Tag: rhino trade

All Trades Update

The NYMO is at extremes. The NYMO daily is above 280 and the intraday hit 91. The internal was weak and the NYSE UP to down volume was low (3.65). All previous cases happened in the bear 2008 and all gains were eventually erased (but it could take months). Another thing, Spy was up 2% and TRIN was above 1. 73% chances it closes red next day. Thanks to Cobra for that information. On the contrary, bullish percentages are very strong and the ascending triangle suggest more upside. Could this be a repeat of the 2014 Oct rally? I don’t know. In my plan, I always hold off on upside adjustments if NYMO is in extreme extremes like this and I wait for a pull-back to adjust. I did get burned in 2014 but that was with strictly MIC trades.

RUT has moved about 110 points and that’s at the extremes of what it normally does on a bounce.

To qoute Vbrandy from a recent skype group chat:

RUT moved -17.44% from Dec 29 in 14 trading days
Had an 8.22% bounce in 8 trading day most of which was first 3 days
Fell -9.08% in 8 trading days
+11.81% in 12 trading days

Because of all those reasons (massive overbought, high volatility environment etc), and the fact that it only hit my adjustment points after 3pm, I did not do any upside adjustments today. This is overheated. I still have some March trades on but I’ll wait till Friday or Monday to close on any modest pull-back. I don’t have too much upside risk in March still this took away some sig. profits. I was going to close most of it around the open of the day but held back and was going to wait till end of day as planned…doh.

My April trades are suffering big with this up move. I will have to adjust to the upside within the next day or two if it continues with strength. I’d like to give it till Thursday/Friday. I’ve got 1060 CC’s, 1050 CCs and 1000/1050/1080 call BWBs hedging now and those soon won’t be effective. THis will alleviate some of the upside issues as well as they start to lose as it continues up past the strikes. So yeah, these will all need to be removed soon and replaced if it shoots much past 1055. The odds are good that I’ll get a better adjustment point but still, this is stress. I can’t handle too much more up, maybe a touch of 1058 or thereabouts before I really have to adjust. I fear that this may go to the next RUT upside target of 1070 and I just can’t handle that move without an adjustment. Tomorrow I will be monitoring closely. This environment is pretty hellish.

As a completely unrelated trade, I did initiate some bearish butterflies at RUT 1052. I know this adds negative delta, but this is a completely unrelated trade. I bought several May and April 1020 BBs.

March Unwind – Nearly there

Today was a much better day for unwinding the positions and the subsequent P/L. I have about 15% of the position(s) left. I’ll probably close most of it out tomorrow. They are fairly benign right now–> Really flat. March expiration is finally approaching an end. How relieving. All in all, I am profitable for March (will know by how much once I finally close everything). I was trading quite large since December (a total of about 100-150 units of 5/-10/5 rhinos) and went through a 20% down move in the RUT followed by several 8-12% bounces. So, having had big money on, I got to experience some of the worst conditions while having the stress of a large position. A nice stress test. I mean, since Dec 31st (when I put it on at RUT 1140) it’s been pretty much the worst environment for trading these things, but they ended up doing OK. My maximum balance swing related to equity was about 12-15% in total and always during the highest volatility days. Of course, I am utilizing portfolio margin, this is why I mentioned the swing relative to equity. A few days after a high volatility day, RUT at same price, my balance would be right back to normal. Those are the effects of volatility on option pricing. Anyways, I can deal with that and I pretty much have a skin of steel now. I never felt totally uncomfortable through all of this despite the volatility and that’s a big change from the old modified iron condor days–>especially Aug 24 (I was extremely uncomfortable that day)! Glad I don’t trade that anymore. It must be a very challenging year for condors (well all trades are having difficulties, I see a lot of M3 traders doing poorly right now).

I did learn things I probably won’t do again, first and foremost, I will always close the Rhino structure if it gets challenged rather than trying to hedge it. As well, I’ll probably use upside BWBs as adjustments as opposed to calendars. I didn’t like how the call calendars reacted these past few weeks and I’ll be backtesting some of this later this week.

