Update Schwalbe trade

Ignatz

Member
the updated Schwalbe trade will start with the beginning of next quarterly option on Monday, December 23rd.
here are some analysis of the new trade, only little but very effective changes were made, like a smaller "V".

Schwalbe vs Asset Classes.PNG

and here the data:
Schwalbe Performance vs Asset Classes.PNG

comparison to other asset classes:
Schwalbe Asset Class Comparison.PNG
 

Ignatz

Member
my current trade today, entered on Sept 23rd. expires on Dec 20th. Next adjustment will be buying back a sold PCS 2850-2825 for $ 1.95 per GTC. sold some days before for $ 7.5
Screenshot 2019-10-29 17.59.15.png
 

Ignatz

Member
hi Randy good question ! i waited for it. The reason was simply: the backtests for the new system were not finished. With the new system there would have been a t+0 which would be more flat than now but also with lower upper expiration line.
 

Ignatz

Member
yeah i bought back a PCS (which i sold for $ 6 ) for $ 1.95 just some minutes ago. here is the actual trade, fat tailrisk at 1.4 k, V at 2.6k. Still a limit order active for reducing V for $0.95, at the moment at 1.20 to 35
Screenshot 2019-11-01 13.49.38.png
 

Ignatz

Member
i lifted up my limit a little to $1 and got filled. here is the actual trade. Max risk in "V" and fat tail is now below 1.5 k and profit line is above 1k.
Screenshot 2019-11-04 12.12.11.png
 

Ignatz

Member
i try to lift up the lower ! side of "A" (2825/2800) by a limit order for less than 1 $. makes the t+0 even more flat for a good price.
 

Ignatz

Member
9 (!) days before expiration (more than 5 weeks from now) the t+0 is way above the sea of death if volatility, which is pretty low at the moment, will stay at the same level. If volatility is higher, t+0 will even be slightly higher. And if my lift of the lower A-side will be filled it will also look better. limit is only 25 cents away from being filled
Screenshot 2019-11-05 15.15.09.png
 

Chuck Moore

New member
Hi Igi, Thanks for sharing your Schwalbe Trade. I like your approach in keeping the fat tail risk at a minimum. I have a couple of questions:
1. When you adjust to decrease the fat tail risk you buy back one of the credit spreads you sold earlier. Have you considered buying back the left side credit spread instead? It will cost you less.
 

Chuck Moore

New member
Second question
2. You said you don't adjust if the market is above the sea of death. I saw that in the trade in this thread you did adjust while the market was above the sea of death..... buying back some "V" butterflies and/or buying back the fat tail credit spread. These adjustments eliminate risk which makes sense. What triggers those adjustments.... a time frame, a price target or something else?
Thanks, Chuck
 

Ignatz

Member
Hi Igi, Thanks for sharing your Schwalbe Trade. I like your approach in keeping the fat tail risk at a minimum. I have a couple of questions:
1. When you adjust to decrease the fat tail risk you buy back one of the credit spreads you sold earlier. Have you considered buying back the left side credit spread instead? It will cost you less.
hi Chuck. yes it is possible to buy back the left side which is cheaper. i have an actual trade like this running with a limit order for buying back.

5 Nov 2019

07:23 AM

SCHWALBE: a new limit order: i will BUY (!) a PDS 2825/2800 for $0.95. it´s the lower side of "A" !


i am just testing this version especially when i sold 3 A and want to buy them back, but this doesn´t happen very often
 

Ignatz

Member
Second question
2. You said you don't adjust if the market is above the sea of death. I saw that in the trade in this thread you did adjust while the market was above the sea of death..... buying back some "V" butterflies and/or buying back the fat tail credit spread. These adjustments eliminate risk which makes sense. What triggers those adjustments.... a time frame, a price target or something else?
Thanks, Chuck
yes i dont adjust if i made NO adjustments in A which means price is running up right from the beginning as for example in dec 18 or sept 17. If i adjusted what means sold a PCS below min 1 % from entryprice and price is going up and buying back is getting cheaper for the A (move up AND loss in time value) i try to buy back for less than 50 %. only exception: when i sold 3 A´s then i buy back soon the last because the fat tail is at max risk and i want to reduce the risk asap. then it can be higher than 50 %. Buying back for more than 50 % "rebate" is also possible only with loss in time value after some weeks, if the price doesn´t move.
At the moment i run the old version because the tests for the new were not finished on Sept 23rd.
As i already mentioned: when the V is tighter now then i dont have to adjust soon because it only get´s critical when there are less than 3-4 weeks left til expiration. The t+0 will still be pretty close to the beginning but will start to drop. then it´s time to adjust IF (!) i am near or in the V. Near means to me less than about 2 % above V. But this are discretionary elements, i also look at the charts, support etc...
 

Ignatz

Member
i put in a limitorder for reducing the last V and there is still a limit order running for buying back the last A. If filled i am flat, max risk will be then about - 270 fat tail :) profit line at about 1k
 

Ignatz

Member
got filled and no "V" anymore so nearly no risk until 2800. Limitorder for lifting up A is reduced because of no risk. Don´t waste money. Time is on my side
Screenshot 2019-11-07 19.30.32.png
 
Top