Mea Culpa
First, I need to relate a painful but valuable lesson I learned last week. In my previous post, I said that the CiG trade had fired a Buy signal on S&P Futures. As a fade strategy, the CiG trade frequently signals trades that I view as bat-shit crazy. It takes some teeth-gritting and reminding myself that this is fake money in order for me to be able to enter the trade sometimes. Last Wednesday was one of those times.
I dutifully entered the trade, but I put a $500/contract stop-loss order in, instead of the $1000 that the script calls for. I congratulated myself a couple of hours later when my stop-loss was hit, closing me out for a $500 loss, on saving the other $500 dollars. Well... go look at a chart for S&P Futures. My max unrealized loss that evening would have been about $700, and over the next two days we had a sizable rally. By the time the exit signal arrived, the trade as designed would have been up over $2000/contract, a big return. Instead, I was sitting on the sidelines with a $500 loss. My "judgement", in this case, cost me a total of $2500/contract. Ouch.
So why did I go against the trade as back-tested by NeighborTrader? My rationale at the time was that this was a fundamental market move, and we were in uncharted territory that couldn't possibly be handled by back-testing. OK, fair enough, and that's what judgement is for. But I took the wrong action based on that judgement: instead of tightening my stop, which cut my max loss by 50% but increased my probability of experiencing that loss by far more than 100%, I should have opted not to place the trade at all. If my comfort level with the risk is insufficient to execute the trade as designed, I should avoid the trade entirely - not cripple it and damn it to fail.
My conclusion was invalid, even if my assertion (these unprecedented times are likely to cause the trade not to work) was valid. But what about my assertion? If we want to look at unprecedented times, let's look at May 7, 2010, the day after the "Flash Crash" (I hate this term, by the way). CiG would have similarly fired a Buy signal at the end of the day that day, and the exit signal would have come two trading days later, for a profit of over $2200/contract. And here's the thing: NT back-tested this trade before May 7, 2010. That's out-of-sample data, and thus can't be discarded as sample bias in his back-testing.
So my assertion -- unprecedented times invalidates the trade signal -- was invalid, and my conclusion on how to act on it -- tighten the stop -- was invalid as well. Look, I'm not perfect, but if I had gotten either thing right, I'd feel a lot better about it. Anyway, $2500 lesson learned: either follow the trade, or don't do the trade - don't adjust the trade on the fly based on my gut.
Oh, and you may recall me mentioning that "by rights, I should be short Ten Year Futures, too". That trade, if entered, would have made another $1250/contract over the course of three trading days. Sigh.
CS|MACO
Last Wednesday night, not long after my stop-out, AAII's sentiment survey for March 17 was posted, and those inversely prophetic investors had some pretty negative things to say about the market. Bullishness dropped all the way to 28.5%, just below the CS Buy signal level of 31.5. With SPY trading between its 25SMA and its 200SMA, the MACO component was giving a hearty "meh" signal. Buy + don't-care = Buy. So I bought a unit of SPY the next morning... at 128. SPY is still in MACO's "meh" territory, but up 1.66/share from my buy price; AAII publishes another weekly survey overnight tonight. If my individual investor peers recognize the cessation of the downtrend last week and get more bullish ("bullisher"?), I might find myself selling SPY on the open tomorrow morning. But they'll have to get a lot "bullisher" - 41.5% or more - for me to take my profits and go home. We'll see.
General Thoughts
As regular readers of this blog know, I run multiple trades in my paperMoney account at ThinkOrSwim. Besides the ones mentioned above, I also have a bullish NDX option vertical spread on to simulate a collar, a bearish SPX option vertical spread, an Iron Condor in RUT (Russell 2000) and naked-long SPY puts. I'm also looking for a dip in gold to buy back some GLD calls, after having exited my March calls before expiration. The problem that I am starting to run into is that I have too many trades on the stock market - and many of them are nearly perfectly inversely correlated. The worst offenders are the bearish SPX and bullish NDX spreads. CiG and CS|MACO only hold positions once in a while - but the option spreads are there all month long, every month.
This false diversification doesn't benefit me at all - if they were real trades I would be spinning my wheels spending commission on an expectation of about 0 profit. In a paperMoney account, this isn't so bad, because I can use the excuse that I am looking for profitable trades: the unprofitable ones will never "go pro" into a real money account. But this is kind of a hollow argument, because any of these trades can be profitable or unprofitable, depending on the market conditions.
