rhino m3 trade – Page 4 – Travels and Trades

Aug 6 – Rhino Trade Update

Terrible re the lack of posting. My apologies. These past 3 weeks have been very uneventful in trading, it’s been a constant grind in a very very short BB range which is a terrible environment for butterfly trades after a large up move. Our trades have suffered and we patiently await a pull back. Time is ticking for August (big time!) but it was setup just recently to be able to go past the 21 DTE area I usually close things at. I’m afraid it’ll be a larger loss if we don’t see some sort of decent volatility this week.

Another reason for the lack of posting, I’ve been traveling extensively the last 3 weeks and just forgot to post. We did a road trip from Vienna–>Krakow–>Hannover–>Frankfurt–>Freiburg–>Arona/Como–>Lyon–>Turin. Not quite as large as the summer before but good enough that I think I’ve now see most of Europe in the last 5 years.

Anyways, after the Brexit bottom, the market has been straight up making ATHs and been challenging the Aug/Sept trades we’re in. They were all at about 4% profit during the Brexit event to now be about -4%+ I am still in August surprisingly since I don’t have all that much upside risk and my theta is still positive. Any pullback of 3% or more would get us into break-even territory but I am running out of time (we have about 4-5 days max left) before I have to close. The September trade is quite negative now but can easily pull off a win in any normal PB before first week of Sept. I feel our October entry was great and should make up for the losses in Aug/Sept trades (if any). September upside risks are minimal.

The RUT has been up 34% since the Feb bottom and in that environment, it’s impossible to make any real money with the Rhino structure. It’s been a frustrating year but if we get any pull back of 4% or more in the next 30 days, the Sept and Oct trades will likely put our account profits at 50% for the year and that would be a great result.

I think a pull back is around the corner, but what do I know. Especially in this central banker environment. There’s been a total of 666 rate cuts since 2009 and 4 of the major central banks are easing. There’s loads of money keeping things propped up. What reason are there for a pullback? Well, at least short term, via Cobra

1. VXV to VIX ratio is way to high. All previous occurrences at this level resulted in a PB

2. Smart money/Dumb Money confidence spread is way to large

3. Many of the Sentimenttraders indicators are all way overbought

4. The nasdaq 100 commercial hedgers (smart money) made a

record

short just now.

5. The VIX is down 6 weeks in a row (only happened once in a decade) and the other times it was down 4 weeks in a row–> the results were not good.

6. The BB bands are similar to right before the Sep 2014 correction and the 2015 Aug correction. Very tight! Explosive moves are more likely.

Jul 13 – Rhino M3 Trade Update

Not going to lie, yesterday was uber demotivating even with the experience I have in managing these trades. Both my Aug and Sep Rhino trades entered fairly negative territory with RUT @ 1210 which represents a 120 (11%) point move from just days before at the Brexit bottom. It’s just frustrating since both of those trades were up 4-5% and our balance was finally

soaring

after a very difficult year only to have the yearly profits dwindle down to mediocre levels in just days due to a fairly effed up move. Why was I demotivated? Well, it feels like every trade cycle (45 days) this year has had a challenging 9%+ up move. Those 9%+ up moves are the most difficult type of move to manage in this trade. Since when does the RUT have an up move of 9% or more every cycle? I think RUT is up what 28% from its Feb lows? No matter how you slice it, it’s difficult to profit in a 28% up move in just 5 months and I am getting sick and tired of mediocre results and the “of course its up 11% in a week and half” frustrations. I’d like to have normal cycles with either a down move, a neutral move or an up move of 7% or less 🙂

Anyways, today has given us some respite and on close yesterday I hedged more with 1230 call calendars and some 1180/1230/1260 call bwbs. Today I added more and I grabbed some long IWM @ 119.5 to help on any up move. I believe that we’ll have a small pull back but we’ll be off to the moon eventually. Things look pretty damn bullish but we’re in need of a healthy pull back.

On two of my accounts I got off my 1960/2040/2100 SPX Rhinos but I never got filled on my main account. I lost most of the profits on that one.

Most of my Rhinos are 1060/1110/1150 and 1050/1100/1140s with call calendars and call BWBs at 1230.

