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QCO Weekly Recap 6/20/2016

Quant Weekly Recap 6/20/2016

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Natural Gas July cycle.  We were forced to roll the 2600 call with the 2800 call. The cost of the roll created a loss of $950 that was in part compensated by the long futures ($100). The 2800 call was sold for $270. The 2600 call was sold for $200 and the 1900 put for $200. If by expiration the market doesn’t rally close to the 2800 call, we will close the NG July cycle with a loss of $2/300 dollars (depending on the fills received by the brokers).

Crude Light July cycle. The CL July strangle produced a gain of $390 and we just entered this week the August strangle for a total premium of $420. We sold the 55.50 call and the 40.00 put.

ES June cycle. We were also forced to roll the 2125 call and the entire cycle was closed at break even. We will wait for the Brexit news before entering a new ES cycle.

 

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