Trades – Page 27 – Travels and Trades

Jul 22 – Trade Plan

We had another RUT down day yesterday so I entered some more Aug MIC since the prices were good enough. It’s pretty damn close, and I don’t usually enter the trade this close (32 DTE) but the prices were decent and I am going to keep my profit targets on that part of the trade a bit lower. The futures are down again and I might enter a final part today bringing our allocation to 50% for the month.

I closed about 75% of the SPX MIC put credit spreads when it touched 213. It appears it was great timing as the market just fell a bunch since then. Yesterday I sold more to get the delta’s in line and to replace the ones I bought back. Trade is looking great.

The RUT MIC is doing fine as well. I think it’s up 3-4%.

All in all, we are just holding our ground. The protector alpha shorts got a bit over-run and I had to adjust a few days ago – Only to have the market reverse 🙂

My bearish butterfly for Aug is up about 20% (the return is calculated a bit differently than the MIC returns).

Aug Kevlar trade is up nicely

Aug M3 trade is up 5-10%

All in all, sitting at all time highs and getting ready to enter the next trades.

Jul 14 – Update #2

I don’t think there is any chance for much more than the 30% allocation I have on for the MIC entry this month. The VIX fell from 22 back down to the 12s which is an insane volatility drop. What does that mean? Well, we are going to get paid shit all for our risk and the market is likely going to keep going up and up on a v-shaped rally fuelled by shorts covering and side lined money afraid of missing the boat. This is a difficult environment to deal with especially with an extremely low variance entry and, well, the market risks are still present aren’t they? Greece and China issues both didn’t just disappear, they could rear their ugly heads again and with the VIX at 12.98, we’re not getting paid for those risks. I sit out on the MICs until we get a big down day but unfortunately that has to happen before Friday, which doesn’t look good.

I might look at putting on a conservative M3 trade instead..it’s more conservative than the MIC.

Jul 14 – Trade Plan

Not much going on, I exited on Friday and I have about 30% allocation on for August and need a bit of a down day to enter the rest. I’ve got not a whole lot of time to enter being already 38 DTE, but the conditions aren’t right to enter on such a big up move. If we can’t enter by the end of this week, we may have to go lighter for August.

Jul 11 – Trade Plan (Results)

What a week. I closed the MICs for July at 4.268% which is a great result considering the whipsaw and challenges that the large gap ups and moves provided towards the end of our last week. It was fortunate we had a big up day today to allow for some volatility to flow out.

The Protector alpha is up about 4% for the year completely hedged vs SPY which is up about 0.6%

My first bearish butterfly went extremely well with a 30% return.

Jul 10 – Trade Plan

Yet again, another huge range yesterday. Opened to go up to about 207.3 only to fall back down to 204.4. you can see the hourly SPY chart for an indication of this environment. The VIX was approaching 22 and again had an inflationary effect on my MIC trades. For a non-directional trader that has to manage risk, it can be quite a difficult environment. However, every AM, I look at the futures and its consistently going according to my previous end of day plans.

Yesterday, the market fell and I evened out our deltas a bit as I started peeling off some of the trade (I took off about 9 units of 15 put spreads on the RUT MIC right at open). The market proceeded to fall and fall and as it went down, and because I peeled off about 9 units, I had to remove the corresponding debt spreads (insurance I bought to protect the insurance I sold). I thought I was getting good timing as I was taking these off while the market was falling away from where I closed the 9 units. Unfortunately by the end of the day, the market had fallen so much that we ended up approaching our downside adjustments and that meant that the debit spreads I sold would have been worth way more. I could have let the market keep falling and not sold the insurance, but I felt it wasn’t appropriate risk management. If the market should bounce, it’d have hurt the trade and let’s be honest, its volatile as hell right now and I really don’t wanna pick sides intra-day within a channel. I’d rather have been more neutral than lean significantly. Luckily, the futures are up about 23 points right now and that will make for a great day to roll off the July trades.

Right after the markets closed, Greece presented a plan that includes most of the austerity measures European leaders demanded and combined with an amazing China open, that put our futures up for the night. I hope it holds for another few hours so I can get out of some of the SPX when it opens at 4am NY time. Can’t wait to get out of this trade. I had to actually work for my money this month 🙂 But despite the crazy end of trade volatility, we’re going to do well enough on this thing.

