This was my toughest day in the entire 1000-day challenge so far — both emotionally and financially.
After over 120 days of building consistency, compounding small wins, and trusting automation, today delivered a reality check that every systematic trader eventually faces: a volatility expansion beyond the modeled range.
💼 Trade — 9/23 DTE Double Calendar (Above-Delta Move)
| Detail | Value |
|---|---|
| Opened On | Wed, Nov 12, 2025 · 9:36 AM |
| Closed On | Fri, Nov 14, 2025 · 9:32 AM |
| Underlying (SPX) | 6867 → 6662 |
| Lot Size | 4 |
| Debit Paid | 58.95 |
| Credit Closed | 38.10 |
| P/L | – $8,362 (– 35.5 %) |
| Expiration | Strike | Type | Action | Qty | Price |
|---|---|---|---|---|---|
| Nov 21 | 6760 | P | STO | 4 | 26.28 cr |
| Nov 21 | 6965 | C | STO | 4 | 18.99 cr |
| Dec 5 | 6760 | P | BTO | 4 | 53.91 db |
| Dec 5 | 6965 | C | BTO | 4 | 50.31 db |
The trade started as a standard 9/23 DTE Double Calendar — balanced, centered around 6867, and aligned with the model’s expected range.
But by Thursday, SPX broke sharply lower, slicing through multiple volatility bands.
When spot moved far below the short-put strike (6760), the structure flipped from balanced to heavily negative delta — the “above-delta” risk zone for calendars.
Even as the market attempted intraday bounces, implied volatility stayed sticky, keeping the loss wide.
By Friday morning, the automation triggered a full delta-based exit at 38.10 credit.
🧠 Reflection — When Backtests Meet Reality
This loss hurt — not just financially, but because it tested every layer of conviction I’ve built since Day 1.
And yet, this is exactly what long-term backtests prepare you for: the outlier events that define risk distribution.
In over 120 days, the automation executed perfectly — tight, consistent, rule-based.
But no system is immune to rare volatility spikes, especially in structures like double calendars that thrive on stability.
I reminded myself of three truths:
- This is a modelled event, not a failure. Outliers exist in every backtest — this one just arrived in real time.
- Size saved me. Had this been a 10-lot or 12-lot trade, the emotional and financial impact would’ve doubled. Scaling down works.
- Automation prevented emotional override. Without it, I might’ve doubled down or held longer “hoping for reversion.”
So yes — today I lost $8,362. But I didn’t lose control, and that’s what keeps the long-term curve intact.
💬 Closing Thoughts
It’s easy to love your system when it’s winning.
It’s harder — and far more important — to respect it when it loses.
This is why I started the 1000 Days Challenge: to document everything — not just green days, but the red ones that build trader maturity.
I’ll review this event, tag it in my dataset as an “above-delta vol-expansion,” and keep executing forward.
“The only losing trade is the one that makes you abandon your process.”
⚠️ Disclaimer
The information presented in this blog post is for educational and informational purposes only and is not intended as financial or investment advice. I am not a licensed financial advisor. All trading strategies discussed reflect my personal experience and are not recommendations to buy or sell any security or derivative.
Trading financial instruments such as options, futures, or stocks involves significant risk and may not be suitable for all investors. You should conduct your own research, consider your financial situation, and consult with a licensed financial advisor before making any investment decisions.
Past performance is not indicative of future results. Use of this information is at your own risk.