The bearish butterflies were a beautiful trade this month. They did fantastic. I just closed out most of them for a big profit. I had continued to put these on as hedges all the way down. What I’d do is put them on patiently after every modest bounce and I’d always get fantastic pricing on them and they were resilient on the way back up.

Other than that, I am waiting for a good day to get into the May trades. I didn’t like the pricing on Friday.

EDIT: I closed off my 1040 call calendars for 10.35 today when RUT was at 1040. I paid like 9 something for them at like RUT 1015…really?? I made $1 on it? Not exactly a great hedge to the upside. Anyways, I really got to look at calendars. Right now, I am just going to start using BWBs. It could have been because I put the calendars on late in the month.

Feb 26 – EOD Trade Update

I went ahead and added several 1020/1070/1100 Call BWBs to my April trades. I got the deltas lower and I got my fills at the low of the day (nice) but I am concerned about RUT strength today especially in relation to the April trades. This trade doesn’t love relentless 10%+ rallies and I do have some exposure up top. What especially concerned me was that it was steady down for SPX and even after hours, SPX accelerated its sell off, however, in contrast, RUT moved up and then maintained a narrow trading range and held its gains even after hours. There is some rotation happening and that’s why RUT had strength. This strength going into next week will require more upside adjustments to the April trades and though I got our deltas down for the March trades, they’d prefer a small (or big) down move to close. Any big move up will be somewhat painful across the board.

Feb 26 – Updates

This move up from 950 to 1040 (~11%) in the space of ten trading days has put a damper on both the March and April trades. Especially the 4.5% move in the space of the last 2 days. I am back where I started about 10 days ago, break-even for the year. I guess it’s not a bad result considering the moves and volatility. Just 3 days ago right when I was taking off my call spreads, I was up significantly (5%-6% of equity) and now I’m hovering around $0. Is what it is and the market sometimes does not makes it easy. Any pull back in the next 2-3 weeks will benefit the April trades and we’ll be right back up. I haven’t checked yet, but most of the pain is definitely in the April trades and March theta has offset some of the negative deltas as of late.

April Trades

    So for the April trades, I am just about at my delta limits and am looking to buy a modest amount of call BWBs or call calendars to bring the deltas down just a bit. NYMO is extremely over bought, the RUT is sitting at heavy resistance near its Oct and Sep lows, it’s moved nearly 100 points and the volatility in the market is high = I will be a bit more patient with adjustments to the upside. Though it’ll hurt a bit if this turns out to be an Aug 2014 style run to the upside. Any move down to RUT 1035 today, and I’ll be putting more of them on, if it runs from here (1038), I’ll be slower to add as I await some exhaustion and for Monday/Tuesday to see where we stand.

    March Trades

This has been some terrible timing for our 21 DTE removal of trades week. Sitting quite health last week to have a 4.5% move right into our most unpreferred area of both the Bearish butterflies and the Rhinos that remained. I had kept removing trades through the last 7-10 trading days but not enough to prevent some pain. I’ve got these deltas under control for now and it looks like I will wait till Monday/Tuesday to get the rest off. Taking off those damn call calendars at RUT 1008 after it touched into the 990s was a huge regret, especially now, that RUT is at 1039! That hurt a bit.

Frustrating week.

March Unwind Update (Feb 25)

Being 22 days to expiry and having this relentless up-move is just plain bad timing with how the structure of the March trades are. I’m giving back some profits in the exit, no doubt.

