Performance Report Week 33/2015

On Friday the EuroStoxx 50 closed at 3,491 points almost 5 % down from one week earlier. Volatility moved up to 22.84. All in all we are still in a good range, but I will have to keep a close eye to the market. As the expiration in September moves closer, the possible premium to adjust gets lower. Bigger price movements are getting potentially riskier.

After I have shown the position statements from my brokerage account, I decided to adjust the presentation for a better readability. At first the classic screenshot of the open positions:

We find 2 straddles at 3,350 and 3,550 points. The upper protection comes from the in-the-money short put option at 3,750 points. The bull put spread at 3,200/3,100 points forms the lower protection.

Position Overview

The following table is prepared for easy comparison and understanding. It will summarize all the trades including the closed ones. That allows us to always keep track of the book value and the realized income/ loss.

Let me explain the numbers in detail: The table contains a list of all traded option contracts since opening the strategy. It includes the number of contracts sold (negative) and bought (positive) and the cost price.

The following 3 column areas keep track of the short side and long side of the strategy. The short side will mostly contain the straddles while the long positions are only positions for protection.

The total opening value shows that we earned a total premium of 9,320 EUR up to now. At the same time we have spend 1,644 EUR for protection.

The total book value presents the current market valuations of each position.

The difference between opening value and market value will be our result if we closed the trade. That means, if we closed all short positions right now, we would be left with a profit of 2,150 EUR. Selling the protective puts would at the same time cause a loss of 914 EUR. Overall total profit would be 1,236 EUR as of today.

Trading Plan for Next Week

The range is still bound between 3,300 and 3,800 points. That leaves us with plenty of room to move up and down for a while. If we moved below 3,350 points I would sell a last straddle at 3,150 points with a total premium of 250 points. On the upside, we are left with 3,750 points. If we move to 3,700 points again, I would close the trade and take the profit.