October 2015 – Travels and Trades

Trade is doing well. I rolled the BFs forward today, added a call and removed some of the call calendars I had on as a hedge (not standard). I’m going to close the trade sometime next week and am aiming for about 15k or roughly 7.5% of planned capital.

Delta: -227
Gamma: -20
Theta: 1586
Vega: -2786

P/L: ~13,250
Target: 20,000

Rhino M3

Trade is doing well. I added in a call BWB on Thursday (1130/1180/1210).

Delta: -277
Gamma: -4.6
Theta: 692
Vega: -3024

P/L: ~11,423
Target: 25,000

Dec M3

Trade is also doing well. I haven’t had to do anything to this trade since inception on Oct 9th. Easy.

Delta: -181
Gamma: -2.8
Theta: 390
Vega: -1900

P/L: 8,516
Target: 15,000

Oct 28 – Update

A 3% up move in the RUT today with a 6% intraday swing. That’s giant. The trades were rocking yesterday and are now mediocre today. Makes sense, they like to be in the tent. I took some November off which was good. The extreme up move today did take a lot of the paper profits away, however they’re still all profitable though most are now sitting outside the tent. That’s OK. The 1190 area is just 12 points away and that’s where I’d expect major resistance and a pull back. I’ll adjust the December trades tomorrow to reasonable amounts to withstand a move to 1200. I’ll try to get that T+0 line nice and flat (if it doesn’t gap or run to 1190 too early) and at 1200, I’ll start to adjust enough to allow for a decent profit if the market should retrace back 20-30 points.

Today, I didn’t adjust until after the FOMC announcement and when the market fell to 1158/1160 area. Good timing but I only added 10 1160/1150 credit spreads to a remaining November trade and that was it. Nothing else was overly pressing. The deltas were good and they were just hovering around the edge of the tents. Especially the Decembers which were resilient to 1170 area. Obviously, and in hindsight, I wish I did add a few more adjustments to the Dec trades but my rules didn’t call for it. How could I expect a 2% run EOD 🙂

As For protector, I rolled my 207 puts in the protector to 208. I have 207.5 and 208s and the market run to 209 at the EOD has over-run my shorts. Protector continues to under perform everything and is down on the year.

Nov M3

P/L: 8,000

Dec Rhino

I took this at 15:30 and it had a P/L of 10,060 but I don’t know if that’s accurate. I’ll see what it says tomorrow now that RUT is at 1178. At 4:00pm it looks like pricing is whacky because it shows a 3800 P/L. Doubtful its that low.

Dec M3

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 21 – Trade Update

Rhino M3

The trade is going well

P/L: 11,310

Nov M3

The trade is going well

P/L: 7,316

Dec M3

The trade is going well

P/L: 5,396

Oct 20 -Bearish Butterfly

I entered the 1140 Bearish butterfly with RUT @ 1164 and the price of the BF at $9.63

It’s a higher variance trade with a higher profit target of 20%. In this case 20k.

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.

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.

Dec M3

Nothing going on with this one yet.

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.