So that was an interesting day. As expected my portfolio has fallen due to vega issues. Normally not that stressed but this is kinda a weird environment re this trade war. I am not so much stressed about any permanent draw down or loss but more so managing the rolls and dealing with fills (if we drop much further than 2825). It’ll mean that the trade will take a lot longer to get to any reasonable target. However, if we crash, I should be perfectly fine with the BSH hedges.
- I’ve got 115 STTs on in Jan expiration
- I’ve got 80 or so Dec STT but coupled with loads of bearish STT adjustments
- I have 14 ES shorts
- I have 100 puts in Sep 19 expiration at 2125
- 110 BSH in Oct 17 expiration (only 54 days to expiration though)
- 20 BSH in Oct 31 expiration
- 95 BSHE in Oct 31 expiration (just ratio)
- 30 BSH in Nov 14 expiration
- 30 BSHE in Nov 14 expiration (just ratio)
So I have on an estimated 195 STT, 100s of bearish STT and 285 black swan hedges of some form and 100 long puts in Sep. So should be hedged against any crash by far. Typically, 1:1 on a Aug 2015, Feb 2018 event should get you break even all said. If they activate I should be in a profitable situation. Especially given the BSHE have not yet sold the additional short just yet.
Trump tweeted “Who’s the bigger enemy Jerome Powell or President Xi?” That’s so messed up on many levels and it creates a confusing trading environment. My trades are back to about -4% or so. Which is expected with that increase in fear/vol. However, I am sorta in a really sweet spot if we should stabilise anywhere between 2750 and 2900. I really don’t know what to think re what’s going to happen here but I hope it slows down else things get a bit annoying. If it goes down hard but without a crash like trigger, it’ll get rougher before it gets good. I’ll have to initiate rolls etc and it’ll take longer to reach any reasonable P/L. If we have a sharp crash, I should be profitable as I have about 195 STTs on with a LOAD of bearish STT, BSH hedges and ES hedges. If we move around between 2750-2850 over the course of several weeks, my P/L will be fantastic.
Today: Here’s what I was doing/thinking through the past few days:
On Thursday, I got on 25 bearish STT and sold some ES shorts at about 2922-2930 area. I wasn’t loving the move to 2937 during after-hours but it wouldn’t matter since I had tons of theta and I’d get my target. The previous weeks I had put on 100 or so bearish STT and converted some over to regular STT. I have this big hodge podge mid-hedge position over the past few weeks. All in December expiration. Overall I am still negative Vega by a far amount so any increases in Vega hurt. The move from sub 16 to 21 VIX did hurt the trades as predicted.
On Friday, Before the 10am Jackson Hole events, I was building up some hedges mostly to start the massaging process through September to get my P/L up to target before my trip. The plan was to get them more negative delta and just let the market move about. I sold 8 ES which gave me -400 deltas then (this was a bit weird) I had a bunch of bearish STT trying to fill then trump tweeted, we fell to 2919 quick and then rebounded and it for some reason filled, then we went straight down. The day before that, I got another set of Bearish STT when the vix acted weird on Thursday. So yeah, pre-trump I was about -300 delta all said. When the vol kicked in and the market fell, I ended up at about +700-+900 (Sans the ES hedges). This is the effect of vega on delta. I ended up day trading the ES to build more hedge. Every bounce I sold more, and then covered at specific points and resold over and over again to build it up to -14 ES shorts. I also added in BSHE and closed some units of STT.
I did sell some short puts right at 2835 EOD for a BSH factory and the market bounced to 2857 after close, those puts were then 80c cheaper. I almost closed them but didn’t. I don’t know what to expect Sunday/Monday but I am sure we’ll test 2825 and I’ll probably wait for confirmation of a bottom before closing off my shorts. If we break 2825 I’ll have to roll some STT and ride this thing longer than I hoped. I’ll be aiming to complete those 90 shorts to make 30 more free BSH on any bounce on Monday.
So I guess we find out what happens on Sunday. I am trying to analyse my portfolio and post it here but ONE data doesn’t work on weekends…..so I can’t do anything until Monday.
I think I am pretty solidly hedged and setup. I was profitable on Wed now I am down about 4%. It’ll take some time to get it back but time is on my side unless we have a Dec style slide down that doesn’t activate BSH, then it gets more painful as we roll and let time work.