cut didn’t work. I’ll probably start to invert some of my positions to cut loss.

Right now it does seem that adding static delta is a good idea, so I want to trade more daily expiration. However what I learned is that with violent move early during the day and super high IV, maybe I should trade the same market direction instead of fighting it?

I violated my rules

Jan 8th 2020 is not a day that I am particularly proud of: I violated my rules and almost blew up my account.

The background is a little complicated: Iran attacked US base in Iraq the night before and futures were down almost 2.5% at some point, and I thought there was no way they’ll bounce back and we might see a -3% day the next day. So I almost ready for scalping from the long side.

However in this wicked world we live in, Nasdaq opened green… I got up early and saw it, I go, how is this possible? Angrily puzzled, naturally I shorted NDX… and SPX, $10 spread and $5, then started my nightmare day, when /NQ is getting greener and greener, and my spread was fully in the money.

Then came the familiar feeling: I had to check the market every 10 second, I felt dizzy and defeated and wanted to close my eyes, and then I started to believe my trades had to work.

Finally I started to manage the position by selling put spread against it and I added to the short position, which at some point was tested too, when /NQ was up more than $100! My account lost almost 50% at the worst time, because my /CL and /GC positions started to go against me too.

Finally the option god heard my pray and the last 15 minutes the market started to reverse, however my $10 spread was closed under the water.

The daily scalp business continued to proved to be just gambling. However something I could do to improve? Stick to the plan!

  • Do not scalp immediately after market opens.
  • Wait for 1% move(in my defense, the market moved from -2.5% to +0.4% when I placed the trades)
  • Do not go too big! Currently $10 spread is still too big for me, especially when other conditions are not ideal.
  • Do not force emotional trades!