rhino m3 trade – Page 7 – Travels and Trades

Mar 2 – All Trade Update

April

I’ve removed most of the 1050/1060 call calendars from my April trades which helps with the maximum upside risk. I am waiting for any pull back to the low 1050s to put on a 1030/1080/1110 call BWB. I might put on a more ATM BWB as well to increase theta. Right now, re upside, I’ll take my chances since I’ve got limited upside risk. With RUT at 1062, we’re at the 200% fib extension which corresponds with a 50% retracement of the down move. This is about 120 RUT points (12%) in the matter of 10 trading days. Incredible. I find myself amazed at market moves lately both in currency and in equities. Historically this up leg on the RUT should pause retrace some. This is a giant move. If you follow Lockes BB strategy, we’re at the 120 point bounce “What the hell are you waiting for, put on some bearish butterfly” stage right now which is very rare.

Unfortunately, all April trades are down into negative P/L territory but any pull back to the 1030s would put us profitable. My plan now is to wait for any pull back to add some call BWBs, a few ATM BWBs to increase theta and to perhaps roll up some of the bottom BWBs.

These past 60 days have been incredibly frustrating. Massive down moves and now I am dealing with a massive up move. 12% since Feb 11? Really? Annoying.

March

I’ve got no movement here except I removed some call calendars. Waiting for better opportunity. Deltas are negative but fairly low and with low gamma. Waiting for better opportunity. I am glad I got out of nearly all the March trades last week but now what is remaining is losing $. Any pull back to even the low 1050s would be helpful. Upside is limited risk but still can lose some more $. I am more apt to be patient right now with this strong of an upmove. IF it happens to keep going past 1070 without a pull back, well I’ll take that risk.

April Trade Update

Here are my April RHINO positions.

March Unwind – Nearly there

Today was a much better day for unwinding the positions and the subsequent P/L. I have about 15% of the position(s) left. I’ll probably close most of it out tomorrow. They are fairly benign right now–> Really flat. March expiration is finally approaching an end. How relieving. All in all, I am profitable for March (will know by how much once I finally close everything). I was trading quite large since December (a total of about 100-150 units of 5/-10/5 rhinos) and went through a 20% down move in the RUT followed by several 8-12% bounces. So, having had big money on, I got to experience some of the worst conditions while having the stress of a large position. A nice stress test. I mean, since Dec 31st (when I put it on at RUT 1140) it’s been pretty much the worst environment for trading these things, but they ended up doing OK. My maximum balance swing related to equity was about 12-15% in total and always during the highest volatility days. Of course, I am utilizing portfolio margin, this is why I mentioned the swing relative to equity. A few days after a high volatility day, RUT at same price, my balance would be right back to normal. Those are the effects of volatility on option pricing. Anyways, I can deal with that and I pretty much have a skin of steel now. I never felt totally uncomfortable through all of this despite the volatility and that’s a big change from the old modified iron condor days–>especially Aug 24 (I was extremely uncomfortable that day)! Glad I don’t trade that anymore. It must be a very challenging year for condors (well all trades are having difficulties, I see a lot of M3 traders doing poorly right now).

I did learn things I probably won’t do again, first and foremost, I will always close the Rhino structure if it gets challenged rather than trying to hedge it. As well, I’ll probably use upside BWBs as adjustments as opposed to calendars. I didn’t like how the call calendars reacted these past few weeks and I’ll be backtesting some of this later this week.

The bearish butterflies were a beautiful trade this month. They did fantastic. I just closed out most of them for a big profit. I had continued to put these on as hedges all the way down. What I’d do is put them on patiently after every modest bounce and I’d always get fantastic pricing on them and they were resilient on the way back up.

Other than that, I am waiting for a good day to get into the May trades. I didn’t like the pricing on Friday.

EDIT: I closed off my 1040 call calendars for 10.35 today when RUT was at 1040. I paid like 9 something for them at like RUT 1015…really?? I made $1 on it? Not exactly a great hedge to the upside. Anyways, I really got to look at calendars. Right now, I am just going to start using BWBs. It could have been because I put the calendars on late in the month.

Feb 26 – Updates

This move up from 950 to 1040 (~11%) in the space of ten trading days has put a damper on both the March and April trades. Especially the 4.5% move in the space of the last 2 days. I am back where I started about 10 days ago, break-even for the year. I guess it’s not a bad result considering the moves and volatility. Just 3 days ago right when I was taking off my call spreads, I was up significantly (5%-6% of equity) and now I’m hovering around $0. Is what it is and the market sometimes does not makes it easy. Any pull back in the next 2-3 weeks will benefit the April trades and we’ll be right back up. I haven’t checked yet, but most of the pain is definitely in the April trades and March theta has offset some of the negative deltas as of late.

April Trades

So for the April trades, I am just about at my delta limits and am looking to buy a modest amount of call BWBs or call calendars to bring the deltas down just a bit. NYMO is extremely over bought, the RUT is sitting at heavy resistance near its Oct and Sep lows, it’s moved nearly 100 points and the volatility in the market is high = I will be a bit more patient with adjustments to the upside. Though it’ll hurt a bit if this turns out to be an Aug 2014 style run to the upside. Any move down to RUT 1035 today, and I’ll be putting more of them on, if it runs from here (1038), I’ll be slower to add as I await some exhaustion and for Monday/Tuesday to see where we stand.

March Trades

This has been some terrible timing for our 21 DTE removal of trades week. Sitting quite health last week to have a 4.5% move right into our most unpreferred area of both the Bearish butterflies and the Rhinos that remained. I had kept removing trades through the last 7-10 trading days but not enough to prevent some pain. I’ve got these deltas under control for now and it looks like I will wait till Monday/Tuesday to get the rest off. Taking off those damn call calendars at RUT 1008 after it touched into the 990s was a huge regret, especially now, that RUT is at 1039! That hurt a bit.

