T&T – Page 12 – Travels and Trades

Post Fed – Dec 15

Yesterdays downward bias post Fed was very welcomed but it seems the momentum is gone and we’re probably melting up to the 2300/2320 area for end of year. This may mark the top of the market short term (through H1 2017). My guess is RUT tops at 1395 area (perfect yearly pivot), SPX at about 2320 and DJIA at about 20030. This means there will be more strength in the large caps vs the small caps and then we should putter out into inauguration and be met with probably some unknown volatility causing events which should be reasonable given the tweet storms and world economical issues present already and not to mention issues (potential china devalue?) from a rising dollar + rate rise.

But who knows re any of those calls, this is an interesting time re metals, bonds and currencies and anything could happen (China devalue?). The insanely strong USD can cause many issues and the rate rise yesterday caused a big dump of china bond futures. US is really the first to break away and raise rates and no matter how you slice it, this will cause the unraveling and pain in other countries who haven’t followed suit. That can and probably will cause contagion and come right back around full circle. The 2nd largest economy in the world is directly affected by a US rate rise, rising(exploding) USD and this probably will have consequences on the equities market eventually.

I’ve got some ES futures on as upside hedges but if we truly do melt up, there’s no profit to be had until some sort of pull back. I hope that things don’t continue to follow the script (Santa rally) but it probably will. As is usual, any trades that I started before the last rally are now 7% above its starting point and are essentially fighting for a break-even result. When will this market environment end. We’ve had massive up moves on Brexit, Trump election and now the standard impending Santa rally. Sick and tired of 7% up cycles each and very time. When we have any period that’s 5% or less on the upside, I’ll be rejoicing as will my P/L. Until then, patience and smart trading knowing that volatility shall soon return and HOPING that perhaps this marks a major market top soon and we have many years of bearish volatility 🙂

Any new trades I start now (pricing is bad, so probably not) would then have another 5% before too much trouble on the upside. The problem is, in this type of environment, pricing is shitty all across the board, you pay more, which means you have more upside risk AND if the market does fall apart, vol increases and those same positions get relatively cheaper. Lose-Lose. Fighting two issues (Vol and negative delta). So not only are the current trades crap until we sit below 2250, but pricing may be weak to start new ones. Any dips or increased vol would be welcome both for existing trades and for starting new ones.

Market Calls

Back in Sept or Oct I posted this:

“My guess if I had to state one is that we’d see some more weakness into October and probably touch 2040 and rebound up to 2300/2400 into the end of the year.”

This is like 10/10 on specific longer term market calls that I’ve gotten and recorded in the blog but I’ve never actually followed or traded accordingly. I am running hot and made no money from it lol. Like many of you, I read tons of sources, follow technical indicators, information galore, and I generate a pretty decent read on the market more longer term etc etc but it’s more out of interest and little changes are made on my non-directional trades. If I really thought it’d touch 2040 in Oct and blast to 2300 by Dec, I wouldn’t even be in any BWB trades, I’d just go long. I should apparently swing trade longer term directional. Ah I hate these uber bull markets. Looking forward to the days markets don’t go up 47% in 7 months or have +7% cycles 🙂

Dec 13 – Where have I been!?

Hi everyone,

Been a very long time since my last post. I go in these ruts (no pun intended) usually when I am traveling which is antithesis to the point of this blog. What happens when I travel? I get way behind in every aspect of my life. I have a business that I still have obligations to and I have to manage the trades of which at some points I have 13-14 different ones on. I have to find a way to keep this active while traveling. I have a 3rd kid on the way so I think I’ll have less traveling in my short term future and more at-home time 🙂

The market hit a historical RSI on the DOW of 89 and is just short of the 20k target. What a damn move. What’s been going on with trading since I last posted? I didn’t hit any of the expected targets I had 🙂 The way I trade means that any upside move of about 5%+ in a 45 day cycle effectively neuters and kills my trades. We’ve had that since October and then some. But I’ll go through some of what I did

