Copenhagen and Malmö 
Stockholm
Roskilde, Denmark
Jul 29 trade plan
So we got that relief rally and the buy zone at 1210 on the RUT seemed to work out. On the way up I added some hedges and balanced my delta. I did this while driving through the Swiss alps enroute to Arona, Italy. I sometimes shake my head at my lifestyle. So bizarre what technology allows in terms of personal freedom.
I gotta admit though, the last few days were a bit hectic. On Monday, pretty much every trade (I have 9 on) hit delta or Greek trend limits and needed adjusting and man, it took all of my concentration. Every indicator I use suggested a near term bounce and that meant my adjustments were reluctantly and more conservatively made. I spent about 3-4 hours on Monday managing my trades and setting them up for a potential incoming bounce all the while managing my risks. Because of the volatility, the option pricing (mids) were all over the place. My balance was fluctuating the size of an expensive car. I’m used to it by now. But it can defiently scare a new trader into closing out trades prematurely.
By EOD today my account is at All time highs. I’m happy about that. All the trades are sitting perfectly and soon I’ll start closing off August ones at profit targets. I even think a few September ones may soon be reaching targets. My September M3 is up about 5 percent already. Every trade is sitting nice (maybe not so much the protector) but all the options trades are. I’m feeling like I am about 60 % where I want to be re this trading thing that I am doing. I am now actively working on a lot more trade due diligence ( trade plans, post trade back test and analysis –> where’d I deviate from plan? Why? How did it work out? Etc etc.) and alongside of that I am continuing to learn more advanced options strategies that are far more risk averse.
So I write this almost two months into our road trip, and having some regret not actively updating as much as planned. Every day felt like a scurry with never ending catch up with obligations in my business, trading, new courses I’m taking (m3, bearish butterfly, m21 and APM2) seeing each place we visit and making sure to keep up my fatherly duties. There simply wasn’t much time for updating. I will make up for it this week. I’ve been all around Europe now on this road trip and I’ve come back to where I started. Why? Because it’s our favorite place and we kept talking about it the entire trip, so why not just come back? We are in Arona, Italy near como. We pulled in the driveway to be greeted by the b&b owners the two dogs, a goose that thinks he is a dog and a cat. All tagging along with each other. And it feels like home.
Jul 28. Trade plan #2
The spy opened on a gap up only to fill it 15 min later. The RUT opened up down and fell hard to 1205 (below the important 1210 level). It’s much below its Lower BB and probably a very good r/r zone for a buy. By 10:15 It bounced back to its support at 1210. This action and volatility is giving me some sticker shock (account balance fluctuations) .
Everything is over sold and we should get a relief bounce where I’ll reposition a few things. I don’t want to do it right yet unless the rut breaks 1200.
Jul 28. Trade plan
The last 5 trading days have been a bit tough on our protector alpha portfolio and MIC positions as we experienced whipsaw in the big up move followed by a very aggressive down move. The PA lost significant value when both rolling out shorts didn’t work in our favor and also having one of the equities fall 10 percent (NEM). The MIC for SPX suffered when we closed 9 units of our credit spreads and added 3 2040/2020 to balance only to have the 2040/2020 take a big loss on Friday and again yesterday (they are closed). Trade is still up as is the Rut mic but definetly felt the hurt.
I’ve got a few M3 and Bearish Butterfly’s on which are all profitable. My BB was up about 20 percent and is now at around 15 percent. Rules call for closing the trade at 30 percent.
Through the trades I figured Rut should find support at 1210 area and it appears it did. I have no idea how this will go but the China situation could cause pain after what I expect will be a brief oversold bounce. I am so glad I realized a few weeks ago that we were not getting paid for our risk and kept the mic allocation below 50 percent.
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.
Travel Update
Been a while. We were in Copenhagen for 7 days followed by Stockholm for 8. We’re now making our way to Hamburg with a 2 day stop in Roskilde, Denmark. We decided against driving through Norway and opted for a Norwegian Fjord cruise on Holland America to end this whole thing in August. We booked which what we were told was the last room and it was an obstructed ocean view and somehow got lucky with an upgrade opportunity to the Neptune suite (booking cancellation?). Before that though, we are going to go back to where we started which was the Lake Como/Arona. It’s our favourite region in Europe. We’ll stay there for 9 days and then head up and stay in Strasbourg and then Bruge before going to UK to board our cruise.
The rest of the itinerary looks like this:
Roskilde, Denmark
Hamburg, Germany
Lake Como/Arona, Italy
Strasbourg, France
Bruges, Belgium
All of Norway by cruise
Cayman Islands (Home)
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.