Digital Mystery

Photo clues lead to camera's owner

IB Olympiad Week Three (GREEN!)

Liquidation Value: $1,038,799.64 +$232,189.79 on the week

Positions:

Longs:
FDG

Shorts:
CVH
KMB
NVS
VRTX
WYE


Naked option positions (options sold short):
ARTC Feb 35p
EJ Feb 25c
GRA Feb 25c
IOC Feb 20c
LULU Feb 25p
MTG Feb 20c

Woohoo, in the green! The account had been up much more today (another $100k), but once I turned on the program it set stops on DSL, CSIQ and LDK which quickly got hit on top of a few problems with filling 25k market orders. Today was the only day that the program ran this week but I hope to have it on all next week. After the +28.8% gain this week I think I'm back in this thing for the top ten.

Paul McCartney & Wings

If you have been reading Stock Geometry then you know that I have been listening to Paul McCartney & Wings lately. I knew that Paul had a successful career after The Beatles, but I didn't realize so many great songs were actually from his Wings years and not by the Beatles. This all started when I heard Band on the Run the other day on the radio. I was thinking to myself 'what Beatles album is this from..?' I was pretty sure that I knew all The Beatles' albums and it wasn't on any of those. Sure enough, it was a Paul McCartney & Wings song:

I bought a best of Paul McCartney CD last weekend and realized they actually have a bunch of awesome songs. And since Paul is obviously the center piece they give alot more attention to the bassline (McCartney plays bass). This song is kind of cheesy, but Paul rips on the bass!:

Seeing these guys reminds me of a post I did about the Traveling Wilburys. Those guys are in a whole nother realm of music, but they are another example of major musical success for a member of The Beatles after the breakup. Thats really encouraging because my two favorite bands broke up over the last few years. The String Cheese Incident and Phish, like The Beatles, were composed of equally amazing musicians and it was sad to see them call it quits. I'm not too concerned though, I'm sure they'll go on to jam another day:

More of that wicked bass:

Another classic:

Olympiad Week Two

Week two was a hard lesson for the program as volatility continued to expand in the downward direction. The S&P 500 fell a whopping 5.71% last week as the VIX exploded from a low of 18.28 to at high at 29.30, a staggering 60.3% increase! As you may recall my program had written a ton of puts on solar stocks ahead of last week since these stocks have extremely expensive options and made big declines. Well the solar stocks fell pretty much the hardest of all sectors, causing these puts I was short to dramatically increase. I also realized there was a glitch with large market orders on options that take a long time to fill, as occurred with SOLF. As a result I didn't run the program much except for the beginning and end of the week. As a result, written options (puts) that were in the money expired and I got put shares on DSL, CSIQ and LDK.

Liquidation Value: $806,548.01 -$173,520 on the week

Positions:

Longs:
ABT
CSIQ (I was put 25,000 shares)
DSL (I was put 25,000 shares)
LDK (I was put 25,000 shares)
MCK
SDS

Shorts:
IWM
MRX

Naked option positions (options sold short):
LULU Feb 25p

Options that expired worthless:
CAL Jan 25c
CROX Jan 25p
UAUA Jan 25p

Of course I am not happy with the account's 17.7% decline but this week represented an extreme worst case scenario for the program. I have some good ideas about how to fix the problem, certainly the SOLF catastrophe cost me about $160k (16%). This doesn't seem so bad when you consider that my program was aggressively writing naked SOLF puts and the stock dropped more than 50% in two weeks. On the bright side, the program has the potential to swing very rapidly and averaged over long periods of time it should be market neutral. If the market had bottomed and rallied early last week then I'd be sitting over +20% on the week. I'll add more here later, check back.

For those of you who will be doing some coding this weekend try jamming out to this while you write. And if any readers are into the disco biscuits be sure to comment, I can recommend some good shows.

Dolphins Blowing Bubble Rings

Relaxing huh?

Robot Evolution

I wish my ATS could learn and evolve based on experience like these bots. The concept of an artificially intelligent auto trading system that could learn from mistakes and increase yield over time is very appealing. Of course I wouldn't complain if it did other things. Maybe a beer every once and a while? A snow shoveling, dish washing, laundry folding, floor cleaning, fish feeding, bill paying, back massaging, auto trading robot would be a friend of mine.

Current Rankings

The rankings after the first week are out and damn, that is some fierce competition. I told you I expected to be +20% by the end of this week but the top six places were already better than that at the end of last week! Much of my strategy depends on option decay so I will be seeing the biggest gains during options expiration week (this week), but still. Congrats to those top contenders I recognize a few of you from last year. I have a link to the current rankings on the left hand side of the blog if you want to see the standings directly from IB. They will be updating the rankings every Monday afternoon.

On a sour note, my program had a major catastrophe while I was in class today. SOLF tanked again and the program once again got stopped out of its position (at a huge loss). But the order took so long to fill that the software sent out another order to cover which resulted in a net long position in arguably the worst options in the market. There is a glitch in the program where if market orders take more than 20 sec to fill another order gets sent. I need to resolve it but I just don't have the time right now. I have an algorithm for exiting any long option position at a 50% losss or a 150% gain, so perhaps that will get hit (most likely the 50% loss). All around SOLF has cost the program $56k + $71k in realized losses and another $30k in unrealized losses on this new long position it acquired due to the glitch. If it weren't for that stock my program would be up $70k or 7% right now...