I’ve got an M3, Bearish Butterfly and Kevlar trade on-going right now. I love the resilience of the M3 and Kevlar and the returns of the Bearish Butterfly. Strong theta based trades and a great addition to the MIC. They’re similar but with their own advantages/disadvantages. Soon come, I’ll be working on getting the M21 trade going but its quite a bit more complicated and I need a month of concentration.

Jul 9 – Trade Plan

Another wild day. The Chinese markets had half their equities halted and the NYSE halted trading after a technical error causing a bit of panic in the markets. Volatility reared its ugly head again and the pricing of our Jul MIC options went up. No chance to exit yet and we did have to adjust a bit more on the way down. Both trades are still well within positive territory and only lost a tiny bit through the wild day yesterday if any at all (I can’t tell because the mids are all over the place as is usual in high volatility times like this –Especially in the SPX options).

There is a nice bounce in the futures and Shanghai is up 6% but I wouldn’t expect much more than a bounce here which could only last for tomorrow or it could go for a few days. The CPC (put-call ratio) is extremely high and usually these means more down ahead but we shouldn’t be too far from a bottom. Additionally, the bullish percentages are also quite weak across the board

BPNYA -1.02%, BPCOMPQ -1.48%, BPSPX -0.73%, BPOEX-1.59%, BPENER -7.69% – but BPFINA +1.85% and BPINDU +5.56% are up. Only BPNDX is flat

Heavyweights of SPX: aapl -2.48%, xom -1.09%, msft -0.14%, jnj -1.16%, brk -1.11%, wfc -1.78%, ge -2.19%, jpm -2.05%, pg -0.89% ibm -1.12%, pfe -0.83%, goog -1.56%, sbux -1.81%, amzn -1.61%, t -1.44% (Source: Uempel@Cobra)

In any case, I am going to just start to close the trade on any bounce and call it a day for July. Things are just too volatile to hold much longer, we’ll take what we can get and use any decline to enter more into our Aug MIC. I did enter about 4 units yesterday during a big decline. I was getting decently paid on 200 point (1870/1850s) which is great. If I enter any more in the next days on down, I will be using a ratio of 5:1 for the put spreads to call spreads rather than 3:1. The plan will be to add the other 2 on any large upwards retracement.

Jul 8 – Trade Plan

What a swingy day yesterday was (50-55 points peak to trough) and it’s not ending anytime soon with the futures now down 30 (1.5%) points as I type this. The big July MIC trades expire in 11 days ( 6 trading days) so we’re right at the end of it and will have to get out before the weekend.

JULY RUT MIC

I made two adjustments. At the start of the day I bought 8 1230/1210 debit spreads and as it kept falling I added 10 1220/1200 debit spreads. Towards the end of the day I had to adjust again but this time on the other side and I had sold 5 1240/1220 debit spreads. A bit of whipsaw experienced here. The futures market for RUT (TF) is now down again about 1.5% so we’ll have a bit of pressure here. I am concerned about a big correction in the next few days and how it’ll affect the exit of our trade. The futures aren’t looking too good right now. I have about 15 units left on this trade.

JULY SPX MIC

In the off hours, on the big up move, I was able to get out of 71 1950/1930 credit spreads which was nice. During the early part of the day, I was actually quite a bit above my adjustment point on the upside and had to reluctantly adjust. I sold two 2070 puts as a placeholder move to help correct my delta as well as sold 12 2090/2080 debit spreads. This was done when we had solid down move in the AM, so I didn’t get terrible prices, the problem was this down move continued on at least for half the day. Made me wish I took more time making adjustments when the markets or volatile like this but we have to manage risk. When the market rebounded I bought back 2 2030 puts thus levelling off our debit spreads. We ended the day up quite a bit on the SPX trade and as well we were pressured on the upside. I decided to leave the upside risk in this volatile market. Good timing I guess, since the market is selling off right now. Still, like the RUT MIC, the increased volatility in the trade will probably make things difficult for us. I have about 18 units left on this trade.

Bearish Butterfly

I added some 1210 butterflies to even out the delta on the big move down. I then removed some of the 1270 butterflies on the big bounce. Ended the day with downside preference. Good timing again, I guess.

M3 Trade

Very resilient. No issues or requirements to adjust yet

Kelvar Trade

Very resilient. No issues or requirements to adjust yet

Anchor Trade

A lot of the mechanical picks weren’t that affected by the big down move. I think its up about 5% as of close last night for the year. Not much else to report.

