BWB road trip trade – Page 5 – Travels and Trades

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.

Jan 7 – Trade Plan

What a brutal sell off to start the year. RUT is down 9% this week and SPX is a little over 8%. Yesterday was fine. Most of the trades were in our tents and profits were good. Today was a different story, the huge move and increase in volatility had the trades under water and, for many trades, outside the tent. The fills were horrendous and I resorted to shorting some ES/F, buying debit spreads and bearish butterflies to hedge the positions. I managed to close out a few higher BFs at a loss. The Rhino and RT trades can handle a lot, and they handled the 5-6% move this week fantastically but when it dipped below 9% and volatility increased, we started having problems with our P/L and with the trades themselves. That said, we’re positioned well into tomorrow and we would welcome a stall and decrease in volatility to get the trades in a good place.

Tomorrow, I’ll continue to add March Rhino positions with the great prices we’re getting and they’ll naturally be negative delta which will help hedge the other trades. My slight concern is a massive bounce which causes issues for the Rhino. I’ll also continue to add bearish butterflies and debit spreads as a hedge. The problem is not so much the big moves down but the fact that they’re occurring over night and there’s not much you can do about them when they already occur.

All in all, these trades are way easier to manage both emotionally and technically over the M3 and Weirdor trades. I was laughing (literally) yesterday when the market was down 5% for the week and my P/L neutral to up, however, that changed today and instead of laughing I was crying a bit 🙂 The increased vol and the terrible pricing on fills and the subsequent effect it had on P/L was a tad stressful.

Dec 31 – Happy New Years!

I put on my last trade for the year. A 1060/1110/1150 March Rhino Butterfly

Units: 17
Planned Capital per unit: $25,000
Profit Target (10%): 42,500

Haven’t posted in a while, not much happening over the holidays. I have several Road Trip Trades (similar to the Rhino) on the SPX and I’ve still got Feb Rhino’s and some March Rhino’s going. I am about 35% invested at the moment. Going to up it first week of the year as volume starts getting back up.

I haven’t had to do much over the last 2 weeks (I added a few call calendars to both the SPX and RUT Rhino’s I had on over the break) but that’s about it. Easy.

I plan to reformat the blog a bit in the New year and post real-time updates to the trades I am doing. I just have to get into the rhythm of it.

SPX Dan Harvey (Road Trip Trade) – Rules –

SPX long Dated BWB
Use SPX put BWB.
Enter 65-75 DTE.
Exit 15-40 DTE unless forced out earlier.
Enter on a flat or down day where volatility is higher.
Place upper long within 5 points of the market.
Place shorts 40 points and lower longs 90 points below upper longs.
Ideal entry price is below 100 but can go up to 125.
Try to leave the position alone for at least 30 days unless SPX has a large move.
If SPX is more than 30 points above upper longs then start rolling them down one-by-one to raise the expiration line above zero.
If SPX moves to the lower 1/3 of the tent early in the trade then either exit or buy debit spreads to protect the position. The long of the spread should be at the B/E point of the expiration graph and the short should be 20-25 points lower.
If SPX moves down later in the trade then exit.

This originally appeared at http://forums.capitaldiscussions.com/threads/dan-harveys-bwb-road-trip-strategy.348/