On election night, I had entered with a more M3 like structure, flat to the upside with calls and futures that I bought right before. Expecting a Hilary win and a subsequent rally. Then on election night it was clear DT was going to win and the futures limited down at -5% (-7% from the futures high that night). On the bounce to about 2070 I decided to remove the futures upside hedges thinking we’d have volatility and to help protect the downside. Big mistake. The market never looked back and we have now hit 2275 in a month. Somewhere around 2150 I added future hedges again to help with the upside after reviewing all the sources I have..they helped but again I removed them too early at 2215/2220 with expectation to normalize the trades and get them back to a traditional structure. Right now all my expirations have been blown through on the upside (Jan and Feb). I had some reprise and recovery about a week ago when RUT and SPX had a down move and I got out of things or adjusted but it wasn’t enough. The last upside move completely took out the upper end. Likely that my Oct-Jan are dead months re P/L (but I guess that’s not too bad given the historic size of the moves eh?). I mean the RUT is up 47% from its Feb low and up 22-23% since Trump? WTF!

Here are how they look for January:

I need to add more upside hedges to the one trade and add some more theta closer to the money as I am now entering the sea of death. I want to wait until after the FOMC tomorrow. We are insanely over-heated, at historic levels on all aspects (why is this a common theme the past 12 months?) so I am being a bit more patient. My guess, we probably hit 2300/2315 area before putting in a major top. The Russel already hits its yearly pivot and hasn’t had strength to match the SPX, DOW and Nasdaq. Let all of them hit their targets and we probably start moving down as the Trump honeymoon starts to damper into his inauguration.

When RUT hit 1393, I sold call credit spreads and I am doing the same with SPX at 2172 on every large push up. Looking at Feb 2425/2400s and Mar 2450/2425s. Not convinced that we blow by all the yearly pivots and continue up past Trumps inauguration this overheated nor do I think his economics will come to fruition. Rallies are built on hope and this is just what it is. The guy is a firehose on twitter and I don’t think everything is just roses and pink elephants through his inauguration and into March. My stop will be around 2340 which is 15-20 points above where I think we top out. On any large dips I’ll likely remove risk and take profits.

More to come on Feb trades soon…

Oct 18 – Rhino M3 Trade Plan

Been a while since I posted. I haven’t needed any catharsis so that’s probably why 🙂 What a great/fantastic two month period we’ve had…I mean the market (RUT) didn’t move up 7% in a cycle! Can things get any better? The last two months have made the entire year, I might even achieve the 7 figure profit in a 12 month period IF the next two-three months behave. Major Major milestone. When I say behave, I mean it goes down, stays neutral or goes up 3-4% max. That’s all that’s needed. What a journey. I started trading by investing in AAPL and BRK.B, frustrated with the lack of hands-on, I got into earnings volatility options plays via www.steadyoptions.com and eventually on to Modified Iron Condors only to experience the most dreadful trading experiences in Oct 2014 and Aug 2015. Learning experiences! I finally stumbled onto the M3 and BB courses via John Locke and here I am trading BWBs in my own way profitably and into 2017.

As my portfolio and trading size gets larger, I’ve been putting on more and more Space Trip Trades in an effort to hedge my portfolio by way of cultivating the STTs to the point where only debit spreads remain on the first set while cultivating the other expirations to the same point. My main concern is an 9%+ gap down overnight. I want to be protected in any flash crash and a gap down of any size. It’ll take some time to cultivate the STTs to the point where they are providing protection for both the ATM trades and the uncultivated ones still in process (in the case of a 12%+ move). Once, I have adequate hedging I’ll start to increase my size past what it currently is. I’ll probably be sticking to SPX with versions similar to the White Rhino and Jim Riggios 100 point butterfly. I really like the approach Jim Riggio takes. Sell volatility when vol is high and buy volatility when vol is low. Simple. I’ve changed my style a bit and I don’t use calendars and I will probably be doing versions of reverse-harveys for the upside rather than using call BWBs. It’ll be sometimes selling or buying iron condors as adjustments to the butterfly structure (depending on skew and volatility). I might have to call my trade something else, probably will end up calling it PEAK.

