Tag: Ron Bertino

Jul 14 – STT and BSH update

During the last few days, I took off a lot of my PCS for my Sept trades (2100/2000s 2125/2175s) and need to get on some PCS higher up (smaller quantity). I was hoping for a small pullback but I kinda have to get some on or else my theta and delta will be hurting. I was going to give it over the weekend (Monday) max but I am a bit uncomfortable with that. This market is at 9.9 VIX and doesn’t seem like it wants to stop going up, however, it’s at/testing ATH and usually some pull back should occur..when I am conflicted I usually do half the units now and half later..maybe that’s what I’ll do.

December and october trades are all doing well. Oddly, BSHs are expensive right now (the way OTM options are holding their values) despite VIX being low. As well, I am trying to complete my BSH factory by buying some puts but they are holding their value too.

I also removed my first round of VM (Golden Arches) trade for a profit (480 a unit). The second round went negative pretty quickly but are starting to recover now.

Jul 13 – Trading the STT and BSH

I am solely in STT and BSh trades at the moment. They are not as exciting as the older Rhino trades because they kinda just make money there isn’t much variance per say. The one cool thing I guess is that I am doing it in quite the volume. I think I’ve got about 600 units on right now total. That’s something interesting I guess.

I had a contact at IB for putting on orders via the floor but to be honest, I just haven’t used it much lately, I found I was getting fills easily enough myself at various times. I tend to scale in to each trade over a few days. One time I got quotes from them and I was getting better fills w/ units below 50 then they could get me so I just haven’t used as much as I would. That said, when I get bigger in size, I think I either need employees or I’ll need to use the floor 🙂

I got into a bunch of longer term Dec STTs most recently and I have a lower profit target on those (they take up a lot less margin) and are even more benign. I’ll probably start doing this, 150-180 DTE w/ 2x less margin requirement but I’ll aim for a 350 profit target per unit.

I’ve finally started the BSH factory but I’ve only managed to get on 50 units of that so far. It’s profitable as I sold the 50 units worth of puts at the very bottom of the last months range. Eventually, I’ll have to put on 500 units worth. That’ll be tedious and we kinda need more than one down day.

As for how the year has gone so far, it’s been slow re P/L OVERALL but exciting for P/L of the STTs alone—>Very exciting. The STTs did fantastic but the P/L from those were countered by losses in the first sets of BSHs which weren’t fully financed and bigly (no trump pun intended) affected by the losses on the old 2016 Rhino’s I had on until April of this year. I don’t trade them anymore. I just trade STTs and BSH.

Let me get into more details, I started the year off by trading some units of STT and BSh from January 5th when the course was released but not in size until April. All the STT trades did great and were profitable and still are into this month. Almost makes me giddy how good they do. However, the profits from Jan-April/May were offset by the losses of the remaining Rhino’s I had on that were started in Late 2016. They did terribly, by April, we were finally finished w/ those damn Rhinos and they had a larger loss due to the insane Trump up-move. Difficult market to manage the Rhinos. In one account, they lost about 88k while the STTs did about 130k (for the first ew months of 2017). Included in this were the poor performance of my BSH hedges and the financing. I quickly learned from waiting too long to get financing on and the community developed better ways of paying for them (RCs put on the same time) or BSH factories. I use RCs now but am working on the BSH factory. Ideally I just have BSH factories and the STTs. All that said, the last 6 months we’ve got very profitable STTs that were hit by older Rhino legacy trades and by poor financing of BSHs in early part of the year. The future is bright as we perfect the management of the BSH and STTs. I love how the STTs have done so far and I wish I hadn’t had the Rhino losses from last year nor the poor financing early on. Ah well, things are building up quickly re P/L now.

Aug and Sep STT

These are 1 instance of my Aug and Sep STT (I have 4 others in sub accounts).