One other annoying thing, I had some short 1190 and 1210 calls for July that I left on to expire when RUT was at 1100. Lol, I realized 5 days ago that I still had them on and now they’re worth a lot more lol. Expiry was Jul 14 and there was no reason @ Jul 7 to think we’d get that high. My bad. I always close these but felt like there was little risk. I guess RUT is up like 10% in a few days…

Jul 12 – Rhino M3 Trade Update

Struggling here with the massive up move in a short period of time. We’re at ATH on the SPX and RUT is tagging 1190 (From 1088 just a week or two ago). This is the one type of move that stresses me out the most with the Rhino trade.

The Aug trades are now all negative by about 1-2% when they were profitable by about 4% just a week ago. I added call calendars last week and hedged off some of the BBs I put on as downside hedges with calls (converting to M3) and some futures but it’s not been enough and we’re now negative and in a zone of the trade I hate. These things can handle, you know, normal 6-8% up moves in a cycle but when they get up to this range (10%), things start going negative and they start getting annoying to manage as we’ve got to deal with decreasing theta and zones where even pull-backs don’t produce much recovery because of upside hedges put in place. As I’ve switched from old school modified iron condors where I dreaded volatility and down moves, now I dread never-ending 9%+ up moves and wish for corrections, neutrality or a 45 day trade cycle that doesn’t have a 9% up move 🙂

The move is stressing me out because there are a lot of imponderability about it. I don’t know if this is the start of a huge break out because of helicopter CB money (BOE and BOJ are easing) or a typical normal over-reaction short covering from the Brexit event. All breakouts of ATH have an 80% failure rate and thus I am trying to be patient on any aggressive upside adjustments. We’ve got a Bradley turn date, some big negative divergence, volume was down -17% yesterday on index, we’re vastly oversold, the T2108 % of stocks above the 40DMA (69%?), and we’ve tagged upper BBs. The 80% failure rate can take days or even weeks so we’ll have to be patient but with any luck it starts now.

My plan is to add upside hedges on any normal sized pullback (thus getting the trades more balanced) and hold off on adding upside adjustments if we just continue up or pause unless we break 1199 with conviction.Then I will reconsider my plan and probably start taking losses. My guess is RUT stalls around 1190 area and pulls-back, I think John Locke is also recommending being not so aggressive on upside hedges right now and also believes the same thing re 1190 as a reversal zone at least short term. My nagging “back of mind” thought is that these markets aren’t following the usual, we’ve got central banks injecting like mad (BOJ and BOE) and this money has to go somewhere. I fear that these Aug and Sep trades might be in some trouble.

Jul 8 – Rhino M3 Trade Update

Rough week in the markets. The RUT was in the 1130s yesterday and the trades were doing fine though fairly delta negative (just not enough to warrant ANY adjustments). I did have a few TF futures, some long IWM and some calls on as additional hedges, but I removed those at a decent profit throughout the day just not at today’s high by any means. I wish I waited longer. I sold off 1 call per account at 131 (1050s Aug) and TFs at 1157 during the jobs report (damn!) and IWM at about 116.57.

Yesterday, the trades were down about 3% from our all time highs and healthy positive, this was understandable since the market was up about about 4% in a few days and our trades will always suffer in larger up moves. Today they’re down a lot more from the high but still slightly positive over-all. Our upside risk is not so high as today’s move was fairly big and sudden and took away most of that upside risk. Today’s up move was next level and puts the move from the Brexit lows at 8.3% up. This removes most of our profits for Aug but we’ve got limited upside risk and a huge profit tent built underneath. IF we get Any move into the below 1145 in the next 3 weeks, we’ll be singing. IF we continue up..well we’ll enter negative P/L but with not so much upside risk per say. The entire Aug trade now banks on a pullback where we’ll take some off and/or adjust on the upside.

The September trades I entered are now negative which is understandable since they’re a mix of 1150/1110/1060 and 1140/1100/1050s. I’ll have to add some call BWBs sooner or later if we continue to be at 1170 or above. I would like to wait for some cool down first. I want to see how this next week proceeds. I would have thought the EU bank risks were bad news but maybe EU money is now flowing into the US market. The internals today were insanity. That worries me a bit re continued up moves.

Jul 2- Rhino M3 Weekend Update

I managed to get some calls and call BWBs in on Friday during the dip and luckily, pretty much right at the bottom of said dip.