Aug MIC Trades

Had to adjust the small amounts of MIC AUG trades I had on. I *think we might be in a great position here. I’ll be closing off July trades and entering Aug trades at super high volatility. I’ll be entering AUG trade this week.

Jul 7 – Trade Plan

Well, don’t have much to say on the markets the past week. It was what it was. China was in a crash and Greece votes “Oxi”. The markets closed well yesterday despite this and the theta locked up in both MICs started to seep out yesterday. The after hours action was pretty intense with SPY reaching 207.5.

The MIC trades are up 3.5% which is amazing given the events. I had adjusted probably 6x on the way up and down and we were victim of some whipsaw. Was by far, not an easy month. I am going to slowly close the trade out this week and I expect to reach around 5-6% when it’s all said and done. Any big events can obviously change that but I think we can handle it by careful managing of the deltas and given that we aren’t holding through next weekend, all we have to do is carefully manage it throughout the trading week. Who knows though, any big scare, and I’ll probably be quicker in taking off this close to expiry. 3-5% is nothing to sneeze at with the moves we’ve seen.

The SPX trade has risk to the upside that I have to alleviate this AM via its debit spreads (the insurance I bought to offset the risk on the insurance I sold). I am reluctant to do too much to the upside given the volatility and the headlines still present. I am going to carefully monitor and probably just start slowly rolling off the trade as soon as today.

The RUT trade is up more than the SPX trade. It wasn’t as affected by the whipsaw. Slowly taking it off. I am relatively delta neutral right now with this trade.

For August, I’ve got an M3 trade on, a Bearish Butterfly, an MIC trade, a long term GS Calendar and finally a Kevlar trade. Starting to diversify my theta based trades but man does it take some planning.

Jul 1 – Trade Plan

The market is up about 18 points (SPX) today and volatility is down about 12%. As I thought on Monday, a bit of consolidation or a bounce will deflate the volatility and our trades will do well, my account balance is at all time highs again and the MIC trades are now well positive. I closed the SPX call spreads when we were at lows (for 0.15c) and now our only upside risk in the SPX MIC is due to the put debit spreads we bought on the fall (we bought a lot of these). Still, even with these, our upside risk is quite limited. At this rate, I’ll probably close them on Monday but if I can get out of the put sides reasonably before then, I will.

My bearish butterfly for Jun is up about 30% and the bearish butterfly for Jul is up about 5%. Will be scaling out of those.

Jun 30 – Trade Plan

The SPX options are now open and we’ve got a nice little bounce on a rumour that China pension plans are looking at buying equities. A bit of volatility is seeping out of the option pricing and I am seeing a big bounce in the paper balance of my account. The market is closed on Friday so we should see some accelerated time decay through the next 3 trading days. I plan on entering this long weekend close to delta 0 with a more elongated risk profile. I want to be able to handle a 30 point swing in any direction with modest effects and I’ll likely close the entire trade on Thurs/Fri of next week if there is no significant bounce.

Yesterday, the SPY closed at 205.5 and has erased all gains this year. Our protector equities are up 4.5% and our hedge portion is down 1.5% putting the overall portfolio up about 3% for the year while the SPY is just below 0%. I like that, I mean, considering the market movements and environment. Relative to the non-directional options strategies it isn’t a whole lot but during better runs, it’ll do just fine. The trade lost about 1.2% yesterday.

The July MICs are sitting at about 0-1% P/L but that’s with all that volatility packed in the pricing of the options. Not bad considering yesterday was a 2% down day for SPX and 2.5% down day for RUT. I’d guess that a slow consolidation day would put the trade up to 2-3% as volatility decreases and the time to expiry gets shorter. The potential in the trade has gone up and if the market goes our way, I am looking to close it at around 5-6% P/L for the month which wouldn’t be bad considering the whipsaw movements which required adjusting (on the upside) and now on the downside. Anything can happen and more sharp and sudden movements down could affect the trade and its profitability. All we can do is manage risk and exploit theta.

The bearish butterflies for Jul and Aug are all up obviously. Nice trade compliments.

I used Friday and yesterday as opportunities to enter some of the AUG MIC. I’ve got about 15 units on. I can’t really put on too many more until we start getting rid of the July ones. I’ll be considering this as we go forward. I sold 1890/1870s and 2175/2200s (almost 290 points between the shorts) yesterday for a good price! Gotta love that. Huge width in what I could see. On another down day, I’ll probably enter another 5 units for Aug.