May 5 – Rhino M3 Trade Update

I’ve closed out all my May trades. There’s none left. They were closed for a profit and I regained a lot of ground with this fall in the RUT. Had it gone to 1080 or 1090 quickly, we’d have done better but I’ll take it, we were essentially break even on the May trades to finish up and recover about 30% of our max profit.

I have no opinion on which way the market will move. We could bounce or we could continue down. I don’t have the foggiest even in terms of levels so I am keeping the trades nice and neutral. There’s a lot of negative headlines but the most furious rallies are amongst negative sentiment. The persistent shorting and subsequent buying pressure on covering can make for very intense up moves. These headlines are all old recycled headlines, nothing really new. Whoever would have sold due to those specific headlines, probably have already sold, they had their vote, a big sell-off typically requires some sort of new surprise headline to instigate other sellers to sell. All that said, man, we’re entering an interesting time politically in the US. Trump. I can’t see how things won’t get more volatile in the summer with that, the general negative seasonality and a lot of the global macro issues. All of my trades prefer volatility and down’ish moves. So I’d welcome that.

I did enter some July trades last week, I’ll update the blog with those as well. I’ve been trying to get good pricing today but I haven’t got filled. I’ll wait and try again tomorrow.

Here are the June Trades

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : 12,551
Max Draw Down: P/L: -18,000
Current P/L(%): +1.6%

Screen Shot 2016-05-05 at 2.29.52 PM

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: 9,531
Max Draw Down P/L: -11,000
Current P/L(%): +2.3%

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June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L:13,463
Max Draw Down: -16,800
Current P/L(%): +2.1%

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May 3 – Rhino M3 Trade Update

Good day on the markets. Patience and proper management is starting to pay off as all June trades are now profitable. I did add a few upside hedges for any bounce as it touched the 1118/1120 area. Wanted to get things just a bit more neutral. We are 45 DTE and we’ve got a lot of life left in these trades and a lot of theta.

The May trades will help act as a downside hedge as any move to 1050 will make those very profitable. They are in the “dip” and each day I make sure to keep them theta positive by a good amount. They have very little to no upside risk.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : 5,224
Max Draw Down: P/L: -18,000
Current P/L(%): +0.6%

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June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: 4,156
Max Draw Down P/L: -11,000
Current P/L(%): +1.1%

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June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: 5,029
Max Draw Down: -16,800
Current P/L(%): +0.9%

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Apr 29 – Rhino M3 Trade Update

Trade updates below. The P/L might differ a bit through the day. I’ll check again in the next half hour or OV updates. Definite recovery with the down move. I am looking into Jul expiration right now since the vol is a bit higher and I’d like to get some trades on in that expiration. I am looking for 2.9-2.95 as a price.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : -4,767
Max Draw Down: P/L: -18,000
Current P/L(%): -0.6%

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June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -1,197
Yesterdays P/L: -11,000
Current P/L(%): -0.3%

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June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -2,566
Yesterday’s P/L: -16,800
Current P/L(%): -0.4%

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Apr 25 – Rhino M3 Trade update

Today provided some refuge and an opportunity to get my trades adjusted. The RUT closed at 1146 on Friday and even touched 1148 with after hours action (using IWM as a proxy). In a previous post, I thought RUT would stall out and short term top at about 1140/1150 area and so far that’s what’s playing out. There’s a ton of resistance and supply at the 1150 area so my gut was saying that we’ll hit 1110 after a test and fail at 1150 but with the FED meetings and AAPL earnings tomorrow, anything really could happen. After the action today, I am not convinced we’ll be going much lower than 1125 before a retest of the 1150 resistance area. If we fail on a retest of 1150 then maybe we’ll go down towards 1110 at minimum but I think we probably do retest 1150 before any significant move down. The market has moved so much in 2 months but it’s been consolidating and sort of reset itself re overbought conditions. In short, I have no idea where this will go and any direction is not a surprise.

Everyone’s expecting AAPL to report dismally and that could cause a sell-off but any surprise could catapult it further. and then there is the FED, well, before they can rate hike, they have to telegraph the intentions, they usually always do. There’s been no telegraphing so perhaps this is where they’ll telegraph utilizing the recent market strength as a buffer? Perhaps it’s more jaw-boning. How can we predict anything in the next few days? We can’t. I can’t say that there is an edge one way or the other. All I can do is manage risk appropriately.

