ES, yield curve and gold

Discussion in 'Journals' started by atrp2biz, Jan 5, 2023.

  1. atrp2biz

    atrp2biz

    I've been internally debating whether or not to start this journal but have obviously decided to do so. I have been trading off and on for a decade but have been more focused (and successful) over the past couple years.

    I'll be posting my IB positions screenshots and YTD P/L at various intervals. I'm targeting +C$200,000 for 2023. I start each year 100% cash in this account as it makes taxes easier. It also lets me go skiing the last few days of the year without the urge to check my account. :) This is my 'fun' account. I have my other holdings in boring stuff and am generally buy-and-hold forever in my other accounts.

    TIA for your support, call-outs and musings.

    Views to start the year:
    1. I will be playing the steepener on the 2/10 yield curve. At the start of the year, the curve was inverted by 53 bps. I anticipate being in this trade for most of the year unless it hits my target of +30 bps.

    2. I'm a bit of a gold bug and my GC positions will be +delta biased.

    3. I'm short-term bearish on ES. I can see the potential of 3400 some time in Q1. It's been in a range since mid-December so unless we breakout (up) out of this range, this will be my bias for now.
     
    Last edited: Jan 5, 2023
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  2. atrp2biz

    atrp2biz

    Trades from Tuesday:
    1. IV on TSLA is through the roof so I toyed with a short January 100/120 strangle @7.83
    2. My go-to on the ES is short ES and 2x puts.
    3. Similarly, long GC and short 2x calls.
    4. Started my +2ZT/-1ZN steepener.

    upload_2023-1-5_17-33-19.png
     
    Last edited: Jan 5, 2023
  3. atrp2biz

    atrp2biz

    Wednesday:
    1. Adjusted my ES puts through the day.
    2. Rolled up some GC calls.
    3. Added a short Feb 63/70 put spread on CL.
    4. Added to the steepener.

    upload_2023-1-5_17-38-3.png
     
    Last edited: Jan 5, 2023
  4. atrp2biz

    atrp2biz

    Thursday:
    1. Added to steepener. I was intending to go to scale to +20/-10 at the start of the year. I'll hold here for a bit.
    2. Adjusted ES delta because I felt I was a bit too delta(-) and I want to be a little flatter going into tomorrow's NFP.

    I'm MST for those that are interested in time of trades.

    +~C$8k YTD

    upload_2023-1-5_17-41-45.png
     
  5. I am very interested in this table, what do you think
     
  6. atrp2biz

    atrp2biz

    1. ES spiked following NFP release. I rolled short puts up and out into February by selling put diagonals. I thought I was going to be whipsawed when ES briefly went red but it went up almost 100 points from the morning lows. I rolled puts up a couple of times to keep my delta in check. I should have rolled some more in the afternoon, but I wasn't in front of my computer. VIX contraction helped a bit. Going into the weekend short the equivalent of one contract.

    2. 2/10 finally steepened a bit today!

    3. Gold shot out like a rocket. I just rolled up a single call to flatten my position.

    Good start to the year: +$13k (it was a lot better in the morning!)

    Today's trades:
    upload_2023-1-6_15-29-28.png

    Current positions:
    upload_2023-1-6_15-36-35.png
     
    Last edited: Jan 6, 2023
  7. atrp2biz

    atrp2biz

    Rolled up ES puts early in the morning. At 9:33 MST, I legged into a SPX put diagonal (started with the long side) as I felt the ES was rolling over (see arrow below). I was right, unfortunately I didn't have the conviction to not fill the short leg. I leg into spreads once in a while which is probably a bad habit.

    Good day across the board with positive P/L in ES, SPX, GC, CL, 2/10s (although RTH isn't quite over yet but I'll be sitting on my hands for the rest of the day).

    My ES/SPX delta is a whisker short, but will flatten out with a breath of wind.

    upload_2023-1-9_13-37-3.png

    upload_2023-1-9_13-32-47.png
     
    Last edited: Jan 9, 2023
  8. atrp2biz

    atrp2biz

    Volatility was crushed across the board today--a true gift to my P/L. With the CPI release on Thursday, I closed all of my short vol positions (ES, GC, CL). I can't see vol being hit again tomorrow (Wednesday). My only positions are the SPX put diagonal and the steepener.

    Cash is a position, right?

    VIX
    upload_2023-1-10_14-6-58.png

    upload_2023-1-10_14-6-24.png
     
  9. atrp2biz

    atrp2biz

    So we’re up 80+ points since yesterday morning. It feels like the market is expecting a soft print. Therefore, I’ll play the contrarian.

    Setup for tomorrow:
    Short 3 ES @3969
    January 12 call ratio: +3 S=3950, -5 S=4000

    ES > 4020 will hurt a bit.
     
  10. Overnight

    Overnight

    That VIX is a nasty sneaky bitch. Just a gut feeling.
     
    #10     Jan 11, 2023