Travels and Trades

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 – Travels

We’ve made it to Copenhagen.

Like the city and its vibe quite a bit but its damn expensive. Seriously.

Berlin was a very bizarre city. I really have no idea how to quantify it or my experience there. I really don’t. We happened to stay in a vegan neighbourhood which was awesome! That was a total fluke as well. Glad we stayed in that part of town, it happened to be the best part, super artsy, lively and kid friendly. At first it was intimidating, the characters there are bizarre and it looked like we were in gangland with all the spray paint. After a day, you realize it’s harmless. Overall, I can’t see myself ever returning to Berlin. It was not a favorite.

I had the unfortunate experience of watching a man die. It was really messed up. We were walking to our segway tour and a man was on the ground with a worker outfit getting CPR, his legs were twitching and stopped and they seemed to give up on the CPR with shrugs and looks of hopelessness. Very eery. The thing I remember most is all of the bystanders faces. Just blank. I don’t know what happened but I’d guess maybe electrocution or heart attack.

We toured the Berlin wall, saw the holocaust memorial museum which was the most impactful of its genre. I’ve been to a concentration camp and other sites but this one was next level with its presentations of individual cases/experiences. Very impactful. Highly recommended everyone sees that some day. What an atrocity.

We drove and ferried from Berlin to Copenhagen and arrived in good time.

More to come

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.

Wurzburg -Trip Report (Ash)

Wurzburg

After leaving Rammingen we had about a 2 hour drive to Wurzburg. We rented a house just on the outskirts of the city, about a 10 minute drive out. The house itself was great, especially for the kids. There was a huge playroom that was filled with cars, lego, colouring books, stuffed animals and a huge car carpet with roads and buildings. The kids were in Heaven! This was definitely one of the nicer airbnb’s that we’ve stayed in.

Driving into Wurzuberg from the house was pretty easy. Once you get into the city, there was plenty of parking lots all around with paid parking. We never had a problem finding a place to park. Wurzberg itself is a beautiful city and the history is also pretty amazing. It was small, easy to navigate and had a great vibe.

In April of 1945, 90% of the city was destroyed in 17 seconds from the Allied bombers. 5000 people were killed and the medieval and historical buildings were completely destroyed. It took the Trümmerfrauen (rubble woman) of Wurzberg 20 years to complete the rebuild of the city. It was done mostly by woman as the majority of men perished in the war. Looking at the city now, you would have no idea the state it was in 70 years ago, it truly is a beautiful city.

The food in Wurzburg was pretty awesome. We were excited to see that one of the top 10 places to eat in the city was a vegetarian restaurant called Veggie Bros. Its basically a glorified falafel restaurant with different kinds of wraps, salads, juices and sauces. They make their own vegan mayo as well, which was absolutely amazing on their french fries. A great find for us as we are all vegetarian.

The main site we had in our sights (no pun intended) as the Residenz. Well, it made the entire trip, it was literally one of the best things we’ve seen. It is up there with the Segrada, Vatican and St. Johns church in Valletta. Astounding. Highly recommend as a bucket list “must see”. The next site was the fortress which we decided to visit when we had poor weather. We checked out the museum and walked around. It was anti-climatic compared to the Residenz, however.

Jun 29 – Travels

We’ve arrived in Berlin, our first official “big city” stay. We’ll be here until the 6th at which point we’ll depart for Copenhagen. A week after that will be Stockholm and a week after that will be Helsinki.

I’ve got a shit-ton of updating to do tomorrow on this blog. I’ve been busy with catch-up of all sorts in business that has put a big limiter on free time outside of the obvious traveling/experiencing.

Pictures from Wurzburg and Nuremberg below:

Emma lost a tooth in Nuremberg

Standard pic. Nuremberg

Beach bar (summer in the city) Nuremberg. Super cool and extensive

Just a pic of the three weirdos that I call my family

The lead weirdo

Nuremberg nazi rally grounds

A paddle boat excursion near the rally grounds

A Wurzburg castle stroll

A night out in Wurzburg

A night out in Wurzburg #2

A night out in Wurzburg #3

Fun in the backyard (Wurzburg)

Jun 29 – Trade Plan

Wow. That was probably one of the biggest down days I’ve experienced. It was the worst day this year thus far. A 46 point drop in the SPX futures. Neat. First 2% decline since Oct 2014.

The increased volatility is hurting the positions a little. I was quick to start balancing on the early morning bounce from the futures lows. I added 32 units throughout the AM of debit spreads to hedge my 22 units of SPX MIC. The thing kept falling and the VIX is up 35% this means the insurance (credit spreads) we sold are now getting expensive to buy back. Our positions are packed with volatility premium and they (at the moment) are hurting a bit. The good thing is that there is only 17 days left and time decay is high. That premium will suck out of the positions on any stall or bounce quite quickly. The trade could do better (even much better) than expected but right now (as is usual in a big drop near the end of the trade), our paper P/L is sobering. I’ve seen this type of thing many times before, I’ll need to be vigilant in adjustments and risk management. Hopefully the worst is over. I’ll close the trade sometime next week when we’re about 5-10 days to expiration (DTE) as I usually hold the trades a bit longer when we’ve got a big volatility inducing drop around this time in the trade. There’s a ton of juicy premium waiting to be sucked out by the time vacuum and we’ve got so much room to the downside (we sold the 1980/1940s and 1950/1930s on the SPX and we’ve still got 90 points to the downside with only 17 days left. Still, the SPX trade is hurting the most as it started the week delta positive while the RUT started borderline max delta negative. However, even though our RUT trade went from borderline limits of delta negative to just slightly positive delta, the position P/L has fallen (on paper) due to the massive increase in volatility. It moved in the direction we wanted but it came with an amount of volatility that hurt the trade.

On Friday, I entered a few bearish butterflies (timing was impeccable!). These bearish butterflies will soon compliment the MIC portfolio. They’re based on the same concepts and do well in any market despite the name. Though, they do prefer down movement. I also sold a a lot of longs on the Alpha portfolio in an attempt to reduce it. Obviously good timing again.

A bounce is likely as soon as tomorrow. The daily RSI of the SPY is <10 and the daily RSI of the VIX is >90 and was up 30% in a single day. Too much too soon. The SPY Futures are about 6 points away from the 200d moving average as well.