Gary LeBlanc

Gary,

March 54 put premium is about 3.5 now. Are you in red at the moment with your strategy ? 

Side question. What trading platform are you using ? 

I use many time frames for basis of trades... here is one of many charts I use for trades in ES... FWIW. Happy weekend all!

 

 

Edited March 3, 2020 by OilProspector

9 minutes ago, Mario Andretti said:

Gary,

March 54 put premium is about 3.5 now. Are you in red at the moment with your strategy ? 

Side question. What trading platform are you using ? 

Gary's b/e on March contracts are $50.00 or so if held to expiration if I am not mistaken. If below $50 he loses but if above he has a winner ~ he has the time to make any necessary adjustment. Gary... correct me if I am wrong.

My Net Purchase Price for the March contract is $52.67 - 2.67 or $50.00. However, all four of my monthly strateties are currently in a loss. March options expire on Feb 14th. Two weeks away. Currently WTI is $51.30. I use Interactive Brokers

2 hours ago, OilProspector said:

Was the spike up in CL a stop run? If so, we could have lower prices to come. Tik-Toc.

I HATE when they do that ~ run it up because we are going to take it down.

Jan 31 2020

  Had a busy week establishing 8 long positions in the March through June months with 54 puts shorted against all 8. Bought 2 each of March ( $52.67 ) Apr ( 53.40 ) May ( 53.21 ) and June ( 53.60 ). March contract finished the week at $51.62. All 4 months have orders to Sell to Open 58 calls at $3.00 waiting to execute. None even close yet. 

   Two conflicting data points that I am considering is the PCPR and the average peak-to-valley duration. The PCPR for the March contracts is 3.48 with an imbalance approaching $1,000,000,000. Very bullish but 13 more days to expiration so the PCPR can get even bigger, but it's significant as it is. Then the peak-to-valley duration is approximately 65% of the duration of the valley-to-peak which in this case was 65 days which gives an estimate of 41 days or so. It's been 19 days. 

Edited February 1, 2020 by Gary LeBlanc

Ut Oh! Waterfall event... closed out of ES/CL shorts WAY to early...

Looks like oil is going to mid 40's by Wednesday. I don't think that my March options contracts will rebound in green before expiration but it's possible.  

It always looks bleakest before a turn around. Every bit of news in regard to oil gets overblown in the futures market. Long 8 WTI contracts with 8 54 puts shorted against them. Mar contract expires on Feb 20th. Plenty of time. Huge imbalance in the options market suggests higher prices for WTI. Expecting a sideways trading pattern for the rest of the week.

Feb 4 2020

  WTI is currently $50.63. The current PCPR for March is now at 4.0 with an imbalance in excess of $1 billion. API comes out after the NYSE options market closes. If the data is super bullish for WTI and the price of WTI rallies while the New York offices are closed the market makers can make up to that $1 billion in profit by that scenario. WTI would have to rally to $56 or so overnight for them to collect all one billion but even a move to $53.00 would make them $500,000,000...overnight. 

Feb 4 11:00 EST

 Bought 4,000 shares of UWT at $7.85. Target: $10.25

Feb 5 2020

    Bought 2,000 shares of UWT at $7.40 on Tuesday. Placed a 5% trailing stop for this lot. UWT currently $8.33. WTI is 51.70

Update: 5% trailing stop kicked in at $7.97 on 2,000 shares of UWT bought at $7.40. Still have 4,000 from 7.85. Currently 7.92

Edited February 5, 2020 by Gary LeBlanc

Feb 6 2020

Placed order to buy 2,000 shares of UWT at $7.75. Currently holding 4,000 shares at $7.85. UWT currently 7.86. Long 8 WTI contracts with 54 puts shorted against them. Long grind up over the next 3-4 months. WTI currently $50.72

Update: Order to buy 2,000 UWT executed at $7.75. 

Edited February 6, 2020 by Gary LeBlanc

Feb 6

Futures account back up, made following CL trades: Sold 2 June $54 puts for 3.85, now @ 4.86, 2 May $54 puts for 4.36, now 4.48, and 2 Dec $54 puts for 6.51, now 6.20. May/June currently at loss (June was the first put on, before the recent excitement...), Dec up. Strategy down $1.4k, but it's early days. 

