Nothing to do today. The trade is showing that it’s up 8500 now. We’ve got tons of range on each end. Probably won’t have to do much for the next few weeks and we’ll let Theta do the work for us.
Author: T&T
A high value day
Days like today happen every so often especially when we’re about 12-17 days from expiry, all of your time decay based strategies suddenly increase in value. I notice that most of the ‘time decay’ you get closer to expiry happens in spurts and does not occur consistently day to day. Days like this are sometimes called a high value day amongst theta based traders. Every month I find myself pointing it out to my wife and showing her the increases in P/L across he board on one single day. I try to explain it as market makers having to start getting rid of the time value in the options once we start approaching expiration day. I gather its when they think its more of a ‘risk on’ environment than risk off. Perhaps this means that the next week or so will be positive or at least less volatile? This happened with my MICs and now today I saw it happening with my M3 and BB trades. I’d be chugging along at a pretty static P/L and then in one day, all of a sudden, it’s worth a lot more. Anyways, interesting.
All of the Oct trades are up a good amount of money and its probably time to start winding them down and getting in Nov and Dec M3s.
Oct 1 (November M3 Trade Update)
Not much to say. Trade requires no adjustments. Yesterday night the futures ramped up hard (about 1%) and today we saw all of the gains dissipate and the RUT is hanging around 1090 again. The trade is up ~5k on 250k planned capital. Being farther out makes this trade quite resilient. I am eyeing up an early entry on December M3 (77 DTE) we can get the BFs for about $7 and we can do a 30 lot with 1 call. Large downside protection and we can scale out of the BFs as time goes on and if we have any upside issues.
Sep 30 – October M3 Trade Update
What a difference a day makes. This “up” day has seen a decrease in volatility that has brought the trade values up quite a bit. Maybe 1% off of our trade highs. I have to do a bit of upside adjustments to get the T+0 line flatter on the upside but it won’t affect theta and will only modestly affect downside risks but it’s something we have to do in case the market runs off into the 1100s again. I also started closing down some Bearish butterflies for 15% profit given we’re 15 days to expiry. I’ll slowly be taking risk off here. I’ll probably roll up some of the 3rd standard deviation puts to take risk off on the downside. (If you can roll a put that’s 60c to $1 and it takes off 5-10k of risk, do it). If you’re worried about the costs, sell one or two butterflies to make up for it.
Sep 30 – November M3 Update
The November trade requires no adjustments. It’s sitting nicely and with profit. Should be quite resilient to the downside for the next few weeks. We’ve got a lot of room for movement. On the upside, we’ll need to watch our negative delta and with any collapse in volatility that line will sag and we’ll need to adjust.
Oct M3 (2nd Update)
Ok. Wasn’t as bad as I thought. According to optionvue the trades are at about half of what they were last week (so it appears to be about ~2% up) for the month across the board. Theta is kicked in full throttle being 16 DTE so we might just be able to eek out a 5-7% result by next week. We’ll see.
Sep 29 (Oct M3 Trades)
I got all the adjustments in to get these things under control after the 9-10% fall from last week. They’re all mostly still up some cash (as of 2pm) and they have potential to make some more but we’ll need some market cooperation.
Edit: Ah, yeah another 15 point fall to end the day 🙁 From the speed of these falls, It would appear the world is ending sometime soon? No idea if the trades will be up money right now. This month has been a never ending struggle and will continue to be but our Theta is strong and if we can get just an ounce of calm or a bounce to reduce the volatility we should be OK. Right now though, we’re not moving from where we were.
I am not into managing these trades into expiry and I am looking forward to farther out trades. This market is nuts right now.
Nov (M3) Update
I’ve decided to buy half a unit of Nov 1060 BFs (adding to the trades capital). I don’t have a rule in plan against adding capital to a trade so long as the risk graph and profiles are good. Since we’re so far out, I think it makes sense here.
The trade for Nov is going good despite the 4-5% fall since we started. IF we go much below 1075, I’ll be closing the 1110s and adding some 1050s
Oct M3 (Update)
The October M3s got crushed today. The little bit of catch-up we had since Aug 24 has been brought back down for the time being. To give an idea, on Sep 21st, the trades were up about 4% and now they’re up about 1% ish.
I mean, given that this occurred about 17 DTE (close to expiry) and we moved nearly 100 points (9%) in 6 trading days. I guess it’s not a bad result. It’s just frustrating as I had made some headway with the Aug 24 crash that drew me down and the protector is doing awful during the last few weeks.
I think I have to move to farther out M3s and close ’em before 21 DTE as I’ve mentioned before.
As for what we can hope for re the Oct trades, well, managed well, we can close them at target but it’ll take some market cooperation. It was a pretty bad day but I adjusted well I think. However, I do have some upside gamma trend issues if a bounce is >2% which I need to fix tomorrow.
Nov M3 (Update)
The NOV trade required no adjustments today. It’s now below its short strikes and I may need to roll them back tomorrow if we go any further down. Delta are all fine, Greek trends are all fine. The trade is up ~3.5k
