T&T – Page 15 – Travels and Trades

May 22 – Rhino Trade Update

I haven’t updated my blog for a while as I’ve been traveling and picking out all sorts of stuff for the house construction project (tiles, cabinetry, appliances etc) If I wasn’t in a design meeting (while preoccupied with my trades w/ phone in hand), I was enjoying the company of friends and ending up extremely exhausted by end of day and just didn’t have the time for an update. Suffice to say, the week went well and we ended up with some nice theta gain despite the wild movements. I am aiming to close the trades on Monday as we’re approaching 21 DTE and have 6-7% gains. It’ll be a wild week with I think 9 different Fed speaking and Yellen on Friday. Market is pricing in a 30% chance of a rate rise in Jun. Could be dramatic moves soon coming. I won’t be in the June trades. I’ll be entering more AUG SPX trades and starting to look at RUT AUG trades on Thursday.

Re the June trades, the P/L below may not be exactly accurate as I entered the trades but didn’t update them with the pricing I paid for any adjustments. They’d have used whatever the price was when I converted the trade in OV. I have to go back and do that. If anything, it’s probably under-stated. The day RUT fell to about 1085, my P/L was quite a bit worse off than OV would have suggested, typical when vol goes up. That shows the models aren’t as accurate as you’d think. Anyways, something to note, though, I was keeping my deltas well negative through the week.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : ~41,000
Max Draw Down: P/L: -18,000
Current P/L(%): +5.5%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: ~27,000
Max Draw Down P/L: -11,000
Current P/L(%): +6.75%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: ~43,000
Max Draw Down: -16,800
Current P/L(%): +6.8%

May 11 – Rhino M3 Trade Update

The June trades are doing well now. We’re at about 4% on planned capital and we are 37 Days to expiry (DTE). We started off pretty rough with this expiry and I am not interested in taking too much more risk with them now that we’ve got some profit. We paid a lot at the beginning as it was low-volatility as such I have reduced profit targets. So I’ll start peeling off as the market moves through the next 14 days. Right now, they are delta negative by about -10 deltas each unit.

I have some concern for the downside as downside moves can be swift and more difficult to adjust and with potential negative news in after hours, I’d rather have a nice cushion. We just fell from 1155 to 1115 and I’ve got a lot of upside hedges on. These have to start coming off if we fall much more, else I’ll have too much exposure to the downside. Up moves are a bit easier to manage (re fills and size of moves especially after a big run up) and generally there’s less explosive positive news in after hours that could get us in trouble. Plus, we have way less upside exposure in the T+0 line. I have a bearish bias at least around May expiration (May 20) and onward. We’ve got 7-14 days left and if the market continues to fall, I’ll remove upside portions of the trade more aggressively which will remove my downside risks and expand the tent. If, for some reason, we should get whipsawed hard, I’ll then remove the downside portions all while keeping things fairly delta negative. Thus unwinding the trade while allowing theta to work for us while keeping the goals of protecting the downside. I’ll continue like this over the next few weeks, seeking out more and more theta and unraveling the trades.

I don’t have the full unit exposure on July trades as I couldn’t get fills. If things get more volatile, we might be able to get great pricing this week or next. The more volatile it is the more closer to expiry pricing acts. I.E what you pay for a BWB @ 72 DTE in a low vol market would be similarly priced 55-60 DTE in a more high volatility market.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : 27,092
Max Draw Down: P/L: -18,000
Current P/L(%): +3.6%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: 13,356
Max Draw Down P/L: -11,000
Current P/L(%): +4%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: 25,547
Max Draw Down: -16,800
Current P/L(%): +4.0%

May 7 – Rhino M3 Trade Update

Here’s the trades from yesterday at 2:30pm. I had a few call BWBs close on auto orders that I haven’t included here near EOD on the ramp up. Slightly exposing on the upside but given the sharp down and deteriorating technicals, I wanted to get things more delta negative though. Profits are coming back in nicely. After next week, I’ll be aiming for 7.5% to close the trade. If we make it to about 27 DTE, I’ll take 5-6%.

BPSPX indicates that the upside move is not to be believed. It’s deteriorating rapidly and suggesting more downside as are the other bullish percentages. The past 18 months I’ve tracked the BPs closely and to be honest, it’s probably now my favourite indicator. I used to loathe them because often they’d be in the opposite of my market opinion and where I needed the market to go in order for my trades to do well. So much for market neutral trades being market neutral eh, being market neutral is a myth in extended markets (up or down) when your trades get out of the zones. However, we’ve rallied into OPEX quite consistently and smart money hasn’t moved this week or gone sharply short. The DAX is at a perfect position for a bounce. Maybe we have a little downside this week towards SPX 2019 and then bounce into OPEX. I think we’re going down after that though. But that’s all just gut feeling and bias based on everything I read and follow and based on technical indicators that I use. How does it affect my trades?? Not a whole lot other than I might be more biased to take off some upside calendars and BWBs on big bounces.