You're going to make a lot of money. Sold to Open my May 54 puts at $3.77 and June 54 puts at $4.03. 

Edited February 6, 2020 by Gary LeBlanc

Gary, 

Thinking about PCPR in HG, may do some work there. 

Do you know Zhang's work on manipulation in derivatives? Curious what you think of it. https://anthonyleezhang.github.io/pdfs/cmdcm.pdf

Thanks, M

 

Edited February 7, 2020 by marie elena

I started using a trailing stop for my WTI short positions only in the last year.  My last short position covered early when a stop loss that was set too close executed. Cost me some serious profit. Made like $18K and could've made another $30K. Oh well. As far as manipulation is concerned there will always be manipulation. I couldn't figure out how Zhang was going to profit from his research. Manipulation is not a consideration for me. It occurs daily in the both the WTI and options markets. I'm on the side of the ones doing the manipulation. I think it's insane to trade WTI from the retail side of it. Before I started trading WTI I had over 35 years of trading experience. I thought oil traders were the elite. Just the opposite. 99% of the oil traders I've come across are clueless. 

Thanks, I'm thinking about how to set trailing stops for different goals - if you go back, would you use a different rule of thumb to set it (1 vs 2%) or different data (1 vs 2 std dev, etc). Zhang is proposing a measure for regulators, but his market data might be useful to extend PCPR work to other markets -- which have conditions in place for MM's to drive prices ahead of option expiration. A time series of his measure doesn't seem useful to me, not enough variation. 

 

Gary,

From your older posts, it looks like you didn't always wait for $58 calls to be 3.00 before you sold them to open. Why the change, and why is 3.00 the magic trigger? As front month contracts are now lower in price then 2nd, 3rd out, we can't count on prices rolling up to expiry, one reason why I don't know if I'll use futures in the strategy even after step 2 of selling to open calls. 

-M 

Edited February 7, 2020 by marie elena

Feb 7 2020

  You ask intelligent questions. The reason why I Sell to Open the 58 calls at $3.00 is because a Net Sale Price of $58.00 + 3.00 = $61.00. My analysis indicates a price for WTI at $56.00 +/- $5.00. All my Net Purchase Prices are in the range of $50.00 for contract purchases. If I try for a higher price on the $58 calls I always run a higher risk of not having an order execute. $61.00 - 50.00 is over $10,000 profit per contract. My Sell to Open orders for the 58 calls are waiting to execute. The June contract order will execute first if any of them do. I anticipate at least 3 out of the 4 months' contracts that I have will be between $54 and $58 at the time the monthly options expire. So the secret is getting both puts AND calls shorted against my fuure contracts. I place these orders weeks in advance. Although it's cold right now eventually it will warm up and I'll be hopefully sailing out of contact. Trading won't be a possibility at that point. It won't matter. The money will continue to roll in. Hit an island and update my trading every few days. 

Edited February 7, 2020 by Gary LeBlanc

Feb 7 2020

  March WTI is trading at $50.69. March RBOB is trading at $1.5214. April WTI is trading at $50.88. April RBOB is trading at $1.6789. The March WTI contracts expire Feb 20th. Estimating a price of $55.94 for the WTI April contract sometime before its expiration in March.

Hi Gary, do you have a target for March before it expires based on the huge put:call ratio difference for options expiry next Friday?

No I do not have a specific target. Just higher based on the imbalance. If/when the PCPR gets close to 1.0 I'd liquidate if I wasn't shorting puts and calls against my position.  What will the price be then ? No clue, but higher if that happens. I don't "fixate" on a WTI price since I hold the contract until options expire. That's where the money is. The contract itself is just a vessel. I can't short puts and calls without owning the contract. Once I close out my options position I sell the contract.  No sure thing in this game although everyone is looking for a "sure shot". Long 8 WTI contracts and short 8 54 puts making me effectively long 16 contracts.  Also long 6,000 shares of UWT.

Edited February 8, 2020 by Gary LeBlanc

6 for 6 today... +3.2k ~ 😊 ~ Life is Good!

Edited February 10, 2020 by OilProspector

OilProspector how did you do today ?