I got rid of quite a bit today @ 10:30 and I was going to get rid of more at 2:30 but the up move and being negative delta, has definitely hurt and I still have a lot on. I can’t believe I closed 1040 and 1060 call spreads yesterday @ around RUT 1007-1009 only to be at 1030 right now and now I am actually too delta negative…whipsaw and probably over-adjustment. I should have closed the equivalent number of Rhino’s at the same time, hindsight is 20/20. My thought process with the call removals, was that I was positive delta, we had just fallen from 1014 to 995 area and on the bounce to 1007, it was a good opportunity to get rid of some of the call calendars to put me close to neutral or slightly negative. I’d then start to remove Rhinos towards EOD and on Thurs/Fri. What ended up happening is a very swift move from the 990s to 1030s in the course of 4-5 market hours (4%?). Frustrating.

On the SPX side, I closed the entire SPX Rhino @ 1.80 credit (I paid 1.60 debit). We got a great price for it and it was bearish leaning so it was a good time to get rid of it. IT was a trade recommended by Brian Larson back a few weeks ago.

March Unwind – Update

Yesterday, when we had a bounce to the 1005-1010 area in RUT, I started removing some of my call spreads since I was slightly delta positive and I like to keep it slightly delta negative. The market moved rapidly against me up to about 1023 area and I couldn’t get fills on any of the Rhinos at a decent price since it was a catapult upwards. The up move was quite bizarre, especially in the SPX with an almost -2% day to a positive in just minutes. The frustrations of removing trades 🙂 I am not terribly delta negative but still, I could have gotten much better prices had I been able to remove some of the complimenting Rhinos. Today, I’ll start removing Rhinos, and I’ll aim to be out of most of the trades by Tomorrow AM. Tricky market–always a challenge.

My April trades are pretty heavily delta negative and I’ll look to start adding either some call BWBs or some calendars to get them down a bit.

Not much else…we have some data at 8:30am, I am hoping it gaps us down a bit so I can get rid of some of those Rhinos!

The March Unwind Update

I didn’t take many trades off yesterday, though I think I might end up regretting that. I am waiting for Thursday and Friday to unwind the March Rhino and BB trades and to also enter the May trades.

I’ve got a ton of accelerating theta in the March trades and my thought was to wait for the typical theta unwind that occurs from Wednesday to Friday and start closing down everything starting late Wed, Thurs and Fri Morning. We have GDP on Friday, the G20 on the weekend and some other big news from Shanghai re central bank policy. I’d like to be out of all March before the weekend.

I feel like I over-adjusted to the upside yesterday. I don’t know. The March trades were holding a lot of negative deltas and my Aprils were as well. I figured I’d get the March ones down a bit while Aprils would be somewhat maintained. Today, on just a drop of 10, (gamma in the trades is picking up), I am already at about 0 delta. I gather I could have done without a few call calendars on the march trades because on such a small drop, I’d still want to maintain negative deltas. Gamma sure does pick up toward the end of the trade. Though, if it had continued up hard, I’d be probably saying the opposite. I’d hate to have a big big down move tomorrow or Thursday but that’s risk management eh.

The March Unwind

I started unwinding some of my March trades today by peeling off the lower Rhinos and Bearish butterflies. I was surprised to see how fast my deltas got negative again. I was at limits on all the March trades yet again. I ended Friday quite comfortably but today I surely was not.

I tried to peel some off in the first 5 minutes when the RUT was @ 1018 but that didn’t last long and the RUT proceeded up to about 1026 area. My plan at that point was to wait for a slight decline or until 2:30pm to do an adjustment. I got a little pullback, RUT fell down to the 1021 area and I started peeling off my lower bearish butterflies (910s, 920s) and my lower rhinos (910s) and added some 1060 call calendar hedges as a temporary hedge as I start to peel the entire structure off bit by bit in the next 5 trading days.

All in all, the March Rhino trades will probably go down as some of the most challenging trades I’ve done and will likely ever do. I entered them on Dec 31st at RUT 1150 and experienced a 200 point fall starting almost immediately on Jan 4th down to about 950 only to have it rebound several times by 7-8% in between. That’s volatility I guess. My result? Profitable. Happy about that I guess, but I found myself dreading trading a bit because of the wild swings. One big take away was my risk management, I thought it was the best I’ve done despite some over adjustments and also lack there of through-out.