Happy 2017 everyone! Since the new year began I’ve made about 35 trades, most of which were rolls of our old positions. As the January expiration started getting closer our gamma exposure started to creep up and make itself painfully known. I was seeing huge daily P/L swings (on the order of +/- 10%) and realized I waited way too long to roll our Jan monthlies out to Feb. This was around the 14DTE mark, and hopefully this weekend I’ll get some time to see if that figure is significant or just a coincidence. Regardless, I’ll be looking to roll prior to 14DTE in the future.

As I started making more and more trades this month, it became apparent that documenting them individually is going to get really cumbersome and redundant. Since several of our positions are now turning into multiple spreads layered around one another, I thought it might be best to keep track of things with a public Excel book. Keeping things organized this way will allow us to look back as sort of a trade journal as well as keep track of things like cumulative credit/debit as we roll and adjust spreads over time.

One thing the book has already helped me realize was that, while we’re trading defined risk spreads, we should stay away from BAC. Despite being a very easy instrument to trade options on (liquidity, volume), the low price of the stock means that even though I was able to close our short iron condor for 50% of max profit, I made a net $0 after commissions (2 spreads * 4 legs * $1.50 each way). I wanted to keep some exposure to financials and decided to replace BAC with JPM. Aside from also being a bank, JPM is very liquid with the added benefit of more expensive options by virtue of being a more expensive stock. The 52 week IV range is comparable between the two as well. All in all we made/lost $0, got $200 in margin back and got to watch a short iron condor progress over the course of a month without any adjustments.

Apart from the BAC wash, here’s a quick recap of the other 30 or so trades (which you can see in the excel file):

1. Closed what remained of the AAPL double calendar for a net loss of $112.50 all said and done. Initial debit was $111 after commissions. Closed the put side then rolled the calls twice for around even. Bad trade start to finish.
2. Flipped the AAPL backratio into a short Feb 115/120/125 iron butterfly. Initial b/r was $4 wide for $0.16 credit ($3.84 risk), after a series of rolls and adjustments we ended up with a short $5 wide ATM IF for a net credit of $3.62 ($1.38 risk).
3. Rolled out our BABA IC to Feb. Currently stands as a very narrow ($2.50 wide) short IC with $5 wide wings for a cumulative credit of $2.78. Initial credit was $0.94.
4. Sold another BABA Feb IC ($7.5 wide, $2.5 wings) for $1.14
5. Closed the put side of both our GLD short IC’s and rolled out the call sides to Feb, leaving us with 2 GLD Feb 111/114 call spreads for a cumulative credit of $1.19 and $0.87 respectively. Waiting for volatility to perk up a bit before I sell put spreads to reestablish these as IC’s again.
6. Rolled our IWM short IC up and out. Currently sitting on short 127/130/137/140 Feb for cumulative credit of $1.76, initial was $1.02.
7. After a series of rolls and adjustments, our PG position is a big nasty triple-decker short iron condor centered around the Feb 82.5 and 85 strikes. This is our biggest play on the board, probably too big. I constructed this as a large short vega trade and with a dividend next week and earnings the week after I’ll be looking to either significantly cut down on size or exit completely as soon as practical. Cumulative credit on the entire position is $8.43 ($7.83 net) with around $2 of risk.
8. Rolled and adjusted our TLT iron condor into a Feb 115/118/120/123 for a cumulative position credit of $2.14.
9. Sold an XOM iron butterfly $5 wide for $3.19. Earnings is in 2 weeks.

That’s all for now. I’m starting to get worried about how many February short iron condors and flies I have on as well as possibly getting overleveraged. My account NLV is showing around $2000 while my cash & sweep is over $4500. Due to all the rolling and adjustment I’ve been able to do for credit, I’ve managed to get myself 2x leveraged, and I feel like I’m trading money I don’t have. The goal for this month will be to completely unwind some of our bigger positions (AAPL, BABA, PG, TLT) and see how things look from there. With such a small account I don’t want to risk getting overleveraged and have one bad day completely bomb all of our hard work. I started to lose sight of one of our initial rules:

Don’t become overleveraged…taking on too many positions and becoming overleveraged can result in your account becoming hog-tied…it’s something I want to keep a sharp eye on.

On the bright side, throughout the rolls this week I was able to mind a different one:

No chasing bad trades. If we put on a spread and the underlying goes against us too quickly to defend, we will close the spread instead of rolling and widening the spread to try and chase the win.

Every single one of our rolls was done for a credit (though it did get messy rolling 4 legged spreads in 3 separate orders) and to either the same strikes or farther OTM. Gone are my days of rolling deeper into the money to chase the trade.

trade book (dropbox public file)