I wasn’t able to really get any good fills for the remaining July trades despite the increased volatility of the week (you’d expect better prices). I did get filled well on some SPX trades earlier in the week but I haven’t bene able to get a fill anywhere near since.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : 19,550
Max Draw Down: P/L: -18,000
Current P/L(%): +2.6%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: 13,356
Max Draw Down P/L: -11,000
Current P/L(%): +3.39%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: 19,007
Max Draw Down: -16,800
Current P/L(%): +3.0%

May 5 – Rhino M3 Trade Update

I’ve closed out all my May trades. There’s none left. They were closed for a profit and I regained a lot of ground with this fall in the RUT. Had it gone to 1080 or 1090 quickly, we’d have done better but I’ll take it, we were essentially break even on the May trades to finish up and recover about 30% of our max profit.

I have no opinion on which way the market will move. We could bounce or we could continue down. I don’t have the foggiest even in terms of levels so I am keeping the trades nice and neutral. There’s a lot of negative headlines but the most furious rallies are amongst negative sentiment. The persistent shorting and subsequent buying pressure on covering can make for very intense up moves. These headlines are all old recycled headlines, nothing really new. Whoever would have sold due to those specific headlines, probably have already sold, they had their vote, a big sell-off typically requires some sort of new surprise headline to instigate other sellers to sell. All that said, man, we’re entering an interesting time politically in the US. Trump. I can’t see how things won’t get more volatile in the summer with that, the general negative seasonality and a lot of the global macro issues. All of my trades prefer volatility and down’ish moves. So I’d welcome that.

I did enter some July trades last week, I’ll update the blog with those as well. I’ve been trying to get good pricing today but I haven’t got filled. I’ll wait and try again tomorrow.

Here are the June Trades

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : 12,551
Max Draw Down: P/L: -18,000
Current P/L(%): +1.6%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: 9,531
Max Draw Down P/L: -11,000
Current P/L(%): +2.3%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L:13,463
Max Draw Down: -16,800
Current P/L(%): +2.1%

May 3 – Rhino M3 Trade Update

Good day on the markets. Patience and proper management is starting to pay off as all June trades are now profitable. I did add a few upside hedges for any bounce as it touched the 1118/1120 area. Wanted to get things just a bit more neutral. We are 45 DTE and we’ve got a lot of life left in these trades and a lot of theta.

The May trades will help act as a downside hedge as any move to 1050 will make those very profitable. They are in the “dip” and each day I make sure to keep them theta positive by a good amount. They have very little to no upside risk.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : 5,224
Max Draw Down: P/L: -18,000
Current P/L(%): +0.6%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: 4,156
Max Draw Down P/L: -11,000
Current P/L(%): +1.1%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: 5,029
Max Draw Down: -16,800
Current P/L(%): +0.9%

Apr 29 – Rhino M3 Trade Update

Trade updates below. The P/L might differ a bit through the day. I’ll check again in the next half hour or OV updates. Definite recovery with the down move. I am looking into Jul expiration right now since the vol is a bit higher and I’d like to get some trades on in that expiration. I am looking for 2.9-2.95 as a price.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : -4,767
Max Draw Down: P/L: -18,000
Current P/L(%): -0.6%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -1,197
Yesterdays P/L: -11,000
Current P/L(%): -0.3%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -2,566
Yesterday’s P/L: -16,800
Current P/L(%): -0.4%

Apr 29 – Trade Plan

We’ve finally got our downside movements. For some strange reason I had some great timing on removing some of my upside hedges that I put on before the AAPL and FED meetings. I got rid of them @ RUT 1152-1154 area and a few more around 1145. The trades are now sitting in a position where they should be able to gain some profits on the way down and if we continue up, then we’ve gained some theta and I’ll look to make the appropriate upside hedges.

We’re at an important juncture right now: This is what I am looking at.

