Jun 29 – Trade update

Super unexpectedly, I got a slew of emails from my new futures broker wanting me to send more $ to cover their risk models. They suddenly realised my risk at -10% slice was high (on their models). I gather that the vol expansion the last few days had all the risk guys looking into accounts and they tumbled on to mine. The Eroom guys are introducers and they were the ones that seemed panicked about the risk profile. On a true crash, the HS3 would likely do very well but most models don’t correctly show that. I was on a sea day (on the way from Copenhagen to Estonia) and obviously couldn’t easily arrange for said wire.

After what was about 25 emails between several people, I was able to transfer from my SPX account at APEX to my futures account at EDF. IF this is how they act on a normal day how will they act on a true crash? I can’t deal with the emotions and demands of several people during a day like that so I am not sure I can expand much with the futures account.

That’s all good though, we’ve developed a few new trade types that have exact risk profiles and backtests (automated 1000s of them thanks to a genius quant in our group) that can be done with ease in SPX and IB. I’ve already moved most of the newest stuff to that methodology anyways.

I’m glad its Friday and the market is up pre. I can go enjoy Estonia and have the weekend in Russia. Yesterday would have been a terrible day to be at port re dealing with brokers.

7 thoughts on “Jun 29 – Trade update”

  1. Hi patrick, can you add some color regarding your decision to add futures trading to the regular SPX? Do you find that this opens up meaningful capacity for getting your trades executed?

    1. At one point in time with the knowledge we had, the only way to (with size) adequately do HS3s was in ES in a single order. So I switched to ES. However, with some practical advancements, we’re now able to execute HS3s in a different configuration in a much more manageable way in SPX. However, I’ve been having a lot of ease of executions in ES via EDF (despite their weird vol panic), and I’ve done very well with ES HS3s the last few months. I’ve gotten used to it so I will use both.

  2. I was told the same by AF. I gave them a lecture on how skew curve behaves and why it is silly to impose Reg-T margin on ES option structures that are 4 months out.

    They are still licking their wounds from back Feb.

  3. Hi,
    I stumbled upon Ron’s videos few months ago and have been wanting to join the PMTT course ever since. What stopped me from joining is that portfolio margin accounts are not available to Canadians which sucks. I thought about utilizing SPAN margin with the standard RegT account but I’m afraid the high commissions costs involved with trading futures will eat up a big portion of the profits.
    Then I heard about people getting creative by incorporating in the US and opening trading accounts under the corporate entity to gain access to PM. Not sure if this is legal though. I’ve been enjoying reading your blog and I’m guessing at some point you lived in Canada and you must be knowing someone in Canada who has access to PM accounts? Really appreciate if you could provide some guidance to me.

    1. Hi SRI,

      You could open an offshore or US corporation and obtain pm that way but thats got costs associated with. I know its annoying re Canada and not being able to open PM accounts. I live in Cayman so I can do it without issues.

      You could try EDF but I don’t think they allow Canadian residents either. Perhaps finding a futures broker that would allow might be an option (that have reduced commissions).

      I don’t know anyone that has CAD PM accounts unfortunately.

      Might have to get creative and complicated to do so :S

      1. You know, you could probably find a way to get a basic utility bill in some “outside of Canada” jurisdiction and use that to open an account with that address. All I needed for IB was my utility bill…family/friends or whatever…

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