rhino trade – Page 9 – Travels and Trades

April Trade Updates

Below are three sets of Rhino trades for April for three different accounts of mine. There are multiple tranches in each and the risk profile is a combination of several. I am not going to do any upside adjustments to any unless RUT breaches 1035 with authority.

I started also putting on a new type of hedge trade called a “Space trip Trade” developed by Ron Bertino. This is essentially what ends up being a free hedge for large down moves but can also be an income trade in portfolio margin accounts where it takes very little margin. If the market stays neutral or falls, it’ll profit. The upside has little risk (-$600) and a 17% fall would produce 24k in about 4 months. The idea is to put on multiple tranches of this with both time and price diversity. It takes time for the profit hump to build and entering these periodically and @ different times and market positions, we should be able to get a nice hedge for our ATM trades like the Rhino and also produce some income on them as well. As time builds, we can remove our upside risk by rolling up the shorts a bit.

Here is what I have on below:

Feb 17 – Trade Plan

The market has been on a tear going from 950 to 1015 in just a few days–>That’s about 6%. Typical bear rally and sort of expected, however, it is getting to be a bit difficult to navigate with our trades. Early yesterday, I removed several bottom end bearish butterflies and a few debit spreads that I had on as hedges during the crazy volatility. My delta was too negative and I had to adjust. I am trying to be patient with adjustments as this is a high volatility environment but I can’t afford too high negative deltas. Today, another big gap up, I had to remove some lower end BBs and other hedges. Now at 1:30pm, RUT @ 1010, I am looking to put on 1040 call calendars to hedge the upside even farther as we have the 2pm Fed minutes today. If there is any mention of a hike delay, the market could continue to scream on. It’s approaching over-bought on all short term metrics but we’re still oversold on the longer term. Tricky and I have no clue where it’ll go. So my plan now is to add call calendars, remove the remaining “additional” hedges I had on, and get a bit more balanced while still erring to the side of caution with negative deltas. If we get whipsawed, we get whipsawed. My Deltas are too negative.

The march trade has gone through such a difficult period and I am happy to get out with small profits or even break-even within the next 15 days. It was initially put on with RUT @ 1150 we proceeded to see a 200 point fall (20%+) to RUT @ 950. We went from 1160/1120/1070 Rhino butterflies to 960/920/870 butterflies and all of Rhinos in-between. During the first part of the fall I did remove some BFs and managed the trade according to plan but at around RUT 1040, I deviated and had started putting on Bearish Butterflies and debit spreads as a hedge to additional downside as a temporary measure until I could get rid of more of the higher Rhino BFs at a better price. I thought the down move was limited to about 1030. This strategy continued on as it kept falling, on the bounces, I bought BBs and got out out of compromised Rhinos and on the dips I remained patient. This ended up being messy but put the trades in break-even range throughout. I won’t do that again, I’ll now just remove the entire compromised Rhino when its time and put on a newly positioned one. Easier to manage and way less stressful. Lesson learned.

Feb 12 – Been a while

It’s been a while since I last posted. I will have to change that starting now. The market has been a bit of a bitch but for the year, I am slightly positive with a lot of potential in the trades I am in now. I am extremely happy with that result and felt like the last 6 weeks were my best weeks in trading in regards to risk management and overall trading skill. I feel great about it. I am managing quite a bit of money and the stress of management sometimes can overwhelm but I kept my composure throughout the entire run of volatility and followed my plans to the “t”.

I took the big bounce today as an opportunity to remove most of my “edge case” rhino’s (ones that are a bit past the shorts) and flattened my T+0 lines. I feel good about the positions and we’ve got at on of room on each side with little upside risk and about 5% room to the downside before adjustments. I probably don’t have to do to much for the rest of the month.

I entered some April trades as well, but I positioned them lower to give myself a lot of downside room re the volatility as of late and the upside has little risk as well since the cost of the Bfs were quite low (~$2.30 as compared to the regular $3). The last 6 weeks were stress and some of my earlier positions were obviously compromised but we have ended up in a position of great T+0 flatness and a slightly positive result for the 6 weeks. I can’t ask for more then that and I am loving the potential in the remaining March trades. I am eagerly awaiting the upcoming theta release and am looking to close around 21 DTE (another 2 weeks) for a nice profit!

Throughout the volatility I used bounces to purchase bearish butterflies as a hedge to the Rhinos. This worked really really well. My BB hedges are up more then the Rhinos and I am starting to unwind these.

Jan 7 – Trade Plan

What a brutal sell off to start the year. RUT is down 9% this week and SPX is a little over 8%. Yesterday was fine. Most of the trades were in our tents and profits were good. Today was a different story, the huge move and increase in volatility had the trades under water and, for many trades, outside the tent. The fills were horrendous and I resorted to shorting some ES/F, buying debit spreads and bearish butterflies to hedge the positions. I managed to close out a few higher BFs at a loss. The Rhino and RT trades can handle a lot, and they handled the 5-6% move this week fantastically but when it dipped below 9% and volatility increased, we started having problems with our P/L and with the trades themselves. That said, we’re positioned well into tomorrow and we would welcome a stall and decrease in volatility to get the trades in a good place.

Tomorrow, I’ll continue to add March Rhino positions with the great prices we’re getting and they’ll naturally be negative delta which will help hedge the other trades. My slight concern is a massive bounce which causes issues for the Rhino. I’ll also continue to add bearish butterflies and debit spreads as a hedge. The problem is not so much the big moves down but the fact that they’re occurring over night and there’s not much you can do about them when they already occur.