My November trades are all 10%+ and I have already started closing them all out by removing risk and unwinding the structures.
I’ve got Dec expiry on and I’ll look to put on some January as we get closer to the election (option premium will be elevated and the BWBs cheaper to buy). I might hold Dec but if I am anywhere close to a 6% profit, I’ll probably close them ahead of the election. They’re doing very well right now so it’s possible.

Oct 10 – Rhino M3 Trade plan

Not much to report. All the trades are sitting comfortably, we’re in a range that isn’t affecting much per say. I’ve got Dec and Nov expiries on and profits are rolling in. Great few months.

NOV:
For RUT I have 1150/1200/1240s

For SPX I have 2040/2120/2180s

DEC:
For RUT I have a mix of 1140/1190/1230, 1150/1200/1240 and 1160/1210/1250s

For SPX I have 2020/2100/2160s

I am approaching the need to RH the upper longs for both trades but I will wait till tomorrow since its reduced volume today re Columbus day.

I’ve been backtesting a longer variant of the SPX Rhino (80/60 wings) where I start 88 DTE and end before 31 DTE. I reduce the planned capital by half or in other words, accept a 5% return on the original planned capital of 25k for 3 units. The results were very good so far. The trade is easier to manage both on the upside and downside though quite boring 🙂

I’ve also been looking at uneven condors as adjustments (sell and buy volatility when skew is favourable for either). I like how Jim Riggio approaches this. When volatility is low, and skew steep, I might enter a symmetrical butterfly with a long call (buying cheap iv) and convert it to BWB when vol gets higher on a large down move.

As for the market, I have not the foggiest where things will go but bonds should be putting some pressure on the SPX especially if we clear 1.75. I still see a small correction to the 2040 area before making ATHs for end of year baring no surprises re Trump.

Sep 29 -Rhino M3 Trade Plan

Nothing too exciting related to the trades this week. I usually have some sort of market opinion but I really don’t right now. My guess if I had to state one is that we’d see some more weakness into October and probably touch 2040 and rebound up to 2300/2400 into the end of the year.

I put on some more SPX Rhino trades today. The pricing got way better in the afternoon and I bought several 2160/2100/2020s @ 2.75 and 2.80. Across all of my accounts I have 370/740/370 on. Big. Lots of downside room and lots of upside room at those prices. I’ll probably try to close them all by Nov 8 (start later and end earlier).

Here’s what one of the Dec SPX Rhinos look like

I’ve got a bit of RUT Rhinos on but not as much. I had great pricing early on but been struggling to get pricing I liked the past few days.

I’ll manage the SPX upside if we should break 2200 by selling condors or RHing. I probably won’t use calendars this time around. I do like how Jim Riggio (Kevlar) handles his trades. Not much else to say right now.

I’ve had to do nothing with any of these trades lately, boring, which is good. I am erring to start more like 86-88 DTE and end by 30 DTE. I am working on a full backtest with some updated rules and adjustment types.

Sep 26 – Trade Plan

My whole day was spent closing down October trades. The SPX monster one reached 10% profit on planned capital, my other SPX ones hit about 7-8% as I was a bit more conservative with upside and the RUT one hit 5% or thereabouts. We’ve got 25 DTE and I am more comfortable starting larger trades later and exiting earlier, plus the SPX one was already at profit target. The debate is on tonight and if Hillary falls dead, faints, coughs for 20 min or anything else, I worry the market will open down big and if she does well, it may open up up big. So yeah, I closed them down and I am happy. I have some 200+ units on Nov/Dec across all the accounts and I didn’t need any Oct exposure.

