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.

8 thoughts on “Aug and Sep STT”

  1. Looks like your STT trades handled the down day well. Did you enter any STT during the d
    own move or were these all put on beforehand?
    Also it looks like you’re protecting your Aug position with a jun pds. Was that a reactive hedge during the big down day?

  2. Hi ST,

    I did enter a bunch of STTs during the down day and I subsequently added some BSH during the past few days.

    I did add some Jun PDS to the Aug trades as an adjustment for delta.

  3. Hi Patrick, I’m curious how your Space Trip trades have responded to occasional increases in volatility?

    In one of Ron’s presentations he described how the modeling from TOS (vol smile) or CEV in ONE or Optionvue already takes into account likely changes in the skew that come with somewhat predictable increases in volatility, and so moderate down moves of say 5-10% shouldn’t cause a significant draw down in these types of positions, even if they were initiated recently.

    I’m wondering if your experience confirms this….or if in actual practice you’ve noticed something other. Best, Lee

    PS I miss your trading posts.

    1. Hi Lee,

      It depends on where you are in the trade. If it’s early on, an increase in Vol will cause the entire T+0 line to dip but if its later in the trade, I’ve found that the trades profit quite nicely as it approaches the sweet spot (bubble). No issues at all lately but we haven’t had more than a 2.8% down move eh? If you don’t have BSHs on or if they are closer to 30 DTE remaining, I imagine that the STT combo with the BSH will hurt a bit. But ideally you have more mature STTs from other expirations that have a profit bubble built up to offset.

      So all in all, I’m not really concerned about down moves and increased volatility so long as I have adequate BSH and also adequately manage the STT to the downside. On an 8/34 EMA cross and other indicators, I would add some Bearish STT as a separate hedge as well. But we haven’t had that environment really this year and I just started trading STT and BSH this year.

  4. Hi, nice blog.

    Are your bsh unfinanced, or are you using some of the course methods to finance them ?

    1. Hi Ben,

      I started off using put credit spreads, then moved to RCs (reverse calendars) and now am trying to setup a BSH factory (what I call Ron’s method 1). I also sometimes setup the STT to be slightly bullish (delta positive with credit to pay the BSH).

  5. Hi Patrick, thanks for you thoughtful response.

    One other question…..I’m guessing you’re doing all of this in SPX with portfolio margin. But Ron also addresses trading the STT using ES futures option. In comparing identical trades in TOS (using vol smile) in both the SPX and /ES I often get quite different pricing – with the better pricing being in the SPX. Now I haven’t put on any trades, so the shown mid prices might not actually be the mid. But it appears that with SPX you get slightly better pricing, not to mention obviously the lesser commissions.

    Do you have any thoughts….about whether it’s possible to trade the STT in /ES and get pretty much identical pricing, or whether there’s some reason that the /ES would be prices differently (on identical trades)? – Lee

    1. Hi Lee,

      I haven’t traded the STT in ES options due to the high commissions though it’s something I’d like to look at re the amount of leverage you can use that may offset. A few guys in the Slack group do trade ES and probably could answer your questions. There is also issue of slippage as the prices of ES options sometimes have large gaps (25c etc)

      Sorry I can’t help much.

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