The OCT M3 trades caught up a bit today (recovered about a third of the loss in profits on Monday). They are looking OK and they are all profitable. I did some adjustments to reduce Vega and increase theta. It is reasonable to probably close these down at our Friday profit highs if we don’t have any extreme 2SD moves in either direction. I’ll probably reduce them to fairly benign positions by Friday. Well really, this is what I started to do already. I have already cut down gamma and start rolling up some of the bottom puts while rolling down some of the top puts thus reducing both upside and downside risks (reducing gamma) while still maintaining positive theta and negative vega.
HI
Seems you have the same information source as I do:) I also started to trade the Rhino. Did you back test it? I am presently doing it… 2011/2015 completed. Not bad at all, even if there are some hard months for which I was not sure about the adjustments to be done.
Are you still trading the MIC/Weirdor? These trades are good, but the downside risk is much higher than Rhino, and I guess M3
Thanks
Emeric
Hi Emeric,
Yah, I’ve backtested it across several years so far. It’s a great trade. I do find the upside adjustments to be somewhat tricky (when do you stop adding call calendars, when do you switch to a call BWB and when do you start rolling the shorts forward instead of adding more of the respective adjustment). But I’ve done my own style of adjustments in each of these cases.
I haven’t resumed trading the MIC yet. The downside risk is big but if you manage it right with black swan puts and understand that you’ll have those huge overnight gaps and occasional -7-10% losses then I think it can be good, over all, it does quite well even with those results. They’re just hard to handle 🙂
Hi there – found your site searching for rhino trades. I’ve just started trading this as well and looking for others trading it to stay in contact, share adjustment ideas and improvements to the trade. Seems stable and easy to manage. Backtesting has been successful so far.
Hi Matt,
We should share ideas etc on the Rhino. I was utilizing the Capital Discussions forum and coming soon John Lockes community will be ready too. But we can discuss here as well.
So far, I like the Rhino trade. It seems to perform quite a bit in backtesting and I love the performance given that most of the time its closed before 21 DTE and you have little gamma issues. I hope to have about 7 years of backtesting done soon.
What years have you backtested and what have the results been?
Hi
Just saw above answers/comments.
I also made a complete backtest 2011 till now. Results are quite good.
2011 – 18900
2012 – 19100
2013 – about 7500 but January to July this year were very tricky and gave me so much headache…
2014 – 15900
2015 – jan to sept – 15800
I did this backtest with Optionnet, but greeks are quite different and seems the P/L curves are not realistic/reliable, so I will test Option Vue…and if I switch to OV, then I ll do the complete backtest again.
I had exactly same issues as the one you mentioned with the upside adjustments … I suggest that we should share ideas and we could create a skype group for that purpose. My ID is – elepoutre – Waiting for you, Matt and others to ad me 🙂
Emeric
Awesome. I’ll add you to skype today.