Trade Compositions for 2021

So far through 2021,

For the income portion: I’ve been doing equal parts HS3EZ, 488 and 484 along with an ATM campaign leaning bearish. This helps provide a lot of diversification.

For the convexity portion: I’ve been doing BSH factory + opportunistic entries of additional black swan insurance (haven’t had to since Feb).

I’ve just started using a base LTI as well

Pretty boring, pretty simple. I’ve found now that I rarely care or even look at what the market is doing. I just enter and add adjustments when required. The first quarter was great and so far April is pretty stagnant but with a lot of potential and I’ve got a solid formed campaign both for the income and convexity portions as well as live LTI. Looking good into finishing Q2. That 48x theta has to come in sometime.

That’s pretty much the summation of how I’ve been running trades through the year. Very boring weekly entries of 48x and HS3EZ plus the management of the convex black swan portfolio. Systematic with intent and with little regard to timing of markets re entries and adjustments. It works.

The intent is to continue to investigate variants and other trades that provide some diversification to the portfolio but I haven’t had anything really pop out. I’ve got some interest in the 0DTE and looking at it from a professional gambling standpoint re edges and trade sizing but I just haven’t had the ability to jump in yet. Probably a summer thing. I will probably finish up a 486 backtest to add to the research. That’s probably all that’s on my radar.

I can’t go into the individual trade compositions because of community privacy etc but you can get more information at the mastermind group, Ron Bertino runs a few awesome well constructed courses there and the community you can become part of is a private one where we share info and strategies and as such we’re mandated to keep specific details private as it’s not fair to others in the group.

7 thoughts on “Trade Compositions for 2021”

  1. Hey Patrick,

    If you have any interest in learning about Bitcoin, perhaps we could trade insights at some point. I’m an options trader as well, but strictly focused on trades that can be done using Reg-T only, so not sure if the “simpler stuff” even interests you anymore. Let me know.

    1. nice. I totally missed the crypto boat. Know very little about. But once I get some bandwidth, I’ll maybe hit you up!
      Super appreciated.

  2. Hey Patrick,

    Nice read, thanks for sharing.

    I landed on a similar concept to you. A group of options trades that are diverse in performance and importantly protective of each other across both strikes and horizontal skew. The net result is positive gamma , postive theta position that is very low touch.

    Equally important for me was the addition of a LTI arm and also an automated long vol portion that now sets up a network of systems that component each other to smooth out performance.

    Sounds like we both ended up in a similar destination.

    Glen kuhn

    1. Exactly it. It’s incredible how much diversification can help smooth out variance and increase geometric returns. The profits come in bunches and there’s little to know draw-down to make up for. The LTI arm is interesting, do you use a more bond centric setup to give you some convexity in events?

  3. There are some bond etf allocations in the strategies. What I was referring to was a mix of trades that are vertically and horizontally balanced across the options chain to mitigate skew risk.

    My biggest pain points in recent years was from mid-curve convexity changes the hammer shorts in that range.

    So, I try to focus on adding in some long positions that will bolster my exposure to these changes.

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