I got some champagne for the debates (it’s sort of entertainment isn’t it?) and to celebrate the big result for the month. I cleared about 180k in profit across the Oct trades. One more month with a good result would put the account at about 30-40% for the year, maybe 50% if we got 7-10% P/L. Two good months, and I’d be laughing. Sounds like a lot, but the amounts exposed during the last 6-8 months and some of the swings, well, it’s somewhat deserved and I’ll be more comfortable after a few of those good months to cover any bad month.

I entered some SPX Dec BWBs (2160/2100/2020) @ 2.80 today.

Trade 1 – M

Trade 2 – P

Trade 3 – D

Risk taking and pulling the trigger

Risk taking and Pulling the trigger

Let me preface this with a funny but true story:

In my twenties, I took a big risk, I invested all my net worth and even my future income into a software business idea. So essentially, more than I had. It was a huge risk. It took 16 months to get the software idea from scratch to launch-able. We of course blew past deadlines as is typical, and went over-budget. I had no money left though I had some on its way. I was at a pop machine with a friend and business partner (he’s probably reading this and laughing) but I had one single looney left and I told him, this is my last looney and I’m buying a diet coke with it. I went to put into a pop machine. Guess what? The pop machine stole my very last looney to my name. Sounds super cliche but it’s an actual true but hilarious story. The pop machine ate my last looney. The end of the story is positive, the business worked out fantastically and all is well. But I took a leap and risked it all except one looney which a pop machine stole.

I am part of a chat group (Index Trading Group) which I started back many months ago and has now well out grown me. It is now some 250 people. 250 very smart and ambitious people. It’s grown to a point I never believed possible, I rarely contribute on there though my intentions were good but life, busyness and trading gets in the way as it often does. It’s no excuse. I should contribute more. Anyways, this options community is, in my opinion, immensely changing and shaping the future of retail complex option trading with new brilliant research and ideas. It’s got to be at the forefront of market neutral options trading. I often am even somewhat intimidated and in awe of some of the members abilities to focus and create great back-tested ideas and videos (I think most of those reading this will know who they are). Perhaps, it’s why I rarely contribute, it would take a lot of resource to match the quality they put out. I trade huge accounts which takes up time, I have a business to run and I have a family to take care of. Again, no excuse, so do they. But those become excuses I use to put off doing or coming up with ways to contribute (human nature). Anyways…

Today a topic came up about risk taking and trading for a living. A member asked what it would take to quite your job and trade for a living (the dream eh?). I say that almost facetiously, I trade as if it was for a living probably, and it’s got its perks but it’s also very hard money. I think business can be much easier 🙂 The breakdown from one member was very succinct he had listed out exactly what was required to adequately trade for a living and it was in the ball-park of 5MM which assumed you’d only trade 20% of your net worth and that you had several years put away for reserve. I’d pretty much agree with that except there-in lies the rub. If you used that equation to assess risk taking, you’d probably never make it to 5MM. Whatever gets you to 5MM in net, is likely to have broken that equation. Sometimes, you have to break the usual conservative views on risk taking and make that leap. Now, I don’t know if you should do that with trading per say. If you do do that with trading, you better have done your damn homework and have had a long stretch of success!

In life, and if you want to become successful and rich, you just have to jump and pull that trigger. BUT. You have to give it your all and you have to make sure you have back-ups and fail safes built in. Take the risk but if your fucking taking that risk, if something happens, you don’t sleep if it requires attention, you work your ass off making sure the risk you take works or that you have back-ups and ways to mitigate failure. When I started my business, I put every single cent into it, very irresponsible and would have seemed crazy. It worked out well but I think it was more because of insane persistence, fail-safes and tenacity. Once I made the decision to pursue an idea re software, I did everything I could to make it succeed. It took 7 years before it was profitable, and I worked 14 hrs a day 7 days a week to make it work (in my twenties). I pulled the trigger and being smarter now, I doubt I could ever make the same jump again, it’s just so crazy! But back then, once I had pulled the trigger, it was game on, I had back-ups to make it work and I worked 14 hr days 7 days a week making it work. I gave it my all.