On Friday, I had removed some upside hedges right at EOD on Friday (great timing) and then re-added them around 1137/1138 today. Bonus. Anyways, as for market action, the RUT fell to 1135 where I did some adjustments to the trades and got them a bit more desensitized to an up move. Not perfectly of course, as there are always trade offs, and any up move won’t really generate any profit but they’ll allow it to occur with out as much pain as before. The idea being that a pull-back will occur after a brief move-up sometime in the next 20-30 days. What we really need is a nice juicy fall into the 1100-1110 area.

I want to add in some 1150/1110/1060 BWBs into each of the trades below to raise that T+0 line in the middle (the dip) and add theta to the trade. I’ll do this if we move up in towards the fed. It’ll add negative deltas so I’ll offset it with some call calendars or BWBs. Get that thing beefed up so that in 2 weeks anything between 1020 and 1170 will be profitable.

Here’s the June trades

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : -11,706
Yesterdays P/L: -16,425
Current P/L(%): -1.56%

Screen Shot 2016-04-25 at 4.52.53 PM

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -6,762
Yesterdays P/L: -9,643
Current P/L(%): -1.69%

Screen Shot 2016-04-25 at 4.51.52 PM

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -12,139
Yesterday’s P/L: -16,206
Current P/L(%): -1.9%

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Apr 21 – Rhino M3 Trade Update

A down day? Impossible. I used the down to adjust the trades a bit. The current loss was reduced quite a bit for just a 0.6% down day. Another 1% down would get these things all profitable.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L : -7,546
Yesterdays P/L: -16,425
Current P/L(%): -1.0%

Adjustment: Bought 8 x 1120/1170/1200 @ $18.06

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June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -4,532
Yesterdays P/L: -9,643
Current P/L(%): -1.3%

Adjustment: Bought 3 x 1120/1170/1200 @ $18.05

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June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -7,454
Yesterday’s P/L: -16,206
Current P/L(%): -1.3%

Adjustment: Bought 8 x 1120/1170/1200 @ $18.06

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Apr 19 – EOD June RHINO M3 Trade

Today started off with a move to about 1146 which was where I thought we’d have some sort of retracement or a pause. It quickly fell to about 1136 where I put on some upside adjustments to get the deltas in line. I’ll do more adjusting if we get into the 1120s and pause. I do think we’ll have a larger retracement eventually, SPX is just below the very important psychological 2100 resistance and that tells us that buyers are running out as it has not pushed above and held (lots of buying last 2 months, so those people have lost their vote, they’ve already bought). I can’t see upside risk being less than downside risk. So I continue to keep the trades right at the edge of the adjustment points. Any 20-30 point drop will give the trades a profitable P/L. As we get dips, I’ll keep getting those deltas more and more balanced as I did today. Frustrating time for these trades but they’re working as expected. I have one hindsight regret, I think I started them with too much negative delta bias which I thought, at the time, was a smarter play given the run up to 1100 in such a short time. If I could go back, I’d probably have added 2 call calendars per tranche to keep it more neutral.

June Rhino M3 (P)
# of Units: 30
Planned Capital: 750,000
Current P/L: -15,335
Current P/L(%): -2%
Loss @ 1145: -17,200

–>Todays Trade: Added 10 1120/1170/1200 call BWBs @ 18.2 and 15 1170 call calendars @ 6.23

Screen Shot 2016-04-19 at 2.44.51 PM

June Rhino M3 (D)
# of Units: 16
Planned Capital: 400,000
Current P/L: -9,233
Current P/L(%): -2.4%
Loss @ 1145: -11,500

–>Todays Trade: Added 4 1120/1170/1200 call BWBs @ 18.22 and 12 1170 call calendars @ 6.15

Screen Shot 2016-04-19 at 2.45.11 PM

June Rhino M3 (M)
# of Units: 25
Planned Capital: 625,000
Current P/L: -14,516
Current P/L(%): -2.24%

–>Todays Trade: Added 7 1120/1170/1200 call BWBs @ 18.2 and 15 1170 call calendars @ 6.22

Screen Shot 2016-04-19 at 2.45.28 PM

June Rhino M3 Trade Update

Been a while. I’ve been traveling and when I get back its insane catch-up mode and I always tend to leave this blog behind,regretfully. I just got back from a 3 week trip which included a week in Barcelona, 2 weeks cruise in the Canaries and Madiera as well as a quick stop over in London and Toronto.