Yesterday was a bizarre day, the BOJ caused a sell-off at night and the market opened and filled its gap and went green for the day despite the bad news. Then we had Icahn dump 2Bln worth of AAPL stock which apparently was the catalyst to move the markets down. The day ended at RUT 1140 as compared to its touching 1154/1155 area (where I dumped my upside hedges :P). Today it’s hovering around 1134 and any move to 1120 will be welcomed and profit turning for the June trades. I’ve still got May trades on but they’ll only be slightly profitable unless we go below 1100. I might start looking to close soon and open up some Julys with the increased volatility (if I can get a good price, I am not paying as much as I did in June, I was fighting an uphill battle there).

I’ll update the blog with the trade images at EOD.

Apr 26 -Mid Day Update

It appears we are actually going to retest the 1150 area pre FOMC. My gut was right. After yesterdays action, I just didn’t see much more downside ahead of the FOMC and I was pretty aggressive in my adjustments and hedges to the upside. The data today was abysmal and it appears that’s all that’s needed to convince the market that Yellen can’t signal a rate rise in June. Terrible data = stocks go up. We’re back in that phase I guess.

Yesterday I bought 5 DITM calls as a hedge after I had sold them on Friday, I am looking to sell at around RUT 1149 area. I doubt we convincingly break 1150 and hold before the AAPL earnings release and FOMC meetings. Perhaps the 1110 test comes after this retest or perhaps we break out. It would be something astounding if RUT continues north of 1160 from its Feb 11 low of 940.

Apr 25 – Rhino M3 Trade update

Today provided some refuge and an opportunity to get my trades adjusted. The RUT closed at 1146 on Friday and even touched 1148 with after hours action (using IWM as a proxy). In a previous post, I thought RUT would stall out and short term top at about 1140/1150 area and so far that’s what’s playing out. There’s a ton of resistance and supply at the 1150 area so my gut was saying that we’ll hit 1110 after a test and fail at 1150 but with the FED meetings and AAPL earnings tomorrow, anything really could happen. After the action today, I am not convinced we’ll be going much lower than 1125 before a retest of the 1150 resistance area. If we fail on a retest of 1150 then maybe we’ll go down towards 1110 at minimum but I think we probably do retest 1150 before any significant move down. The market has moved so much in 2 months but it’s been consolidating and sort of reset itself re overbought conditions. In short, I have no idea where this will go and any direction is not a surprise.

Everyone’s expecting AAPL to report dismally and that could cause a sell-off but any surprise could catapult it further. and then there is the FED, well, before they can rate hike, they have to telegraph the intentions, they usually always do. There’s been no telegraphing so perhaps this is where they’ll telegraph utilizing the recent market strength as a buffer? Perhaps it’s more jaw-boning. How can we predict anything in the next few days? We can’t. I can’t say that there is an edge one way or the other. All I can do is manage risk appropriately.

On Friday, I had removed some upside hedges right at EOD on Friday (great timing) and then re-added them around 1137/1138 today. Bonus. Anyways, as for market action, the RUT fell to 1135 where I did some adjustments to the trades and got them a bit more desensitized to an up move. Not perfectly of course, as there are always trade offs, and any up move won’t really generate any profit but they’ll allow it to occur with out as much pain as before. The idea being that a pull-back will occur after a brief move-up sometime in the next 20-30 days. What we really need is a nice juicy fall into the 1100-1110 area.

I want to add in some 1150/1110/1060 BWBs into each of the trades below to raise that T+0 line in the middle (the dip) and add theta to the trade. I’ll do this if we move up in towards the fed. It’ll add negative deltas so I’ll offset it with some call calendars or BWBs. Get that thing beefed up so that in 2 weeks anything between 1020 and 1170 will be profitable.

Here’s the June trades

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : -11,706
Yesterdays P/L: -16,425
Current P/L(%): -1.56%

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -6,762
Yesterdays P/L: -9,643
Current P/L(%): -1.69%

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -12,139
Yesterday’s P/L: -16,206
Current P/L(%): -1.9%

Apr 21 – Rhino M3 Trade Update

A down day? Impossible. I used the down to adjust the trades a bit. The current loss was reduced quite a bit for just a 0.6% down day. Another 1% down would get these things all profitable.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : -7,546
Yesterdays P/L: -16,425
Current P/L(%): -1.0%

Adjustment: Bought 8 x 1120/1170/1200 @ $18.06

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -4,532
Yesterdays P/L: -9,643
Current P/L(%): -1.3%

Adjustment: Bought 3 x 1120/1170/1200 @ $18.05

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -7,454
Yesterday’s P/L: -16,206
Current P/L(%): -1.3%

Adjustment: Bought 8 x 1120/1170/1200 @ $18.06