The thing is, trading is so psychological and it’s essentially built on irrationality and the medium/arena (market) is largely unpredictable (some TA’s are screaming right now). I don’t think I’d pull a trigger in trading for a living if I were back in my twenties and about to take a risk.

For instance, on the macro level, trading for a living can largely be successful with all of the points I mentioned above (tenacity, hard work, dedication and backups). So Sure, I agree with that, hard work, tenacity and dedication will eventually lead to success as a trader on a macro level. But it’s not the same as a business..it’s a different beast. It’s a psychological Beast. You make decisions that directly and quickly cost or make you money. Dealing with the repercussions of those decisions whilst in a challenging time (down turn in P/L, stressed about $, needing to make more) etc will wear on you. I’ve made borderline adjustments that have cost me a car. Those adjustments bother me and used to affect my life. If you start second guessing yourself…it will start to affect your well-being. I lost many days of my early trading career life dealing with these frustrations and stress. I wasn’t even trading for a living, it was more of a hobby and the amounts weren’t touching my net worth. I can’t even imagine what it’d be like to trade while requiring it for living. I don’t know if I would wish it on my worst enemy. It can’t be easy. I commend the pro full time retail traders. They are a strong breed. Unfortunately, all of these little unexpected psychological issues of trading are human nature and WILL occur. It’s like running bad in poker, some players never recover, it’s a high speed venture with instant requirements for decisions that can cost you dearly. That will wear you out. This is why the best traders have very strict plans that they adhere to religiously. You cannot have on the fly decisions affecting your well-being or your trading psychology. This leads me to the micro level..

If you get into trading for a living and you run bad, this negativity will seep into your trades and it’s not something you can hit the pavement and make work with tenacity since its so much more complex of a battle (I am mostly talking about the internal battle within yourself at challenging times in trading and with the whole basis of the market being irrational and unpredictable). If a trade doesn’t go your way, and it’s getting desperate, there’s not much you can do and it’ll lead to more risk taking. So the whole internal battle you have psychologically, will tend to burn out or cause failure within someone. You can’t just get motivated late at night as a trader, and make something work instantly. So many times, I’ve thought my way through a problem in business, often times that’s not really possible in trading. That in and of itself, will lead to feeling helpless if you experience a bad run. This helplessness will compound. Then comes along second guessing yourself, and generally putting yourself in a compromised mental position.

With a business, usually, you can solve it with smarts, tenacity, dedication and time. You can, not always, but mostly, make it work! You can work hard enough to get lucky. You can do that on a large macro level with trading in general but not on a micro level which can be devastating to the psychology of the trader. I wouldn’t wish trading for a living on my worst enemy if not properly prepared, well bank-rolled and experienced.

Sep 22 – Rhino M3 Trade Plan

The market hasn’t been friendly the past 2 days but I somewhat mitigated about 70% of the potential move if I had followed normal guidelines. I had hedged some of the trades with calls and reverse harvey’d some of the RUT trades. All in all, it was more neutral with just a bit of upside risk into FOMC. The result, in RUT, we probably went from 5% to about 3% in P/L. In SPX, we went from about 7.5% to about 6%. Not terrible given that we’re at 52 week highs in the RUT. Todays market close was very strong for RUT which hurts the trade a bit since we’re not the right hand side again. Still! We’re profitable and at 52 week highs. Can’t complain, it should set up the next trades well for down or less than 4% up moves 🙂

I was able to remove about half of the SPX Oct position and secure some profits. The SPX monster trade is now up ~60-62k (the max it was up was about 70/75k) despite this large rally post FOMC. The position looks good, has decent theta, though outside the tent, but any pullback would bring some great returns. The upside has not much risk left. I removed the 2175 Call calendars today at 2:30pm as they were at the money. I won’t add any more but I will Reverse Harvey on a pullback. We have that debate on Monday which could bring some small volatility to the market if Hillary bombs. With limited upside risk, I am not in a huge rush to adjust but I’ll keep my eye on the screen and work to RH the position.