The trades for June are underwater as the relentless 22% rise in RUT is exactly an environment which does not allow a Rhino to profit much. Been a frustrating year but no mistakes were made and the trades are behaving exactly as they should, they just aren’t profiting. That’s expected. If you look at the SPX chart (RUT is even more pronounced!). It’s an environment which in backtesting or in live, will not make money and should be slightly negative. That’s where we are. In June (as you can see below) any 2-3% pullback will bring us well positive. Just a patient waiting game. The year will end well, I am confident in that as I don’t think we’ll have another 20% run up, and anything else is great 🙂

I was hoping the unsuccessful DOHA and the Saudi threat of selling treasuries would bring the market down more than 1% this AM but it doesn’t look like that will happen. Today, I am looking to add some call BWBs to my June trades to reduce negative deltas and add theta and a tent to the right side of the trade.

IMG_1282
This chart says it all, this is just not an environment (since Aug) that would be a good one for market neutral trades. It’s, in fact, probably one of the worst. Patience is key. I am trying to exercise it.

Rhino M3 Trade (M)

Screen Shot 2016-04-18 at 8.15.47 AM

I’ll be looking to add 20x 1100/1150/1180 call BWBs to this trade to reduce negative deltas

Rhino M3 Trade (D)
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I’ll be looking to add 10x 1100/1150/1180 call BWBs to this trade to reduce negative deltas

Rhino M3 Trade (P)

Screen Shot 2016-04-18 at 8.22.08 AM

looking to add 20x 1100/1150/1180 call BWBs to this trade to reduce negative deltas

Mar 27 – Traveling Trade Update (Rhino)

Been traveling and haven’t had time to update the blog. When I travel, I am in constant catch-up mode with both my business and monitoring trades. It leaves little time for this. I’ve been in Barcelona for 6 days and we get ready to board an 11 day cruise tomorrow to hit Tangiers and the Canary Islands.

The April trades are making some headway despite more challenges in the market. It’s just not cooperating. Through out the week I adjusted the trades more and more conservatively without market opinion so that I had the best chance to recover while maintaining solid theta and lower risk deltas. We enter next week with a slight delta negative thus a downside bias. We’re not fully recovered YTD but I am happy with the result. The market moves have been historic and extremely difficult to trade with market neutral strategies. Nearly all the market neutral traders I know (even the “gurus”) have posted losses in the March and April expiries. I mean, what the hell, we started the year with a 22-24% decline in the RUT within a few weeks only to have an absolute epic up move that is a record in its ferocity again in a few weeks. It’s been unrelenting in each direction. It pretty much moved from 1200 to 940 in a matter of days and then moved 18% from 940 to 1105. This all somewhat happened during the April and March trades which were the only ones active this year. Our result? Somewhat negative for the year but if we have any normal decent range bound market, I am talking about like what we’d have 95% of the time, then I’ll start to crush. Handling an absolute nightmare and being down only a little bit is exciting and a testament to the rhino resiliency.

I’ve got great trades setup in May for both the SPX and RUT as well as June for the RUT. Any semblance of a normalized market should get us well profitable in the next month. The market is like a bull in a pen, after it moves a bunch, it tires. We should see less pronounced moves. I’ve got a lot of downside hedges active (very cheaply) and should be covered on most large down moves. I’ve also got some upside hedges using mechanical stock picking to help ease any more upside moves.

Mar 16 – Rhino Trade Updates

Making serious headway with the P/L of the April trades which is nice. I won’t stay in them past Mar 28 and I am eager to close them at break-even and happily call the month a wash. The May trades will do very well if we can have any sort of pullback in the next 3-4 weeks.

So happy to be done with this looming Fed meeting. They are not raising rates today (as expected—>they always telegraph this!) and they’ve lowered the number of raises in 2016 to two from four. The RUT is basically unchanged after the meeting. I neutralized the trades and added some more upside hedges on Monday which I could have gotten a better price for on Tuesday. I also converted my bearish butterflies to M3s as I just had too much upside risk across the portfolio.

I am traveling to London, Barcelona, Canary Islands and Morocco in the next 3 weeks so I can finally add more to the travel section of this blog.

Mar 11 -April Trade

We have 37 DTE and the trade is sitting way outside the main tent. I’ve built up a tent on the call side that helps but the risk vs rewards here are starting to get unattractive. I’d have a much much better T+0 in a May trade. That said, I think as the market gyrates through the next week, I’ll adjust by removing large portions of the trade and getting the risk profile more attractive to conclude the month. It may mean we won’t recover everything in April trade but we will make up for it in a solid May trade (with the capital we would have had in April).

The worst of three is posted below. I have a strong theta, but any move up will hurt and all my profit zone is 6% lower in the tent which is not likely with the fed meeting coming up (things will likely range until then). So I just can’t see much odds for a recovery in this trade vs just unwinding it to a more attractive smaller position and move those funds into a May trade.

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