All in all, these trades are way easier to manage both emotionally and technically over the M3 and Weirdor trades. I was laughing (literally) yesterday when the market was down 5% for the week and my P/L neutral to up, however, that changed today and instead of laughing I was crying a bit 🙂 The increased vol and the terrible pricing on fills and the subsequent effect it had on P/L was a tad stressful.

Dec 31 – Happy New Years!

I put on my last trade for the year. A 1060/1110/1150 March Rhino Butterfly

Units: 17
Planned Capital per unit: $25,000
Profit Target (10%): 42,500

Haven’t posted in a while, not much happening over the holidays. I have several Road Trip Trades (similar to the Rhino) on the SPX and I’ve still got Feb Rhino’s and some March Rhino’s going. I am about 35% invested at the moment. Going to up it first week of the year as volume starts getting back up.

I haven’t had to do much over the last 2 weeks (I added a few call calendars to both the SPX and RUT Rhino’s I had on over the break) but that’s about it. Easy.

I plan to reformat the blog a bit in the New year and post real-time updates to the trades I am doing. I just have to get into the rhythm of it.

Dec 17 – Trade initiation

Trade: SPX Rhino

+50 1970
-100 2030
+50 2080

Price: 3.65c

Dec 17 – Trade Plan

Interesting few days. We’ve got that 25 BPS rate rise and the market went up quite a bit only to fall the next day back to where it started. Not much to say nor do I really have market opinion right now.

I am like 90% cash as I closed a lot of the Jan and only had about 25 units of Feb Rhino on. I will enter March Rhino in about 10 days and I entered an SPX like Rhino trade which requires a lot less adjustment. The T+0 line is a thing of beauty.

Other than that, it’ll be a quiet few weeks until I can ramp back into the trades. I started this blog about a year ago trading Modified iron condors, the protector and some trend-following strategies and I am ending the year as pretty much only a butterfly trader. It’s been quite the journey with an immense amount of learning fuelled by dramatic ups and downs. I feel a million times more comfortable and confident as a trader and I’ve come to learn the value of appropriate risk management. Looking forward to a big year in 2016.

Dec 12 – Trade Plan for the week

I am mostly in cash going into this week (65%). I have some Jan and Feb Rhino trades but I am not fully allocated by any means. I am going to wait until after the fireworks that will be OPEX and the Fed meeting before entering more of these. After such a harsh down move and the potential for wild volatility in either direction, it’s just not worth it. Any large up move will bring challenges to the Rhino. In fact, If we had a quiet week, I’d have removed most of January Rhino trades @ about 5% profit.

However, I will be selling put spreads @ 15 delta (same strikes as you would for an MIC) on any big weakness on Monday or Tuesday. The strikes will likely be way way OTM with the surging VIX and it should give us a perfect risk reward trade. If, after I sell these, the market continues to push sig. lower, I’ll manage by buying bearish butterflies along the way and perhaps some debit spreads. I am looking forward to taking advantage of a waterfall event this time around. We should have a down Monday as the stat is 95% of the time we have a 1.5% or greater move on Friday, you’ll have a lower low on Monday.

Oil was down 11% this week and since the high yield market is quite exposed to oil, there is credit concerns. Selling was extreme on Friday and that usually means further weakness. However, breadth is at extremes, the NYMO is at extremes, and VIX gained 63% this week. Those types of extremes usually mean a bottom is soon coming and we’re entering a bullish period. My bet is more pain on Monday/Tuesday, followed by a rebound.

Dec 11 – Trade update

I removed several 1160 BWBs for between 6.1-6.55 credit (I paid about 3.20 for them) so I closed them for a nice profit and cut my downside risk in half. I also added some 1100 bearish butterflies on each bounce as an additional hedge to the downside. The Jan Rhino’s ended the day at a delta of about 20 per unit. I am comfortable with that. We’re uber oversold on all levels. NYMO is reaching extreme levels and though I expect a down day on Monday, I think we’ll bounce off the SPX 1980-2009 area by Tuesday once we reach that extreme NYMO level.

When volatility is high and we’ve got additional room to the downside, I like to buy Bearish butterflies as a hedge to my existing positions since they can be quite cheap.

I only had Jan and Feb Rhino trades on during Friday’s fall and we ended the day neutral with no gain or loss (well ~-1200 according to my IB statement) but that’s negligible. Gotta love that. The RUT has moved from 1205 to 1120 (85 points) in a very short timeframe and the trades are all up money.

Dec 9 – Trade Plan

I am trading from the boat today with a few friends. I pretty much neutralized the December trades yesterday. The December trades themselves are very profitable, it’s been a great month. I was a bit pissed off yesterday when I made the worst timed adjustments ever, I literally adjusted when RUT hit 1151 (the absolute low!) and had it rebound literally 30-60s later up to 1159. Annoying. If the trades weren’t so high gamma and close to Expiry (9 days), I’d have waited till 2:30pm but the deltas got high and I can’t trust OVs model yet (which spits out too delta negative). Probably a few k in adjustments right there.

The January rhino had 10 call calendars taken off to lessen the positive deltas. This was the first adjustment of the trade. I entered another 1170 Feb Rhino. I’m almost 75% cash right now as I unwind December. I’d normally just jump in a Feb Rhino but the looming Dec OPEX and potential rate hike in 7 days has me wanting to wait until the fireworks are over. It’s only another week or so.

As the months have gone by since Aug, I’ve been peeling more and more of the protector off and I am down to 25% of what I was, I was hoping for a normal santa rally to get the rest off, but so far it’s been mostly a volatile range. I’ll keep it on until early Jan and, if I see opportunity for options trades and it requires my margin, I’ll remove it at that time.