Been a while, I should have kept posting through the whole event. I am up about 20% on the year which is decent given the events and given several mistakes I made. I’ve since revised how and what I do in my process and can only be thankful I ended up positive through-out.
Bizarrely, I was super in-tune with the whole virus thing back in late January as the first reports were coming out of China. By early Feb, I had got out of my entire standard equities portfolio (TAA –Tactical Asset Portfolio blend) and purchased 400 long puts ~ $1.00-$2.00 in anticipation of some volatility thinking I caught it earlier than the market. The market just kept going up and up and up until Feb 24. I had no real OTM trades on and had built up some long-vol portions but the nuances of en-cashing was where my regret lies.
On Feb 28th, I started cashing out of those 400 long puts which took a beating through the mid part of February. Had I kept them on till March 24th they’d have been worth millions. Just before that, on the 27th, with the VVIX spiking the highest since Feb 2018, I also started opportunistic OTM trades that got annihilated despite being hedged with Black swan hedges. A poorly timed entry, every indicator was flashing off so I should have waited for a bottom signal before entering but at the time I figured that the virus news would cause a more lengthy decline with several bounces in-between so I figured I could get in and out using vol relief on the bounces to capture profits. I was wrong. The mess lasted till Mid March and lost a bundle but was offset by my long-vol and BSHs. Though, I did take a pretty big temporary hit on mark-to-market throughout. Anyways, to go back a bit, on the bounce in early March, I picked up another 450 long puts at 1800 for $3.00 and I was going to convert into a BSH factory but the market collapsed almost immediately after I bought them (lucky). So I followed the trend down converting slowly into fully formed BSH and used them to hedge off the OTM trades. I was keeping that left tail popped up. By the end of it all, the combo was green and all was fine.
In Mid March, I started using OTM calendars on bounces as an income capture. As well, to offset the long vol hedge that was incredibly negative theta positive vega until I got a signal to encash, I started selling 5-7 DTE puts in ES after-hours at ridiculous prices whenever they came up and used that against my long-vol (calenderizing the long vol hedge that was 90 DTE). This all worked out really well and I was able to capture some really ridiculous pricing. I saw 1000 SPX puts going for like $10 I am pretty sure.
By April, I started doing BWB ATM trades on dips for large credit (usually they are $4 debit!) with 40 DTE. On bounces, I’d add symmetric flies. I’d rinse repeat this in a nice ratio to maintain decent profile and am still doing this now.
I’ve become a fan of using trend indicators for risk management and that’s where my interests lie right now. In this environment, I’m setting my portfolio to be mostly locally concave with respect to selling premium (ATM income trades) yet my overall portfolio will be global convexity (long vol). I won’t sell asymmetric risk rather I’ll own it by using some BSH type factories and some usage of OTM strangles and I’ll sell more defined risk upfront with ATM type strategies. It’s the environment we’re in and with the credits (removing upside risks) in the BWBs, it makes management much easier.
Since I am doing my own blend of things I can probably start posting more risk profiles and trades so I’ll start doing that.