The Aug is actually not down 36k (well it is from Monday) but it had built up a lot of profit. I was on a different computer and for some reason the trade log didn’t transfer. I just started a new instance on ONE when I got back home. It’s down now because of the big vol pop and I expect it to do very well when things subside and as the trade moves onwards into the 70-80 day period. I’ve got on something like 70 units in Sep and 110 units in Aug on this one account. This does not show the black swan hedges.

STT Trades and the recent move

I was away for a week playing a poker tournament in Montreal. Got to 2nd day but lost 9 hands in a row for the exit. Final hand was a 2-outer. Villain had 88 and snagged an 8 on the river. C’est La Vie as they say in Quebec (and France). Then I was running around finalizing things for the house project I have going. Busy busy with lots of catch up.

Yesterday was a nice 2.6 STD move. For anyone trading STTs, you’d probably have noticed your balance drop, this is normal, the volatility will cause this to happen but with time and a slow down in the move, you’ll see it all fly back plus some (as I assume you’d be in your profit tent). if you backtest extensively, you’ll see this on every large down day move. The vol of the insurance you sold (the PCS) will rise quite a bit while the debit spread you have for protection won’t be that affected by volatility as you bought and sold closer (the vol of each leg offsets each other being closer to the money and closer to each other). Once the move subsides, they’ll keep their value better than the PCS which (probably still 200 points away from ATM) will drop in value quickly thus giving you your P/L boost. I’ve noticed a lot of my trades hit profit target days or a week after a larger down move.

Interesting enough, usually after a day like that, my margin will shrink quite a bit but today I woke up and my margin went from 25% available to 50%. Neat. With any other ATM trade usually I’d wake up with less margin available.

more to come..!

Apr 19 STT Trade Plan

I’ve now neutralized May STT so I’ve only got on June and July units. For some strange reason, my net liquid went down drastically over the past 2 days (in one account it went from 200k to about -10k within a night). I am not sure why. I know IB re-calculated the stress test from 12% to 15% but that was as of April 13th. Ah well, strange. I’ve sent closed out May STTs in that account and the net liquidity is back up to about 160k. Maybe it was the approaching expiring of the April BSHs?

I am going to wait for an opportunity in the next 2 trading days to put on more July STTs before the French elections. They are a decent way to play binary events. I probably won’t put many more on after this and will instead wait for Aug expiry to come out. Another odd thing, a lot of time value came out of the trades today (all of a sudden), P/L is mostly recovered from Apr 6. More of this will happen next week after French elections pass. Maybe I’ve missed a good opportunity to enter more July STTs which admittedly I am light on. The bulk of the trades are in June and June is almost nearing profit target…

Apr 18 – STT Trade Plan

I am starting to look at exiting my May STT positions though I might try to expire them if they aren’t taking up to much margin. Lotto ticket to the downside. I’ll be spending some time looking at that today.

STT Returns and commentary:

I expect to return about 5% a month on average for the STT trade. That’s 60% a year on the balance portion used for the trade itself, it doesn’t include your balance reserve which I keep at about 35%. That means we’re returning closer to 40-45% on the entire balance non-compounded. However, every month I will increase the unit size to match the 35% net-liquid requirements and that should get the returns closer to 60% compounded and much more over the course of 2-3 years. It’s slower and less sexy than the previous trades I’ve done. Though I mean, over the course of the 14 months I did the Rhino trade, I’ve actually not had the luck to experience those types of returns, but I did get to experience some of the swings 🙂 I mean, balance movements, profits, losses and their recovery were a lot quicker back then. It’s fairly slow these days. I just plan the trades, execute (spending a lot of time on fills) and really don’t care where the market goes. Watching paint dry kinda? Of course, It’s not without excitement, often times I’ll get caught filling one portion of a trade directionally only to have the market move the opposite way and become unable to fill the other portion. Those are always fun to deal with 🙂 Or the ever annoying fill issues. I’d put in a small order at a price, get filled, then put on a larger order only for it to sit there for an hour. Putting on and taking off trades can be a tedious process, sometimes taking a full day.

