Tag: rhino m3 trade

Oct 23 – New Dec M21 Trade

The RUT is acting a bit strange. It’s stuck in a trading range while the other indices have broken out. Either the RUT catches up or leads them back down. The seasonality is strong and it’s likely we see it break out and test the 1190/1200 area where it will likely retrace. It’s struggled at the 1166 area and if we get a clear break of 1170, I see it going and testing the 1190/1200 area where it will retrace.

Based on that, on Friday, I entered a Dec m3 with 1140 strikes and setup a trade plan with the intent of converting it to a Bearish Butterfly if the market should break out and trade to 1190/1200.

The plan:

If the market reaches 1190 I will convert the M3 to a Bearish Butterfly as the Rut would have moved 120 points from trough to peak in 2 months and that is usually as high as it goes. It’s also a very significant resistance area and is likely to not break it on first touch. This would be a high probability trade. If the market retraces from this area, I will then convert it back to an M3 and finish out the trade.

If the market does not break out, I will treat the trade like a normal M3 for the duration.

Oct 20 – Trade Update

RUT is stagnant at the 1160-1165 area. We’re up 85 points from the low and I am in no huge rush to adjust on the upside unless the market tells me to by going above the 1170 area convincingly. I’ve added some 1190 call calendars to get some theta while we wait either way. The positions aren’t decaying quickly but time decay is not linear and usually comes in bunches. Not to mention, we’re not really under our tents for many of the trades. Ideally we have a nice pullback sometime soon. But in any case, with an extended up move, we’ll roll forward and do just fine.

Today, I also entered the December bearish butterfly trade with 2 units 1140 BF @ $9.63. I don’t think we have that much upside without some back tracing first. This trade should do well enough. I think the entry is decent. I think we end the year probably around 1200 area on the RUT. Nov/Dec are historically strong months and usually always there is a rally within that time period. This year feels a bit different with a lot of tail winds. Not that that opinion means much.

As for upcoming trades:

On Thursday I will enter more Dec M3 positions at 57 DTE and I’ll be entering a one unit 30 day rock position
On the following Thursday I’ll be entering Rhino positions for January at 77 DTE. That should conclude the trade entries for this month.

Rhino M3

    Sitting right at the edge of the tent. Not much to do now. Just waiting.

    Screen Shot 2015-10-20 at 2.32.22 PM

    Nov M3

      Outside the tent. Added some verticals and actually some Nov 1190 call calendars as an upside hedge to keep the theta strong. Waiting for a move in either direction. If we make any movement above 1170, I’ll roll the BFs forward.

      Screen Shot 2015-10-20 at 2.33.31 PM

      Dec M3

        Nothing going on with this one yet.

        Screen Shot 2015-10-20 at 2.34.47 PM

Oct 15 – An afternoon rally

What a run!

The RUT is at 1163 right now and rebounded 28 points from 1135 (almost a 2.4% move in a few hours). The large run from 1135 to 1161 this afternoon is shitty for the trades. We were comfortably under the tent and now we’re approaching the edges and most some of the paper profits will be wiped away. It will put pressure on the upside that we may have to address tomorrow. It could be another OEX top and theres a lot of Chinese data coming out Sunday. Ideally, I’d prefer to adjust Monday afternoon..and if we don’t break 1170 we should be able to get away without any adjustments tomorrow. We’re 36 days from our November expiry and we’ll be looking to close around 21 DTE (max 14 DTE). So I’ll be looking for a pullback in the next 20 days to close the trade. The hope is that the pullback is closer to the end of the trade.

Oct 15 (Trade Updates)

Nov M3

    Delta: -187
    Gamma: -3
    Theta: 752
    Vega: -2,200
    P/L: 5,654

    Units: 5
    Profit Target: 20,000Screen Shot 2015-10-15 at 12.05.43 PM

    Dec M3

Delta: -36
Gamma: -3
Theta: 270
Vega: -2070
P/L: 5,216

Units: 4 (2 calls 4 butterflies)
Profit Target: 15,000

Screen Shot 2015-10-15 at 12.06.38 PM

Dec M3 Rhino

    Delta: -159
    Gamma: -5
    Theta: 520
    Vega: -3200
    P/L: 9,810

    Units: 10
    Profit Target: 25,000

    Screen Shot 2015-10-15 at 12.04.46 PM

Oct 13 – Trade Update

    Nov M3 update

    No adjustments today. After sitting outside the tent for about 4 trading days, I reluctantly sold off the 1060 BFs yesterday only to have the market pull back about 17 points today :).

    Screen Shot 2015-10-13 at 3.25.07 PM

      Dec Rhino M3 Update

      No adjustments today.

      Screen Shot 2015-10-13 at 3.24.20 PM

        Dec M3 update

        No adjustments today.
        Screen Shot 2015-10-13 at 3.28.41 PM

          Dec Bearish Butterfly update

          Screen Shot 2015-10-13 at 3.29.33 PM

Oct 12 (Trade Plans)

Nov M3

    I closed the 1060 BFs

    Here is the position:

    Screen Shot 2015-10-12 at 2.30.23 PM

    Dec M3 Rhino

      No actions today.

      Here is the position:

      Screen Shot 2015-10-12 at 2.25.22 PM

      Dec M3

        No actions required

        Here is the position:

        Screen Shot 2015-10-12 at 2.55.58 PM

        Dec Bearish Butterfly

          Entered this on Friday. Rut was up 85 points and I peg the maximum upside to 1190 but more likely to stall at 1160 area.

          Screen Shot 2015-10-12 at 2.54.49 PM

Oct 6 (New Trade: M3 Rhino Variant)

I’ve put on a variant of the M3 which is started a bit farther out in DTE (usually 77 days till expiry). It’s the same concept as an M3 except it utilizes a broken wing butterfly instead of a call. The trade is a bit more rule based as well. I’ll be entering a normal M3 around 67 DTE and an M3 Rhino about 77 DTE and I’ll be closing them around 21 DTE to avoid gamma issues and to make trading much easier especially in a large account.

You can see the risk profile is almost identical to the original M3. The management is slightly different though. On the upside we use call calendars and call BFs and on the downside we simply roll the BFs back.

I’m expecting to have much more consistent results going forward with these further out DTE trades. They won’t be glamourous but they’ll be stable and consistent with lot less stress. I trade a big account and managing several theta based trades 7-10 DTE is challenging and I am tired of it.

Oh: Kudo’s to Brian Larson for creating this trade variant of the M3.

Screen Shot 2015-10-06 at 2.54.07 PM