Nov M3
Delta: -187
Gamma: -3
Theta: 752
Vega: -2,200
P/L: 5,654
Units: 5
Profit Target: 20,000
Dec M3
Delta: -36
Gamma: -3
Theta: 270
Vega: -2070
P/L: 5,216
Units: 4 (2 calls 4 butterflies)
Profit Target: 15,000
Dec M3 Rhino
Delta: -159
Gamma: -5
Theta: 520
Vega: -3200
P/L: 9,810
Units: 10
Profit Target: 25,000
Nov M3
P/L: $4,204
Delta: -101
Theta: 685
No adjustments.
Rhino M3
P/L: $7,560
Delta: -93
Theta: 502
No adjustments.
Dec M3
P/L: $4,626
Delta: 15
Theta: 284
No adjustments.
Dec Bearish Butterfly
P/L: 2,206
Delta: -39
Theta: 78
No adjustments today. After sitting outside the tent for about 4 trading days, I reluctantly sold off the 1060 BFs yesterday only to have the market pull back about 17 points today :).
No adjustments today.
No adjustments today.
Nov M3
I closed the 1060 BFs
Here is the position:
Dec M3 Rhino
No actions today.
Here is the position:
Dec M3
No actions required
Here is the position:
Dec Bearish Butterfly
Entered this on Friday. Rut was up 85 points and I peg the maximum upside to 1190 but more likely to stall at 1160 area.
I’ve entered the December M3.
4 lots of 1140 BF and 2 1050 Nov calls
Here it is below:
I added a weekly call and a few more 1140 BFs to this trade to replace the 1060s. I have an order to remove the 1060 BFs at $4.1 but it’s not filling. I’m not in a huge rush as I don’t think we have too much risk to the upside right now. The RUT has travelled about 85 points in 5 days and the last 6 up moves are in the ranges of
(60,60,50,50,60,85)
Using the highest bounce as a guidance puts us at about 1170 before the rebound is over. It helps to know these things but it doesn’t mean it can’t go higher. I have my order in and if it fills I’ll be happy, if it doesn’t, I’ll try again Monday.
I’ve added the second tranche of 1170/1130/1080 broken wing butterflies. The trade looks like this:
When delta hits about -250 and if its outside the tent, I’ll add some OTM call calendars. Fairly neutral nice easy trade. Letting theta do its work.
The M3 Rhino called for an adjustment today but I wanted to wait until everything settled down re the Fed minutes. It’s a super resilient trade and its so far out, there is no rush in these types of adjustments (at all). As long as it gets done sometime soon.
Here is the trade as it stands at close.
Here it is with the planned adjustment
When delta gets to about delta -250 to -500 (depending on where we are in the risk profile.) we’ll start adding in call calendars. I can’t believe the RUT is up almost 80 points in like 3 trading days.
Brian Larson has a service over at Capital Discussions for anyone that wants trade alerts for this type of trade. It’s a good one. He’s just started and it’s free until January I believe.
I am all out of the October M3 trades. That’s it. All out. I think we ended up neutral to yesterday. The next M3s will all be longer term with exits around 21 DTE. The planned capital will be lower and the profit target will be as well. Easier trades and they’ll be tracked here.
I am getting frustrated with the protector and am more and more tempted to just shut it down and take the loss. It’s riding around -5% for the year mostly to due with difficulties paying for the hedge and equity correlation issues. I’ll give it some more time probably.
Breaking it down, since the beginning of the year the alpha equities are down about 2.5% compared to SPY 3%. The gap was a lot wider before. The hedge is down about 2.5% as I’ve been whipsawed a little and fell behind in paying for it.
The trade is still flat. It’s about 5 points outside the tent and I usually wait a day or two and for it to be about +10 outside the tent before rolling any BFs. We added put credit spreads yesterday to even out the delta and help with the Vega. If we get over 1158 by 3:30 EST today, I’ll add more and look to roll BFs tomorrow.
Again, this trade has been through a 7% down and a 7% up and its flat. That’s good. We’ve got about 20 days before we’ll close it and the idea is that it’ll fall within the tent at some point within the next 20 days and we can start looking at profits.