I am off May 4th to play in a big poker tournament (double the size as the one I played in January) so I am quite excited about that. I’ve been studying/preparing at about 1 hr a day since January. I feel my game is probably 70% of the way to where I want it to be. I’ll post updates when I head off. The SCOOP is also on (Poker stars spring championship) and I’ll be playing several of those events.

That’s all for now…

Apr 17 – STT Trade Update

Last week was somewhat interesting re how volatility and vol skew can have an affect on trades. The P/L on my trades halved from Apr 6 to Apr 12 and the market had moved a whole 8 points during that time. Almost NIL. However, the volatility increased and the skew changed as well causing my way OTM options that I am a net-seller on to retain or gain in value with-out the help of a similar increase in the debit spreads (closer ITM). I found that quite neat, it’s not often you see such an increase in vol and change in vol skew without a corresponding down move. These types of things are fairly temporary and had we had a real down move, the debit spreads would have activated more. It’s an affect that occurs when there’s some binary events, or very low odd but genuine worry of tail risks (i.e. NK and Syria uncertainty) and probably the biggest reason, the French elections.

I don’t really follow market technicals as much as I used to. I had several sources and was fairly in tune with the market, though for some reason, I’d never use it for trading 🙂 I was mainly trading Rhinos which was incredibly frustrating for the last 14 months as most of you who trade that can attest. We’ve had a never ending up move from the Feb 9, 2016 lows (I think close to 45% on the RUT). The trade suffers in any cycle that has a 5%+ up move and that was 10 of the 14 previous months. The moves were pretty insane, I remember during the Brexit event, my balance increased 300k only to dwindle to half that in 2 days. That was the only time the market went down a modest amount and allowed my matured Rhinos to finally profit. I was struggling adjusting on the downside only to have the market scream against and rally until pretty much Feb of 2017. From that Brexit event, the rhino trade was a struggle.

The STT trades are the opposite, they’re quite docile. I had to get away from intra-day trading, as I’d stare at my risk profiles, do analysis and be like huh-ok, nothing to do..what am I supposed to do with my time now? Trading has become boring, I guess I’ve arrived 🙂

Here is my June STT trade

This is a 108 unit trade. I’ve got 4 other Junes. It doesn’t include the BSHs which are not fully financed and do rely on some of the P/L here to finance.

Here is my JUL STT Trade

This is a 45 unit trade. Most of its value is stuck in it as we await the French elections

I pledge to post 15x a month :)

I am making a pledge to myself to post at least 15 times a month :). I keep letting this go but I find it is a cathartic healthy activity that I need to focus on. It has benefits re accountability and maybe it provides some value to the readers. I just had a baby (third) so I’ve just been in this distracted state after 4pm. I love tending to this and I hate that I often let it go.

Re trading: nothing too exciting. I am up to 450 or so units on the STT which is something I guess. It’s been such an adjustment (for the better). I no longer wake up a few times a night to check futures and I don’t need to check the phones often outside my normal adjustment period during the day. My obsession with market technicals has gone down too! Love it. The trade is just so damn docile compared to other trades. It’s literally the perfect trade for my style. It’s gone from reacting in real time to market events to evaluating market events over a longer period of time and creating a plan for adjusting the following day in a much less stressed way.

I’ve still got on one last unit of Rhino (april) that I has very minimal upside risk left. I’ll still put some of these on bit only opportunistically.

I am trying to mechanicize the management of the STT and BSH re having a large account and this is what I am working on currently. This has everything to do with the financing the BsH. A new idea emerged that I quite like.

We are doing a 3 month Europe trip again come May 28th with a newborn and a 5 and 7 year old. Should be fun! We will get an au pair to help us out (university student that wants a free summer trip). Probably do Poland, Germany, Slovenia and Italy again.

I’ve got two more poker tournaments coming up. I’ve been studying and practicing quite a bit. I want that main event final table. That’s the goal. I will get it soon come.

Tomorrow I will post the screen caps of my current trades.