Moderna vaccine 94.5% effective, US sets new record for daily cases
it was a great day for a vaccine, even better for testing our pair trading strategy.
Last time we followed BNTX v IBB from 01.02.2020.
This time we chose MRNA v BNTX from 10.01.2020 because the full options chain for BNTX became available just a month+ ago.
Remember our pair trading strategy with 2 accounts?
The custom ratio for Buy BNTX, sell MRNA with enclosed options in 1st account, the exact reverse in 2nd:
The middle one presents the custom ratio P/L which Flipped from +$13,194 to -$10,170 in an instance this morning.
Custom ratio makes it possible to select investment size, $20 in this case. Very neat!
Options held the value nicely for the Flip. We added the ETH position for an additional hedge from the same 10.01 and it helps to hold the profit for our strategy even better.
We'll follow the P/L of this pair trade for some time.
