At the start of today, I was so close to forming the 30 BSH but I just missed my price and the VIX/Skew changed again and those way OTM puts rose in value and now I don’t wanna pay the extra 30c as I am fixed on the previous price because thats just how trading psychology works. Price fixation, it’s a weakness lol. I got some time though. That would have been cool, formed in 10 min market time 🙂
I didn’t trade the futures open and it just went where it went. I was tempted to use a breakout trading plan to further hedge but I just never ended up leaving it and I think I am pretty much as hedged as I can be. Today at market open (while I was flying from Milan to London–>I love internet on planes!) around 2855-2865 I ended up closing some of the ES shorts I had on, I have 7 left of 14. On the run up to 2875, I purchased more Bearish STT and I closed off 20 more STT. This adjustment puts me at exactly 0 delta. My UEL is now like -300k so I def will have to massage this as time goes by slowly converting the bearish STT into an STT. As time goes on, my deltas will get more and more negative as my tent builds up. This will be when I start converting on dips. If I don’t get the fear dips, then I’ll just let time play out and start converting and aim to get as much as I can out of the hodge podge structure.
Here’s my Dec structure (includes original STT and my entire bearish hedge structure)
Here’s my Jan structure after adjustments today
Here’s my combined positions as ONE displays and with it set to Jan expiration line. It’s my loss on the structure but I had 14 or so ES shorts from 2915-2922 area that gained a lot of value and aren’t included in this. As well at the fear bottoms I sold puts in some equities that I follow (GooG) etc that are all up. Also doesn’t include the gains on the BS hedges and the shorts I sold on Friday. I was about +50k, now down -150k but the structure is good and my theta is 14k a day and my vega is -107k so time and vol relief are on my side. Combine this with my BSH positions and it’s pretty safe. I’d love to end September at ~250k (end of Sept risk profile at very end shows 300k). Sounds nuts but that would be pretty much the entire summer profits on a large portfolio. As quickly as I went from -8% to -4% then to +60k on Wednesday is as quick as I went from from +60k to -150k (vega mostly). It’s also how quickly (with reduction in vol or time passes) I will get back to profit..its a game of patience and risk management.
Here’s the entire structure in 14 days with a small decrease in volatility
I will wait for a spike in vix/fear and replace/roll the 30 STT I closed at a loss in the January expiration. I got the pricing during Friday and it was at about 2.50-2.95 credit and right now it’s at about 2.00 so I’ll put on an order at about 2.40 area. I’d be happy with that given I paid 2-3 dollars less to close off the STT today as opposed to Friday towards close.
My last 2 days of travel are in London and I’ll be heading back to Cayman Aug 29th (I’ll have internet the entire flight, so I’ll be active). Then I just keep massaging this structure as time goes and as we enter Sept. Towards end of Sept, it’d love to be in the 2650 area so that’s a lot more room to manoeuvre.