T&T – Page 23 – Travels and Trades

Oct 9 (Dec M3)

I’ve entered the December M3.

4 lots of 1140 BF and 2 1050 Nov calls

Here it is below:

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.

Oct 9 (Rhino M3)

I’ve added the second tranche of 1170/1130/1080 broken wing butterflies. The trade looks like this:

When delta hits about -250 and if its outside the tent, I’ll add some OTM call calendars. Fairly neutral nice easy trade. Letting theta do its work.

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.

Here it is with the planned adjustment

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.

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.

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?

Author: T&T