I started unwinding some of my March trades today by peeling off the lower Rhinos and Bearish butterflies. I was surprised to see how fast my deltas got negative again. I was at limits on all the March trades yet again. I ended Friday quite comfortably but today I surely was not.
I tried to peel some off in the first 5 minutes when the RUT was @ 1018 but that didn’t last long and the RUT proceeded up to about 1026 area. My plan at that point was to wait for a slight decline or until 2:30pm to do an adjustment. I got a little pullback, RUT fell down to the 1021 area and I started peeling off my lower bearish butterflies (910s, 920s) and my lower rhinos (910s) and added some 1060 call calendar hedges as a temporary hedge as I start to peel the entire structure off bit by bit in the next 5 trading days.
All in all, the March Rhino trades will probably go down as some of the most challenging trades I’ve done and will likely ever do. I entered them on Dec 31st at RUT 1150 and experienced a 200 point fall starting almost immediately on Jan 4th down to about 950 only to have it rebound several times by 7-8% in between. That’s volatility I guess. My result? Profitable. Happy about that I guess, but I found myself dreading trading a bit because of the wild swings. One big take away was my risk management, I thought it was the best I’ve done despite some over adjustments and also lack there of through-out.