Frustrating week.

March Unwind Update (Feb 25)

Being 22 days to expiry and having this relentless up-move is just plain bad timing with how the structure of the March trades are. I’m giving back some profits in the exit, no doubt.

I got rid of quite a bit today @ 10:30 and I was going to get rid of more at 2:30 but the up move and being negative delta, has definitely hurt and I still have a lot on. I can’t believe I closed 1040 and 1060 call spreads yesterday @ around RUT 1007-1009 only to be at 1030 right now and now I am actually too delta negative…whipsaw and probably over-adjustment. I should have closed the equivalent number of Rhino’s at the same time, hindsight is 20/20. My thought process with the call removals, was that I was positive delta, we had just fallen from 1014 to 995 area and on the bounce to 1007, it was a good opportunity to get rid of some of the call calendars to put me close to neutral or slightly negative. I’d then start to remove Rhinos towards EOD and on Thurs/Fri. What ended up happening is a very swift move from the 990s to 1030s in the course of 4-5 market hours (4%?). Frustrating.

On the SPX side, I closed the entire SPX Rhino @ 1.80 credit (I paid 1.60 debit). We got a great price for it and it was bearish leaning so it was a good time to get rid of it. IT was a trade recommended by Brian Larson back a few weeks ago.

March Unwind – Update

Yesterday, when we had a bounce to the 1005-1010 area in RUT, I started removing some of my call spreads since I was slightly delta positive and I like to keep it slightly delta negative. The market moved rapidly against me up to about 1023 area and I couldn’t get fills on any of the Rhinos at a decent price since it was a catapult upwards. The up move was quite bizarre, especially in the SPX with an almost -2% day to a positive in just minutes. The frustrations of removing trades 🙂 I am not terribly delta negative but still, I could have gotten much better prices had I been able to remove some of the complimenting Rhinos. Today, I’ll start removing Rhinos, and I’ll aim to be out of most of the trades by Tomorrow AM. Tricky market–always a challenge.

My April trades are pretty heavily delta negative and I’ll look to start adding either some call BWBs or some calendars to get them down a bit.

Not much else…we have some data at 8:30am, I am hoping it gaps us down a bit so I can get rid of some of those Rhinos!

The March Unwind Update

I didn’t take many trades off yesterday, though I think I might end up regretting that. I am waiting for Thursday and Friday to unwind the March Rhino and BB trades and to also enter the May trades.

I’ve got a ton of accelerating theta in the March trades and my thought was to wait for the typical theta unwind that occurs from Wednesday to Friday and start closing down everything starting late Wed, Thurs and Fri Morning. We have GDP on Friday, the G20 on the weekend and some other big news from Shanghai re central bank policy. I’d like to be out of all March before the weekend.

I feel like I over-adjusted to the upside yesterday. I don’t know. The March trades were holding a lot of negative deltas and my Aprils were as well. I figured I’d get the March ones down a bit while Aprils would be somewhat maintained. Today, on just a drop of 10, (gamma in the trades is picking up), I am already at about 0 delta. I gather I could have done without a few call calendars on the march trades because on such a small drop, I’d still want to maintain negative deltas. Gamma sure does pick up toward the end of the trade. Though, if it had continued up hard, I’d be probably saying the opposite. I’d hate to have a big big down move tomorrow or Thursday but that’s risk management eh.

April Trade Update

I’ve added some call calendars pre-emptively to protect the trade on the upside for all accounts. We have a lot of room to the downside before having any real problems (around 9%) but not so much to the upside. I don’t know how to read the current market and thus I am not picking a side.

The March Unwind

I started unwinding some of my March trades today by peeling off the lower Rhinos and Bearish butterflies. I was surprised to see how fast my deltas got negative again. I was at limits on all the March trades yet again. I ended Friday quite comfortably but today I surely was not.

I tried to peel some off in the first 5 minutes when the RUT was @ 1018 but that didn’t last long and the RUT proceeded up to about 1026 area. My plan at that point was to wait for a slight decline or until 2:30pm to do an adjustment. I got a little pullback, RUT fell down to the 1021 area and I started peeling off my lower bearish butterflies (910s, 920s) and my lower rhinos (910s) and added some 1060 call calendar hedges as a temporary hedge as I start to peel the entire structure off bit by bit in the next 5 trading days.

All in all, the March Rhino trades will probably go down as some of the most challenging trades I’ve done and will likely ever do. I entered them on Dec 31st at RUT 1150 and experienced a 200 point fall starting almost immediately on Jan 4th down to about 950 only to have it rebound several times by 7-8% in between. That’s volatility I guess. My result? Profitable. Happy about that I guess, but I found myself dreading trading a bit because of the wild swings. One big take away was my risk management, I thought it was the best I’ve done despite some over adjustments and also lack there of through-out.

April Trade Updates

Below are three sets of Rhino trades for April for three different accounts of mine. There are multiple tranches in each and the risk profile is a combination of several. I am not going to do any upside adjustments to any unless RUT breaches 1035 with authority.

I started also putting on a new type of hedge trade called a “Space trip Trade” developed by Ron Bertino. This is essentially what ends up being a free hedge for large down moves but can also be an income trade in portfolio margin accounts where it takes very little margin. If the market stays neutral or falls, it’ll profit. The upside has little risk (-$600) and a 17% fall would produce 24k in about 4 months. The idea is to put on multiple tranches of this with both time and price diversity. It takes time for the profit hump to build and entering these periodically and @ different times and market positions, we should be able to get a nice hedge for our ATM trades like the Rhino and also produce some income on them as well. As time builds, we can remove our upside risk by rolling up the shorts a bit.

Here is what I have on below: