rhino trade – Page 5 – Travels and Trades

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.

Jun 13 – Trade Plan

It’s been a while since I posted….I was traveling for work and had minor surgery which put me out of commission re posting. I ended up closing the June trades for a great profit about 1-2 weeks ago.

I am in the July and Aug trades all of which are about break-even at the moment. They were all pretty heavy delta negative a week ago and according to OV, we should have expected some significant paper profits because of the RUT falling from 1188 to 1153, but we haven’t. Completely different position than the models suggested. I understood this and sort of expected it with any decent IV rise but not quite as pronounced as it is right now. Usually, if things calm down just a little after an IV spike, the skew changes and time decay floods in and positions start to match the expected model. This time around, this won’t happen until we pass the two big events that are causing the IV spike — Brexit and the Fed meeting. The recent terror attack and the politics surrounding it also presents some issues. For now, market makers will keep pricing inflated. Not forever, since all premium must come out but at least until those events pass and there is some breathing room. Seen it before many times. For now, I am taking the opportunity to add more bearish leaning BWBs to the trades as they’re much more decently priced. I just paid 2.70 for a BWB whereas I was paying 3.40 just a week ago. So not only are they cheaper, but they’re helping hedge to the downside.

RUT has been a bitch since Aug of 2015. We’re having outsized moves and it’s made trading challenging. It’d be nice when the beast settles down a bit. This year alone, we had a 22% decline from Jan to Feb which was followed by a 22% rise up till Apr 28th. Making money in the Rhino trades during that environment is almost impossible. Following that, we had a 7% drop into May 19 followed by a 10% rise to Jun 8th (a 25% for the entire year @ Jun 8). Again, this trade can handle 7-8% fairly decently in any given trade period of 30 days, re not LOSING money but when you get a quick 7% drop followed by anther 10% rise, you start to have challenging trade management. Despite that, June did very well especially since we got out of most of it before the 10% rise. It’s really not normal to have 8-10% moves each month with whipsaw. I cannot wait for an environment that has normal moves 🙂

Our Jul and Aug trades should be able to handle any bearish fall so long as it’s not like 10-15% overnight. They’re all good till about RUT @ 1100. The position they’re in now, ANY stabilization or drop in IV will get them to probably max profit pretty quickly. We’ve got 35 days left and lots of room to the downside and lots of theta since we’re under the tent. Should be a good month unless we have a large correction.

I am traveling for 2 months again starting June 27. We’re doing:

Vienna (7 days)
Krakow (5 days)
Dresden (3 days)
Regensberg (3 days)
Salzburg (3 days)
Munich (5 days)
Freiburg (3 days)
Salzburg (4 days)
Arona (6 days)

10-15 days left unplanned

Undetermined whats after this..maybe south of France or north Italy. Any suggestions?

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.