This issue bears more consideration.
And a Micro Rant
"They", whoever they are, changed the Nasdaq-100 ETF's symbol from QQQQ to QQQ last night. WTF??? Didn't they just change it from QQQ to QQQQ a few years ago? Make up your minds!
Showing posts with label 10yr futures. Show all posts
Showing posts with label 10yr futures. Show all posts
23 March 2011
16 March 2011
Keep Your Head Back
Let's lead this one with a chart, courtesy of BigCharts.com. I'm using SPY here as a proxy for the S&P 500... mostly because I couldn't figure out how to hide the volume, and the index's volume is empty and boring. The shape is the same, so it doesn't matter. It looks a lot like the first 60 seconds on an awesome roller coaster.
Let's put this in perspective. This is a 6-month chart, so it goes back through mid-September. SPY was somewhere around 112 back then, and it closed at 126.xx today. That's a 12.5% return over 6 months, or 25% annualized. Wow, what a great stock market! OK, yes, from the high of 134.xx one month ago on February 18, SPY is down 6%, or 72% annualized -- but of course if you really think it's going to continue at this pace for 11 more months, I have some swampland to sell you. But let's look at the last month, shall we?
Watching the activity in the market on Feb 23, I started worrying that we were about to see another Flash-Crash-type event. The spreads were widening and the markets were looking really jittery. I bought some puts on SPY, expiring in April. I still have them, and I see no reason to sell them just yet. I also have a bullish option spread that simulates a collar in NDX. It's pretty deep underwater (duh), but this is a continuation of the collar trade I've been running for a long time, and I won't be changing it now.
Besides the stock market, what have been the other financial effects over the last month or so? And just for fun, I'll talk about my activities where appropriate.
Let's put this in perspective. This is a 6-month chart, so it goes back through mid-September. SPY was somewhere around 112 back then, and it closed at 126.xx today. That's a 12.5% return over 6 months, or 25% annualized. Wow, what a great stock market! OK, yes, from the high of 134.xx one month ago on February 18, SPY is down 6%, or 72% annualized -- but of course if you really think it's going to continue at this pace for 11 more months, I have some swampland to sell you. But let's look at the last month, shall we?
- Major unrest in the Middle East, including full-scale revolt in many of our oil suppliers, has caused Crude Oil futures to shoot up above $100/bbl (only $98/bbl today - what a bargain): well into production-drag territory;
- Japan suffered the worst earthquake in... what? forever? a long freaking time, anyway, and its nuclear plants are about to unleash a glowing hell on the Pacific Rim;
- The festering pimples in the European economy are starting to look like they're about to pop one after another: Ireland, Portugal, Greece, etc;
- The Federal Reserve's credibility is finally starting to be questioned, and major indications have started surfacing that inflation will be a bigger problem than people have been assuming;
- And Charlie Sheen, OMG.
Watching the activity in the market on Feb 23, I started worrying that we were about to see another Flash-Crash-type event. The spreads were widening and the markets were looking really jittery. I bought some puts on SPY, expiring in April. I still have them, and I see no reason to sell them just yet. I also have a bullish option spread that simulates a collar in NDX. It's pretty deep underwater (duh), but this is a continuation of the collar trade I've been running for a long time, and I won't be changing it now.
Besides the stock market, what have been the other financial effects over the last month or so? And just for fun, I'll talk about my activities where appropriate.
- The Canadian Dollar roared up and then slunk back, since the Fed-bashing started early on, but the flight-to-quality has taken over the last few days.
- I bought FXC (the Canadian Dollar ETF) today.
- The Ten Year Note, in a strong downtrend at the end of the year and trading sideways-to-down through mid-February, suddenly pointed its nose at the sky as of the end of last week and turned on the after-burners.
- By rights, the CiG trade should be short the ten-year note futures, but I opted for buying S&P futures instead, reasoning that the return on S&P should be more extreme than on Ten Years. I was right. I bought S&P on the close, and was just stopped out for my max loss a moment ago.
- Crude Oil futures traded as high as $107/bbl on March 7, and are back down to $97/bbl now in a pretty (but meaningless) isosceles triangle pattern on the chart. Daily ranges expanded big-time, as the market tried to constantly adjust to unfolding events in the Middle East. It's back down now mostly on Dollar strength, I think, but 97 is still far above the 85 it started from in February.
