Tag: m3

Today I traded from the boat and it was awesome 🙂

Everything is going my way in the trades this month. I’ll be taking a lot off tomorrow close to profit target and I will start some Jan m3s and some Feb Rhinos next week. I’ve got another 2 Rhino trades hitting around 8% now and I am closing the big one for 10%. The M3 trades are all sitting with great profits as well. A good time to unwind and get into the next months trades.

In case anyone doesn’t know, the OV issues aren’t really solved and the modelling is definitely different.

John Locke posted “Regarding the Greeks numbers. The variable settling is currently showing too negative Delta and is projecting too much sag¦ IN THE FRONT OF THE POSITION. The EIOIO is showing too positive Delta and not enough sag ¦ IN THE FRONT OF THE POSITION.
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In contrast the EIOIO settling is currently showing too negative Delta (starting approximately) BEHIND THE SHORT STRIKES. The variable is showing too negative Delta AHEAD OF THE SHORT STRIKES. Once the short strikes are exceeded by 10 points the variable appears to be most representative of reality.”

I am fully out of the November trades at 3.2%. Not the best result but not terrible given the incredible movements we’ve seen during the trade. I believe we started it when RUT was at 1080 and we saw it touch 1200 and revert back down to 1155. I think I could have closed it at about 5-6% around 21 DTE. With my M3 trade types, I’ll probably take 6%+ at 21 DTE rather then trade closer.

The December trades are doing great now. I closed my Bearish butterfly at 20% and the RHINO is approaching its profit target of 10%. The other trades are all around 3-5%. This time around I’ll be closing them before next Thursday (21 DTE) and I’ll start entering some January M3s and some February Rhinos. I’ll be protecting the upside quickly this time around. If it looks like we’re starting the santa rally, I’ll be flattening my upside. I was somewhat reluctant to do it too quickly today but tomorrow and the following day I’ll be watching. This week is November OPEX and we’ve been rallying into opex lately and also, Nov 20 to Jan 5 is the period known as the Santa claus rally period. I’ll do this by removing some lower butterflies, adding calls or adding put credit spreads.

Here’s the RHINO I’ll probably take off in the next day or two at profit target (25k).

I tend to leverage quite a bit and I noticed on one of my accounts the amount of margin needed as trades approach expiration drastically increases. Something I’ll be taking into consideration for next month. I had to transfer funds from another account in to cover the margin when the RUT experienced big volatility spikes last week and as expiration in Nov approached. I went from having 50% of the funds available to being in a margin call situation. Anyone else that uses PM should take note of that. That said, I had like 1/5th the planned capital available in that single account.

The market touched 1200 on Friday and we’ve pulled back to 1178 and now are sitting in the middle @ 1185. We’ve seen a lot of the P/L come back into the trades which is nice.

All of the trades are doing well. I’ve done some adjustments to protect on the upside and I think we’ll have a solid Nov/Dec. I am looking to close out most of November trades on any pullback into the 1170s. I’ve already took off about 10% of the bottom butterflies to flatten the T+0 on the upside when we hit 1182 today.

OV issues have been an extreme headache but I found an old VM with 7.66 installed so I’ve been using that to model the trades. All in all, things are looking good.

The market pulled back a little yesterday and allowed me to do a few more adjustments to flatten out the T+0 lines to the upside. The M3 and Rhino trades don’t love big up moves like what we’ve seen in the RUT during the past 25 days (9% up). Usually, the most you can hope for is slightly positive to break-even on those types of months. The NOV positions are all still up money but I await a more decent pullback to get them closed out at profit targets. They’re doing well considering and as we’d expect in the current market conditions. When RUT was at 1140-1160 we were rocking but at 1190-1200 they’re just mediocre, especially since the 50 point move occurred closer to expiry. This sets up opportunity for December and January so I just wait it out with patience. A mediocre month during a big up move usually leads to out-sized gains in the months following.

The December trades were profitable but now are just hovering around slightly negative to break-even. All as expected. I think these trades are setup great going into the next 40 days.

The January trades are mostly entered and also setup perfectly. I entered a lot of them with RUT at highs. They naturally have a bearish bias so they should do well with little upside risks present. Even if we top out at 1240 (see below), they’ll do great.

The RUT usually moves an absolute maximum of 160 points (the most extreme) and we’re 120 points into that. That puts the top at around 1230-1240. However, More often and usual, the RUT moves about 120 points before reversing and that puts us at 1190-1200 which is where we sit now. My plan? I am being as patient as possible with adjustments and trying to get the T+0 line flattened on pull backs. If the RUT pulls back to 1150 area, we’ll probably exit most of our November trades at profit target. If it continues up, we’ll eek a bit more but they’ll be more in the 1-5% range.

Yesterday I attended the Locke community coaching seminar and had taken some notes that reminded me of some things.

1. Using BWB or BFs as upside adjustments (sort of like the rock trade) instead of put spreads. I had actually done a few like that this week but had not back-tested it extensively. Someone in the Locke community has and the results were apparently fantastic. This is on my list to do (verify). Essentially, you add a front-running broken wing butterfly or butterfly in front of the market to hedge or flatten the T+0 line, and to reduce vega and theta issues. Mostly though, it works very well for reducing Vega. This will do better if you think the market is going to hang around there or only go up a bit more. A put spread would do better in a larger up move.

2. The other adjustment that I don’t actually do much but was mentioned is the stretch adjustment on the M3. Essentially when adding a put spread, you can also roll the upper long forward to get it closer to the market. I usually only add put spreads and roll in the bottom (capital reduction) or top long (flatten t+0). I hadn’t rolled out the top long before (get tent closer to market) and will be reviewing this in the upcoming days.

I haven’t posted screenshots in the past few days as I awaiting Option Vue to fix the crazy issues they’ve been having with volatility modeling.

Nov M3

This trade will benefit greatly off any pullback and will probably hit profit target at 15-20k. If it sits, we’ve got some theta and we’ll likely pull it off at 6k profit. If it goes up, we’ll adjust more probably by adding a BWB ahead of the market. That’s not standard but I can’t see it going much farther than 1210 on this go and for that it should be better than a Put credit spread. In either of the three cases, the trade will be profitable despite a 9% up move in the RUT.



Dec Rhino

This trade was up about 11k but now sits around 3k which is as expected for the environment and the time in the trade. I am extremely confident in the trade and believe that given the huge up move, this trade will hit targets in the next 3 weeks. For now, it’s about patience.

Dec M3

This trade is doing just fine and is sitting in a great position. It’s got minimal upside risk if the market should keep on keeping on. It’s got huge range to the downside. All in all, a breeze of a trade. Since the start of the trade, we’ve added
8 (1170/1160) put spreads
5 (1180/1160) put spreads
5 (1140/1120) put spreads
5 (1170/1160 put spreads

Nov M3

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

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.

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

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.

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.