The market hasn’t been friendly the past 2 days but I somewhat mitigated about 70% of the potential move if I had followed normal guidelines. I had hedged some of the trades with calls and reverse harvey’d some of the RUT trades. All in all, it was more neutral with just a bit of upside risk into FOMC. The result, in RUT, we probably went from 5% to about 3% in P/L. In SPX, we went from about 7.5% to about 6%. Not terrible given that we’re at 52 week highs in the RUT. Todays market close was very strong for RUT which hurts the trade a bit since we’re not the right hand side again. Still! We’re profitable and at 52 week highs. Can’t complain, it should set up the next trades well for down or less than 4% up moves 🙂
I was able to remove about half of the SPX Oct position and secure some profits. The SPX monster trade is now up ~60-62k (the max it was up was about 70/75k) despite this large rally post FOMC. The position looks good, has decent theta, though outside the tent, but any pullback would bring some great returns. The upside has not much risk left. I removed the 2175 Call calendars today at 2:30pm as they were at the money. I won’t add any more but I will Reverse Harvey on a pullback. We have that debate on Monday which could bring some small volatility to the market if Hillary bombs. With limited upside risk, I am not in a huge rush to adjust but I’ll keep my eye on the screen and work to RH the position.
Plan: I am looking for a pull back to RH the upper longs and continue to peel off the trade at profit. Ideally, we get some sort of pull-back in the next week.
All of the November positions are now back to even with the big up-move. Expected. Will need to upside manage those trades soon if we continue up. They aren’t at any adjustment point yet but they aren’t far away either.
Before the FOMC, I managed to get filled on several 1240/1200/1150 December BWBs @ an average price of 2.40! They were 87 DTE I think, but still, great pricing. Makes the upside management easier, and it’ll be easier to profit.
I am considering backtesting a more conservative version of the Rhino that I’ll start cheaper at around 88DTE, do a few more units than normal (more leverage), reduce the P/L target and close earlier than 31 DTE. The cheaper price in the BWB should allow for easier upside management, and the cheaper price and length to DTE will make the trade a lot easier to manage. If I can get a 6% P/L target and leverage that up, it’ll make the trade a lot easier and resilient.