- Agriculture futures (corn, wheat, soybeans) all have the same triangle pattern as Crude Oil, without the big gap-up at the beginning. Again, USD strength as everyone runs like hell into something "safe".
- I hold DJP, which is a commodity ETF which holds 33% energy, 30% agriculture, and 31% metals. This is a long-term play against the USD that I put on back in January. I have no interest in selling it at this point -- I only wish I'd bought a long time ago.
- Gold has traded pretty sideways recently, victim of the risk-on/risk-off tug-of-war that's been going on since Charlie Sheen started distracting us from trivial Middle Eastern matters.
- I've had big gold positions on for a long time, and just today I sold some calls that are due to expire on Friday, taking a small loss. When the nuclear crisis in Japan finally settles down, I'll buy some more, because the dollar will suddenly seem like a bad idea again.
16 November 2010
Big News for Boring Trades
It's been a busy few days. The CiG trade finally fired a signal on Friday, but I was in Colorado all weekend so I didn't have time to write it up. Then I came home with a head-cold just in time to support a major roll-out at the office that went pretty wrong. By the time I got home last night all I wanted to do was sleep. So now here we are. Excuses excuses.
Saving Money While Asleep
First the CiG trade on Friday. You may recall I decided to run it on S&P futures as well as treasury note futures, because I feared that treasury notes would bore me to death. On Friday, it signaled a buy-on-close on the S&P, so I did. Things were looking good Monday morning, but not good enough to reach the target exit signal. By this morning, the whole world was fleeing from risk again and the stock market opened significantly lower. Since there are no clearly-defined stop rules, I decided to sell the position for a loss shortly after the stock market opened. I felt that what we were seeing was not a momentary blip but in fact a setup for a selling day. I was right: I sold the position at 1188 at 9:00. At the 3:00 close, ES was down to 1176.
Because CiG tries to buy on dips, though, it had another buy signal come out on ES today. Pleased at my ability to dodge at least some of the sell-off today, I decided to get back in with a new long position at the close. So I'm still long from Friday, but I took a 12-point ($550/contract) hiatus. That's almost a winning trade all by itself. Not a bad money-saving siesta.
No joy in treasury note futures yet. Yawn.
Insert Spy Pun Here
CS|MACO, another boring trade, is finally starting to see some life. It has been locked flat while SPY has rallied over the last 3 months, due to the bearish signal coming out of the contrarian investor sentiment component and the bullish signal coming out of the moving-average-crossover component. One of those two opposing forces was removed today when SPY closed below its 25-day moving average, breaking the SPY>25MA>200MA relationship that has been in place since October 4. That's not a sell signal yet, though, because the terms of the trade state that I won't enter a position on the removal of a signal. I need the CS component to affirm its bearishness tomorrow after the close before I can short this puppy.
A Boring Iron Condor is a Good Iron Condor
Unfortunately, this one is starting to get a little exciting. When I opened the position I groused about my poor judgment a little bit regarding the low price I was paid to initiate. Sure enough, the VIX almost immediately rallied while RUT flagged, causing my delta to increase as I rode the curve down toward my put spread. Delta of +16 this morning, so time to adjust already.
It seems ridiculously early to be thinking about exit orders, but I could buy back my call spreads for only 60c already; so I put in some limit orders to buy back at 20c. That doesn't help my delta, but it does lock in a profit on half the trade - and with some careful adjustment the other half might not cost too much.
As for the put spreads, I looked at the mouse-ear like I used last month and decided it was overkill: RUT was 710 or so when I was adjusting, and my put spreads are 660/650s. A mouse-ear would throw my delta so horribly negative that I would have to buy back most if not all of my call spreads to contain it. Plus it was crazy-expensive, at $21.
The next thing I looked at was simply reducing the call spread position. That would certainly help the delta and the feel of the position, but I felt the cost was a little high. A variant of this is to roll the call spread down a few strikes, also increasing the position a bit to finance the roll. This increases risk, and I wasn't happy with the outcome or my perception of the risk-reward trade-off.
I also looked at Wolfinger's Kite Spread, which involves a naked long OTM put and a credit put spread even farther OTM with 3-4x the size on it for financing. That had some real potential, but it really hurt the theta. Ultimately I decided I could achieve my delta goals and flatten the value graph best by putting on some 630/640 debit put spreads. I bought just enough (at 1.90) to get the delta under +5. By the close, the delta was back up to +5 again, but that's within my parameters.