Plan: I am looking for a pull back to RH the upper longs and continue to peel off the trade at profit. Ideally, we get some sort of pull-back in the next week.

All of the November positions are now back to even with the big up-move. Expected. Will need to upside manage those trades soon if we continue up. They aren’t at any adjustment point yet but they aren’t far away either.

Before the FOMC, I managed to get filled on several 1240/1200/1150 December BWBs @ an average price of 2.40! They were 87 DTE I think, but still, great pricing. Makes the upside management easier, and it’ll be easier to profit.

I am considering backtesting a more conservative version of the Rhino that I’ll start cheaper at around 88DTE, do a few more units than normal (more leverage), reduce the P/L target and close earlier than 31 DTE. The cheaper price in the BWB should allow for easier upside management, and the cheaper price and length to DTE will make the trade a lot easier to manage. If I can get a 6% P/L target and leverage that up, it’ll make the trade a lot easier and resilient.

Sep 19 – Trade Plan

The market may be range bound until the big two meetings on Wednesday (FOMC and BOJ). The gap up today was a bit of a pain to see but the market has now moved back into range and the pattern might even be suggesting a 3 step up that is bearish, further the double bottom intraday failed, again bearish, at least for today. Breadths are on new lows as well. There was apparently a new comment by a Fed with a different more hawkish tone?? I haven’t confirmed. Maybe we retest 2120 and relief really from there into FOMC?

I am contemplating exiting most of the SPX OCT trade as we’ve hit a solid 6% profit target and any outsized move in either direction would negatively affect the trade. We’re 32 DTE.

I checked the Rhino results over at Capital Discussions and saw that it’s single digits for the year. It’s at 6.92% since Nov where I think I’m at about 15% where we expect 5% a month. I am still ecstatic about the result. Almost somewhat giddy. I am being serous. Why? Because this period was the most difficult set of months for the Rhino to profit. This concurrent set of weak months are not matched in backtesting through to 2008. There’s been no worse time. It’s about as bad as it can get (short of some unhedged Rhino’s going through 9/11 or something). Let’s break down the year starting Dec, 2015. Keep in mind, From Feb 9 to Sep 1, we’ve seen a 34% move in RUT. I’ll always tell someone that this trade will not make money in a 34% move over 6 months 😉

Dec 2015/Jan 2016

The massive down move from Dec 02 through to Feb 9 was extreme (1204 to 946) = 22% down move. Rhino’s can handle these decently so long as the move isn’t a 5-6% gap overnight. It did handle it decently. My expectation is that a break even to slightly positive result is doable depending on when it happened in the cycle of the trade. If it was right at the beginning, you’d be hurting, if it was in the middle and you were diligent with rolling the structure down, you could have gotten out for a decent profit. That said, getting fills and rolling structures down could be very difficult to deal with especially if forced to do it in a fast moving market. I actually was slow to pull the trigger a few times and hedged with bearish butterflies. A mistake in my opinion. I ended up treading water around break-even until Feb 9 bounce. The bounce initially set up a lot of profit but the subsequent fire storm upwards took most of it away. From that point till about August, I was only slightly positive. When you see the following months, you’ll know why!

Verdict: Likely both months are break-even to slightly negative in reality. A No-emotion mechanical trader would make profit following the rules. I would make profit now. I didn’t at the time!