Trades:

2 x 1050 calls at $106 to hedge my Bearish Butterflies I put on as a hedge pre-brexit (converting them to an M3). I have 1160/1110/1060 and 1150/1100/1050 Butterflies x 15 and 2 x 1050 calls. Note: Earlier on the week I had bought the same calls for 90 and sold at 99 when I thought the RUT was exhausting itself. I had to rebuy at 106 when that was proven wrong though the same calls touched $114 on the height of the RUT move. So I was pretty much in M3 configuration the entire up move except from 99 to 106 re cost of the call.

15 x 1210/1180/1130 Call BWBs to hedge the Rhinos @ 18.33

The trades are mostly hedged to the upside now and though I expect some weakness into next week, I also expect the markets to quickly resume its uptrend. On dips, I’ll start taking off some Aug trades and hedge a bit more with call BWBs or Calendars. I’ll be quick to take profits on Aug. I had built up a lot of profit in Aug expiry and though some of it was taken away in this most aggressive up move, I still have a lot. My overall balance is about 6% from its earlier and max highs on Monday. I am very happy I took off all of July on Monday as those wouldn’t have fared well in the maniacal three day bounce. I was quick to take profits on those 🙂

As for September, I am only somewhat entered. I have 1150/1110/1060s and 1140/1100/1050s. I am looking to add some call calendars or call BWBs to protect on the upside. Waiting to see what happens post Jul 4 weekend. I got a bunch more on thursday @ 2.90 which isn’t a great price. I won’t pay much more than that so if the volatility continues to fall and the BWB prices go above 3.15, I’ll sit out and manage what I have on and wait for a high volatility day to enter more @ better prices. If we don’t get a high volatility day in the next 20 or so days, then so be it. I struggled with July due to bad prices and won’t repeat the same thing again. Trading well means getting good prices and being willing to sit it out until you do.

Jun 14 – Rhino M3 Trade Plan

On this mornings bounce I sold off some upside hedges I had (1 TF future per account) and (10 2125 call hedges for SPX) and the market proceeded to sell off through most of the day making the decision look great. That said, it did end up bouncing towards the end of the day. I took the bounce as an opportunity to add some Bearish butterflies (Jul Expiration) at such a good price (If I recall, they were 10.60 for July expiration!). The steep option skew has made butterfly pricing very attractive these past few days. As I said yesterday, it was different and kinda unusual. Volatility increased and usually vol skew flattens out but this time around it actually did the opposite. This made pricing great for entry but negatively affected BWB and BB trades already entered. My OV risk profiles were not as expected going from Thursday till today. However, it got better towards end of day.

There is a lot of doom and gloom right now, we cut 2080 like butter and kept going. The selling is relatively emotional and fearful and until we have resolution in the events, we can expect some more uncertainty and volatility. The Brexit is mostly about immigration and I’d guess that on an exit, the politicians would keep the same trade agreements in place. So probably ‘much ado’ about nothing that has any real effects on the economy.

My gut says we’ll have a bounce tomorrow re the Fed meeting and probably into OPEX. I might hedge with some cheap weekly calls. I don’t know yet. We’ll see how it plays out.

Here are the risk profiles of the three Jul Rhinos. The P/L aren’t accurate as I hadn’t updated pricing on a few adjustments but the profiles are correct.

Jul Rhino M3 (P)

Jul Rhino M3 (M)

Jul Rhino M3 (D)

Here are the other three which started off more as an Broken wing condor.

Jul Rhino M3 BWC (P)

Jul Rhino BWC M3 (D)

Jul Rhino BWC M3 (M)

Here are August trades, which are a testament to the whole Vol skew issue. These should have had a massive P/L increase on the fall. We were outside the tent and entered in, the OV mdoel would have suggested a large increase in P/L. This will self correct. But I kinda learned something, I was or had a tendency to add Rhinos at perceived tops and I did this fairly well timed a week to two weeks ago when RUT @ 1180-1190 and I’d have expected that with heavy negative deltas and a bearish bias, that I’d not be down right now. but I am, at least for now, because of Vol Skew. The pricing on the BWBs were about 3.30-3.40. Not great. I don’t think I’ll be as excited to enter on big up moves, rather, I’ll be more excited to enter during down moves where vol pops and skew is favorable.

Aug Rhino M3 (P)

Aug Rhino M3 (M)

Aug Rhino M3 (D)

I have a bunch of SPX ones as well but I’ll post those later. They were purchased at much better prices and are doing well.

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%