Boring News for Big Trades
I'm still not holding GLD calls, and I'm glad. I'm looking for bargains in some of the mining companies right now, but I haven't had time to look very hard yet. Earnings season is upon us, and if I can capture a couple of positive earnings surprises before the event-driven IV goes through the roof, I'll be a happy camper.
Saving Money While Asleep
First the CiG trade on Friday. You may recall I decided to run it on S&P futures as well as treasury note futures, because I feared that treasury notes would bore me to death. On Friday, it signaled a buy-on-close on the S&P, so I did. Things were looking good Monday morning, but not good enough to reach the target exit signal. By this morning, the whole world was fleeing from risk again and the stock market opened significantly lower. Since there are no clearly-defined stop rules, I decided to sell the position for a loss shortly after the stock market opened. I felt that what we were seeing was not a momentary blip but in fact a setup for a selling day. I was right: I sold the position at 1188 at 9:00. At the 3:00 close, ES was down to 1176.
Because CiG tries to buy on dips, though, it had another buy signal come out on ES today. Pleased at my ability to dodge at least some of the sell-off today, I decided to get back in with a new long position at the close. So I'm still long from Friday, but I took a 12-point ($550/contract) hiatus. That's almost a winning trade all by itself. Not a bad money-saving siesta.
No joy in treasury note futures yet. Yawn.
Insert Spy Pun Here
CS|MACO, another boring trade, is finally starting to see some life. It has been locked flat while SPY has rallied over the last 3 months, due to the bearish signal coming out of the contrarian investor sentiment component and the bullish signal coming out of the moving-average-crossover component. One of those two opposing forces was removed today when SPY closed below its 25-day moving average, breaking the SPY>25MA>200MA relationship that has been in place since October 4. That's not a sell signal yet, though, because the terms of the trade state that I won't enter a position on the removal of a signal. I need the CS component to affirm its bearishness tomorrow after the close before I can short this puppy.
A Boring Iron Condor is a Good Iron Condor
Unfortunately, this one is starting to get a little exciting. When I opened the position I groused about my poor judgment a little bit regarding the low price I was paid to initiate. Sure enough, the VIX almost immediately rallied while RUT flagged, causing my delta to increase as I rode the curve down toward my put spread. Delta of +16 this morning, so time to adjust already.
It seems ridiculously early to be thinking about exit orders, but I could buy back my call spreads for only 60c already; so I put in some limit orders to buy back at 20c. That doesn't help my delta, but it does lock in a profit on half the trade - and with some careful adjustment the other half might not cost too much.
As for the put spreads, I looked at the mouse-ear like I used last month and decided it was overkill: RUT was 710 or so when I was adjusting, and my put spreads are 660/650s. A mouse-ear would throw my delta so horribly negative that I would have to buy back most if not all of my call spreads to contain it. Plus it was crazy-expensive, at $21.
The next thing I looked at was simply reducing the call spread position. That would certainly help the delta and the feel of the position, but I felt the cost was a little high. A variant of this is to roll the call spread down a few strikes, also increasing the position a bit to finance the roll. This increases risk, and I wasn't happy with the outcome or my perception of the risk-reward trade-off.
I also looked at Wolfinger's Kite Spread, which involves a naked long OTM put and a credit put spread even farther OTM with 3-4x the size on it for financing. That had some real potential, but it really hurt the theta. Ultimately I decided I could achieve my delta goals and flatten the value graph best by putting on some 630/640 debit put spreads. I bought just enough (at 1.90) to get the delta under +5. By the close, the delta was back up to +5 again, but that's within my parameters.
Boring News for Big Trades
I'm still not holding GLD calls, and I'm glad. I'm looking for bargains in some of the mining companies right now, but I haven't had time to look very hard yet. Earnings season is upon us, and if I can capture a couple of positive earnings surprises before the event-driven IV goes through the roof, I'll be a happy camper.
08 November 2010
January Iron Condor
As I planned on Friday, this morning I closed the rest of my December RUT iron condor position for a total profit of 86c per original contract. I opened the December position on 6 October, so that means I had just about an 8% return on initial margin over the past month. By normal investing standards, that's an amazing return, but let's put this in context: the same strategy lost 7% on its November position and just under 2% on its October position. To a normal buy & hold investor, this is pretty frightening levels of risk; to a professional in the futures industry that plays poker and trades options on the side, 8% in a month is bordering on boring. All a matter of perspective.