Feb 2016

The big bounce from 946 to 1100 was extreme and quick. It was almost unrelenting and I’d expect any trade in this environment to do around -2% or worse. It’s not an environment that you can do well in. The market moves ahead of your tent into a zone that is, at best, break-even to slightly negative. Theta kills and if you aren’t diligent in upside hedges, then you’ll get a losing trade. Remember human factors, the market is bouncing off of a huge low, you expect the bounce to retrace to test the lows, or at least do a partial retracement after such an aggressive move, the factors that caused the fall haven’t just disappeared have they? If You leave the trade on too delta negative expecting to do you upside adjustments on any reasonable pull-back and it never comes. You’re now down.

Verdict: Likely a -2% month

Mar 2016
This is another 4-5% up month. Again, VIX low, shitty prices on BWBs and a fairly big up move. I’d predict a break-even month. Maybe 1%. the 4-5% up move isn’t as much as the previous month and probably good enough for a very slightly positive result. Any trades entered would be at poor value (high cost for the BWBs i.e. @ 3.3-3.50 a pop) and these trades are affected by more up moves as you paid more for the BWBs.

Verdict: Likely a 1% month

Apr 2016

This is a 5-6% up month. Vix is Low, BWB have Shitty prices, and a big up move into May. I’d expect a break even month

May 2016

A challenging V-whipsaw month! The market moves down about 6% into May 17. IF you were lucky, you closed off some May expiry trades into expiry (unlikely you held that far into expiration). If you had June ones, they had 31 DTE by May 17, likely didn’t close those either. Maybe you hit profit target by May 17, doubtful, we paid way to much for the BWBs re the low VIX environment. The market then rebounded huge and any trades initiated or started around May 1-May 17 are now under water. The move was very aggressive.

Verdict: Likely a negative month..maybe some trades hit profit target and were exited?

Jun 2016

Nice decent decline into June 26, likely you exited some towards the end of the month or on the rebound post Brexit. I’d say possible to profit a few percent here if not 4%. If it wasn’t time to exit (very likely), you’d lose most of the profits on the way back up on the 12% or so bounce

Verdict: 2-4%

Jul 2016

Low vix grind up market move of 8-9%. BWBs very expensive, no pull backs, no relief, huge up move. If you’re slow to adjust upwards, you’ll get killed. I got killed in this move. I lost my Aug and Sep expiries by this low vix melt up that last through most of August as well. Very difficult month to make anything.

Verdict: -2%

Aug 2016

Low vix grind up market of 5%-6%. BWBs very expensive, no pull backs, no relief. If you’re low to adjust upwards, you’ll get killed. I got killed in this move. I lost my Aug and Sep expiries by this low vix melt up. Very difficult month to make anything.

Sep 2016

Not over yet, but we haven’t had a 5% up move, so that’s a positive 🙂 Oct and Nov expiries are all in the money profitable. Market has some volatility, pricing is good, we’re back to a more normal month since February. Possible to make some good % profit here.

So all in all, this year has been a challenge for the Rhino, done typically, it hates big up moves, it’ll get out of the tent and the trade all of a sudden becomes a challenge. How do you make money in front of the tent?? You really can’t and if you paid a high price (typical of Low VIX environments)..the BWBs will quickly lose value and you’ll be negative theta. Each cycle experienced a 6% up move and the entire 7 months from Feb-Sep experienced a 34% up move. The common-denominator to loss in these months are the viscous up moves experienced in each and every cycle (short of the Jan one which was in and of itself a huge challenging down month).

I’m ecstatic about the positive result because I know it’s about as bad as it will get over a 6-7 month period, I am not saying that some black swan event won’t come and be worse in a single month, I fully expect that, but I will likely have full hedges always on soon for any event that’s 8-12% overnight gap or flash crash. The point is, the market environment can’t keep going up 6% each cycle and when it stops doing that,this thing will fly. On the Brexit, when the market fell 5%, my balance skyrocketed almost 35% (it was huge, like 300k or something). A return to volatility and a return to mean reversion in 45 day cycles will equate to outsized gorgeous returns. Looking forward to it.