Author: T&T

Oct 9 (M3 Nov)

I added a weekly call and a few more 1140 BFs to this trade to replace the 1060s. I have an order to remove the 1060 BFs at $4.1 but it’s not filling. I’m not in a huge rush as I don’t think we have too much risk to the upside right now. The RUT has travelled about 85 points in 5 days and the last 6 up moves are in the ranges of

(60,60,50,50,60,85)

Using the highest bounce as a guidance puts us at about 1170 before the rebound is over. It helps to know these things but it doesn’t mean it can’t go higher. I have my order in and if it fills I’ll be happy, if it doesn’t, I’ll try again Monday.

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Oct 8 (Rhino Trade)

The M3 Rhino called for an adjustment today but I wanted to wait until everything settled down re the Fed minutes. It’s a super resilient trade and its so far out, there is no rush in these types of adjustments (at all). As long as it gets done sometime soon.

Here is the trade as it stands at close.

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Here it is with the planned adjustment

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When delta gets to about delta -250 to -500 (depending on where we are in the risk profile.) we’ll start adding in call calendars. I can’t believe the RUT is up almost 80 points in like 3 trading days.

Brian Larson has a service over at Capital Discussions for anyone that wants trade alerts for this type of trade. It’s a good one. He’s just started and it’s free until January I believe.

Oct 8 (Oct M3 and Protector)

I am all out of the October M3 trades. That’s it. All out. I think we ended up neutral to yesterday. The next M3s will all be longer term with exits around 21 DTE. The planned capital will be lower and the profit target will be as well. Easier trades and they’ll be tracked here.

I am getting frustrated with the protector and am more and more tempted to just shut it down and take the loss. It’s riding around -5% for the year mostly to due with difficulties paying for the hedge and equity correlation issues. I’ll give it some more time probably.

Breaking it down, since the beginning of the year the alpha equities are down about 2.5% compared to SPY 3%. The gap was a lot wider before. The hedge is down about 2.5% as I’ve been whipsawed a little and fell behind in paying for it.

Oct 8 (Nov M3 Update)

The trade is still flat. It’s about 5 points outside the tent and I usually wait a day or two and for it to be about +10 outside the tent before rolling any BFs. We added put credit spreads yesterday to even out the delta and help with the Vega. If we get over 1158 by 3:30 EST today, I’ll add more and look to roll BFs tomorrow.

Again, this trade has been through a 7% down and a 7% up and its flat. That’s good. We’ve got about 20 days before we’ll close it and the idea is that it’ll fall within the tent at some point within the next 20 days and we can start looking at profits.

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Oct 8 (Oct M3 + Protector Trade Update)

I’ve made the positions more or less benign going into fed and tomorrow. Not a great result overall as the market stuck around 1152-1154 area most of the day which was the worst place it could have been to start closing the trade down. We just never had any luck with the market and these Oct M3s.

The protector Alpha had another bad day with Ebay falling 8% (on no real news) and UHS, HCA falling 3% with only little corresponding positive offsets (GCP and EXC sitting at +1%). Just not having any luck with this protector portfolio right now. It’s weighing everything else down. Eventually it will work out but it’s uber frustrating.

Oct 7 (Oct M3 + Protector Update #2)

I’ll be exiting or at least taking risk off, throughout Thurs/Fri. With this 1.5% 20 point up move on the RUT, the trades haven’t moved anywhere since last week really and we’re just not making any headway. It’s just too much up (7%) and too close to expiry. I could have gotten fancy with it and added some tents in the front, but that’s outside my trade plan. The idea was to manage upside risk by keeping it relatively neutral and that means that we really aren’t making anything and in fact losing some profits as the moves are quick and the volatility drop was large. The mini pull back yesterday did give us a little bit of Friday’s profits back but todays “up” move took those away. It is what it is. The trades did fine through the moves but not even close to as great as we were on Friday when the trades were under the tent.

Re Protector Alpha: I increased exposure in equities to replace ALFA and I sold a few more puts to try and catch up on the payment of the hedge (which is behind now). I rolled my 199s and 198s to 200 on the dip today (good timing) and sold some extras (also good timing). Most of the equities did well or better than SPY today which was nice to see.I’ve got 205 December long puts that I have to start thinking about rolling to next year. Over the course of 3-6 months, we should be OK and any correlation and/or whipsaw effects on the hedge should be evened out. Sucks that we’re sitting just below a 4% loss on the year. Not much else to say here.

Oct 7 (Rhino M3 Update)

I am close to adding the second tranche @ 1150. When RUT is 10 points over the long strike of the first butterfly you add a second tranche at that point it’ll be fully entered. On the upside, we’ll add OTM call calendars if the RUT should continue upwards. On the downside, we’ll roll the BFs when our delta reaches 250.

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Oct 7 Trade Plan (Nov M3)

I had to adjust this today to deal with the sagging T+0 line from the extreme up move since last Friday.

I’ve added 10 (1140/1120) put credit spreads to flatten the T+0 line. Trade is slightly positive at the moment, which is to be expected when it’s nearly outside the tent. The longer out M3s are trades really designed for the time in the month when the trade falls back within the tent. It usually happens and that’s when we will hit our profit targets and pull out. As the month goes on, we continue to manage the risk and leave an opportunity for the trade to profit within the tent.

We put it on on Sept 23rd when RUT was at around the 1145 mark. It then proceeded to fall to about 1075 where we added some 1060 BFs. It’s now back to 1150. THat’s a nice 7% down and 7% move in a matter of what, a week?

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Oct 7 – Trade Plan (Oct M3s and Protector)

I had to adjust the October M3s as RUT hit 1145/1146 area. Not something I wanted to see as the upside on these are weaker. I sold 1100/1080 credit spreads and rolled up some of the bottom longs. Of course, about 5 min later the market rolls over to 1138 but the adjustment is down about 1200-1500 right now. Not terrible and I had to do it this close to expiry. The delta and T+0 lines were not in a good place if the move should continue. One of the better technicians I follow expects the RUT to expire in October and around 1190. I take that only modestly into consideration but I do believe there is room for this to continue on. Any more significant up and we’ll have the same sorts of mechanics that we had in October of last year.

I am so happy to soon get out of this trade and move on to December and finalizing November.

One of the 24 equities (though more heavily weighted) I have in my protector portfolio is ALFA which is a great little ETF that follows filings of out-performing hedge funds. I did not realize it hedged itself by going market neutral when the market is below its 200DMA at end of month. Fuck. So I was hedging it since Oct 1 when it was already hedging itself. The ALFA holdings triggered the hedge on Oct 1st and since then has not been participated in the rally. This is one source of my correlation issues. I’m fixing it by replacing it with a normal equity but I will leave it as part of the portfolio since its self hedged. A due diligence error on my part. Though it may end up fine if the market rolls over or stalls around the 195 area.