On 15 October, I made a pretty big delta adjustment by buying a 760 call. The original call spread was 770/780, so this is what is known as a "mouse-ear" adjustment. This is one of the most expensive adjustments that can be made, but also one of the most effective. I feel like given the market action during that time I should have taken a less extreme approach, but after the prior two losing months I was a little gun-shy. Despite leaving some profit on the table by solving a minor problem with a big hammer, my confidence definitely benefited from a nice smooth month of price action resulting in a near-target profit.
I also opened a January 2011 position (650/660/810/820) this morning, although with implied volatility as low as it is I don't feel that great about the price I managed to get for it: only a 2.90 credit. This is a little on the low side, and that reflects the low VIX environment that we're in. I probably should have waited until VIX popped back up some, but this puts me into unfamiliar territory: I know that a good price during this time-frame is about 3.50, but I'm not quite sure what a good price is a week or more from now. Rather than sail into unfamiliar waters, I chose to limit my profits over the next month or so. I'm not sure that was a great decision, but I will persevere.
This is why we paper-trade.
By the way, if anyone tells you how easy it is to make money with Iron Condors, don't believe them - and definitely don't give them any money to manage. It is a very difficult strategy that takes a lot of creativity and experience to manage effectively. I'm certainly not an expert, and it might be tempting to discount my assertions of how difficult it is; but clearing companies' databases are littered with busted accounts that jumped into the trade without an appreciation for its subtlety and dangers. I am determined to learn this trade and how to profit with it, and to succeed where so many others have failed.
Speaking of boring trades, CS|MACO is still dead-locked flat as CS is screaming short and MACO is screaming long. Remember I said a trending market is not CS|MACO's friend? Yeah. The other boring one is the trade I wrote up in Collaboration is Good, which apparently I haven't named - let's call it CiG. No trades in 10-year note futures there, either, so I think I'll start running it in S&P and Eurodollar futures also. I ran back through the chart for the last couple of weeks, and it wouldn't have traded anyway, so I haven't missed anything.
On 15 October, I made a pretty big delta adjustment by buying a 760 call. The original call spread was 770/780, so this is what is known as a "mouse-ear" adjustment. This is one of the most expensive adjustments that can be made, but also one of the most effective. I feel like given the market action during that time I should have taken a less extreme approach, but after the prior two losing months I was a little gun-shy. Despite leaving some profit on the table by solving a minor problem with a big hammer, my confidence definitely benefited from a nice smooth month of price action resulting in a near-target profit.
I also opened a January 2011 position (650/660/810/820) this morning, although with implied volatility as low as it is I don't feel that great about the price I managed to get for it: only a 2.90 credit. This is a little on the low side, and that reflects the low VIX environment that we're in. I probably should have waited until VIX popped back up some, but this puts me into unfamiliar territory: I know that a good price during this time-frame is about 3.50, but I'm not quite sure what a good price is a week or more from now. Rather than sail into unfamiliar waters, I chose to limit my profits over the next month or so. I'm not sure that was a great decision, but I will persevere.
This is why we paper-trade.
By the way, if anyone tells you how easy it is to make money with Iron Condors, don't believe them - and definitely don't give them any money to manage. It is a very difficult strategy that takes a lot of creativity and experience to manage effectively. I'm certainly not an expert, and it might be tempting to discount my assertions of how difficult it is; but clearing companies' databases are littered with busted accounts that jumped into the trade without an appreciation for its subtlety and dangers. I am determined to learn this trade and how to profit with it, and to succeed where so many others have failed.
Speaking of boring trades, CS|MACO is still dead-locked flat as CS is screaming short and MACO is screaming long. Remember I said a trending market is not CS|MACO's friend? Yeah. The other boring one is the trade I wrote up in Collaboration is Good, which apparently I haven't named - let's call it CiG. No trades in 10-year note futures there, either, so I think I'll start running it in S&P and Eurodollar futures also. I ran back through the chart for the last couple of weeks, and it wouldn't have traded anyway, so I haven't missed anything.
