Monday, September 14, 2009

LONG
- S&P 500: +4.8% since entry August 24 (using 200% leveraged fund)

SHORT
- Gold bullion: entry Sept. 14
- 30-Year Treasury Bond: entry Sept. 14

CLOSED TRADES (on the open of Sept. 14)
- Nikkei: -8.1% since entry August 17

Notes:
- New positions as of the open on Monday, Sept. 14. (Trade results as of the close of Friday, Sept. 11.)
- Unless otherwise noted, returns on trades are based on my own positions, not the underlying market prices. Returns from closed trades include trading fees. My own return may differ from the return of the underlying index, security or commodity because of variations in how the security I use tracks the market. In some cases, my return is based on a leveraged fund and may also include currency exchange into Canadian dollars.

9 comments:

Joe said...

Quick question to you, as I couldn't find answer on CFTC site...

Since you are using the futures AND options report (instead of futures only), how is this report accounting for long call/put and short call/put as being "long" or "short"....since a "short" put is bullish and "long" put is bearish....etc, etc.

Thank you, and great site.
-Joe

Alex Roslin said...

Hi Joe,

Good question to which I don't have the answer. You may ask the CFTC by emailing: questions@cftc.gov.

Regards,
Alex

Joe said...

Thanks. I sent them an email but in the meantime I found the answer anyhow, oh well.

Thanks for your reply

Joe

Alex Roslin said...

Hi Joe,

Please share.

Regards,
Alex

Joe said...

Alex - The options are converted into "futures-equivalent" position...which is what I was hoping to discover.


Extended explanation from cftc.gov -

For the COT Futures-and-Options-Combined report, option open interest and traders' option positions are computed on a futures-equivalent basis using delta factors supplied by the exchanges. Long-call and short-put open interest are converted to long futures-equivalent open interest. Likewise, short-call and long-put open interest are converted to short futures-equivalent open interest. For example, a trader holding a long put position of 500 contracts with a delta factor of 0.50 is considered to be holding a short futures-equivalent position of 250 contracts. A trader's long and short futures-equivalent positions are added to the trader's long and short futures positions to give "combined-long" and "combined-short" positions.

tony c said...

hi alex, i wanted to know if your gold short is with dzz. thanks tony

Alex Roslin said...

Hi Tony - no, it's with HBD in Toronto. Not a recommendation.

Regards,
Alex

Anonymous said...

Alex, I was looking into shorting the long T bond but it seems the cheapest way to do it (shorting a long etf like TLT) would still have me posting 50% margin and a borrowing cost of 2%. Now that would not be much when shorting equities but with relatively small movements (generally) in bond prices I feel like it is a lot. I would buy the leveraged inverse ETF's like TBT but not for anything I am going to hold more than couple days. Do you think I am thinking about this wrong on the cost of the short?

Alex Roslin said...

Hi Anonymous,

Thanks for your message. I can't give financial advice, but I can say my own trading costs using the inverse ETF HTD (in Toronto) and those in the backtesting are much lower than that. Very high trading costs would certainly affect the real-time results of any backtested system.

Regards,
Alex