30 October 2010
Collaboration is Good
NeighborTrader has been making some comments lately about a trade he has been backtesting. At first, he was trying to work out a way to make it an intraday trade so that he could run it at the office as part of his job. A fairly new trader like him tends to prefer that route, because he has a lot more resources to throw at it sooner if it goes well than if he has to save his money to cover the margin. Unfortunately for him, after playing with a lot of different variables he came to the conclusion that the trade worked best on daily charts, which means long-term holding times. Since our firm has a day-trading culture and isn't really set up from a risk-management standpoint to hold trades for more than a few hours, that pretty much precludes him running it as part of his job.
Knowing that I've been running long-term trades in paperMoney, he chatted with me yesterday about his trade and the methodology he was using to backtest it. I have to admit, I'm pretty impressed at how rigorous he's being with it considering: (a) he has no academic or professional experience with formal backtesting; and (b) it's something he's doing for himself on the weekends and committing very little capital to. He even went so far as to buy historical data, something most of the guys at the office don't do for their big trades. He also bought a book to learn proper backtesting methods to minimize the chance of sample bias and curve-fitting.
Since it's his trade, I don't think it's right for me to go into it in detail on a public blog. He gave me all the information I need to run it myself, and suggested some products to run it in, and I plan to do so, although I can't think of a good name for it right now. But I'll leave the parameters a little hazy to protect his intellectual property. Suffice to say that it is pretty similar to CS|MACO in that it looks to enter positions contrary to market consensus, but only to do so when it isn't fighting a strong trend. It seeks to buy dips and sell spikes, and it's purely technical, using indicators widely available on most charting packages. It also trades very infrequently, so I might have to run it on more than one product just to avoid being bored.
He's been running it in S&P-500 Futures (it needs a lot of leverage to succeed, and he understands futures very well since that's his job) and a couple of other products. He just exited a trade in it today for a nice fat profit. Since I already have CS|MACO running on SPY (the S&P-500 ETF), and I have other trades running on other equity indexes (Iron Condors on Russell, Collars on Nasdaq-100), I think I'll run it against US Treasury 10-year Note Futures. This trades at the CME since they merged with CBOT, and it's available in paperMoney.
Speaking of CS|MACO, it's been quiet for a while now. Individual investors have stayed bullish (they've been right for once), and SPY has stayed above its 25-day moving average. Long+short = flat, so I've been watching this whole move from the sidelines. The last couple of weeks haven't been good for any trade except iron condors, with the stock market going pretty much sideways. Something has to give with CS|MACO soon, though, because the 25-day moving average and the closing price are converging.
Knowing that I've been running long-term trades in paperMoney, he chatted with me yesterday about his trade and the methodology he was using to backtest it. I have to admit, I'm pretty impressed at how rigorous he's being with it considering: (a) he has no academic or professional experience with formal backtesting; and (b) it's something he's doing for himself on the weekends and committing very little capital to. He even went so far as to buy historical data, something most of the guys at the office don't do for their big trades. He also bought a book to learn proper backtesting methods to minimize the chance of sample bias and curve-fitting.
Since it's his trade, I don't think it's right for me to go into it in detail on a public blog. He gave me all the information I need to run it myself, and suggested some products to run it in, and I plan to do so, although I can't think of a good name for it right now. But I'll leave the parameters a little hazy to protect his intellectual property. Suffice to say that it is pretty similar to CS|MACO in that it looks to enter positions contrary to market consensus, but only to do so when it isn't fighting a strong trend. It seeks to buy dips and sell spikes, and it's purely technical, using indicators widely available on most charting packages. It also trades very infrequently, so I might have to run it on more than one product just to avoid being bored.
He's been running it in S&P-500 Futures (it needs a lot of leverage to succeed, and he understands futures very well since that's his job) and a couple of other products. He just exited a trade in it today for a nice fat profit. Since I already have CS|MACO running on SPY (the S&P-500 ETF), and I have other trades running on other equity indexes (Iron Condors on Russell, Collars on Nasdaq-100), I think I'll run it against US Treasury 10-year Note Futures. This trades at the CME since they merged with CBOT, and it's available in paperMoney.
Speaking of CS|MACO, it's been quiet for a while now. Individual investors have stayed bullish (they've been right for once), and SPY has stayed above its 25-day moving average. Long+short = flat, so I've been watching this whole move from the sidelines. The last couple of weeks haven't been good for any trade except iron condors, with the stock market going pretty much sideways. Something has to give with CS|MACO soon, though, because the 25-day moving average and the closing price are converging.
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