Trade Compositions for 2021

So far through 2021,

For the income portion: I’ve been doing equal parts HS3EZ, 488 and 484 along with an ATM campaign leaning bearish. This helps provide a lot of diversification.

For the convexity portion: I’ve been doing BSH factory + opportunistic entries of additional black swan insurance (haven’t had to since Feb).

I’ve just started using a base LTI as well

Pretty boring, pretty simple. I’ve found now that I rarely care or even look at what the market is doing. I just enter and add adjustments when required. The first quarter was great and so far April is pretty stagnant but with a lot of potential and I’ve got a solid formed campaign both for the income and convexity portions as well as live LTI. Looking good into finishing Q2. That 48x theta has to come in sometime.

That’s pretty much the summation of how I’ve been running trades through the year. Very boring weekly entries of 48x and HS3EZ plus the management of the convex black swan portfolio. Systematic with intent and with little regard to timing of markets re entries and adjustments. It works.

The intent is to continue to investigate variants and other trades that provide some diversification to the portfolio but I haven’t had anything really pop out. I’ve got some interest in the 0DTE and looking at it from a professional gambling standpoint re edges and trade sizing but I just haven’t had the ability to jump in yet. Probably a summer thing. I will probably finish up a 486 backtest to add to the research. That’s probably all that’s on my radar.

I can’t go into the individual trade compositions because of community privacy etc but you can get more information at the mastermind group, Ron Bertino runs a few awesome well constructed courses there and the community you can become part of is a private one where we share info and strategies and as such we’re mandated to keep specific details private as it’s not fair to others in the group.

Apr 28 2021 – 15.5% Quarter and a 43% year

Been pretty absent from posting which has obviously become a habit. I’ve been all over the place the last 3 months and I think the lack of routine affects my ability to get posting which is contrary to the blogs intent especially with the travel portion. I just get caught up in new experiences and get behind in other aspects and my life becomes a time-balancing act but a well balanced one in regards to life and work balance.

We had flew into the US in October of 2020 to begin flight training and take possession of our plane. Exciting in and of itself, but probably a bit irresponsible given the pandemic was full blown at the time but we were committed with our long term renters in Cayman coming in at the same time. Cayman had no local transmission (and it was totally normal life there) so it was a pretty iffy decision, is what it is. We had expected to finish up the PPL there before Christmas but weather and thanksgiving instructor schedules got in the way and we weren’t able to finish so we left Dec 9th to get the quarantine over with before Christmas holidays.. As fate would have it, that didn’t matter, Canada went into full lockdown during the holidays

It was pretty exciting though because we took possession of our new home which has such an epic design and quality. Karin Bohn helped with the interior design, and subsequently the project got all over her YouTube channel which was pretty cool and my good friend Chris designed and helped build it. He put his heart and soul into it and it shows. I don’t think I could ever sell it. We had started planning the house back in 2016 as we’d planned on staying in Cayman and having a great home base in Caledon, Ontario which was near all our families but plans had changed with respect to where we’d school our children and LA became the choice. We’ve rented our house in Cayman and now will just go back and forth between Canada and LA. Anyways, we stayed there till about March when we went back to LA (with the intent of staying 2 weeks) to start searching for our primary home (we found an awesome house/project in Hidden Hills), but opportunities arose to finish the PPL in Knoxville, Cirrus went and picked up my plane and I flew to Knoxville to train. I ended up staying behind and trying to finish up that pesky PPL while Ash went back with the kids to Canada. I finally solo’d and made a ton of headway towards the license. We’ve done the training pretty unorthodox as we’ve used the plane several times for utility trips (picking up au pairs, family, flying to various places for $100 hamburgers etc). So I’ve gained experience in so many different ways. Here’s some photos of the training and solo.

While in Knoxville, I got the vaccine (Pfizer) and worked hard on the PPL which went really well. Had some incredible experiences. I flew with my instructor to pick up the family in Canada. The original intent was to go back in April but the pandemic in Canada got so bad that it just wasn’t worth staying. So we grabbed them, whisked them away from the never-ending lockdowns and explosion in COVID cases and brought them to Knoxville for a week. Here’s some photos of the Canada pick-up, the dogs were excited to see me (oh that was another new thing this quarter, we got them in January, I was afraid they’d forgotten about me but from Teddy’s reaction here, it was clearly not the case.

We stayed in Pigeonforge and I got to fly back and forth to Knoxville for training and finally solo’d and was about 10 days away from check ride, but we had closed on the house in Hidden Hills so we went there for a few weeks (here now). Another cool experience, I got to fly the dogs and cat to LA from Knoxville. Wild. Here’s some pics from the super long cross country from Knoxville to LA

Teddy in the back, chilling.

We’re in LA now until about June (assuming Canada gets better). Then we’ll be back in September full time. Whirl wind of a life lately. Looking forward to settling down where I am just making my way back and forth between the two houses. But have to say, I’m loving this neighbourhood and the general area. The kids are live in school (finally) and we’re looking forward to the big life change from the Caribbean to western civilisation.

Here’s a few photos of the new neighbourhood plus a cool sketch/art of the project.

Isla rocking her new bike
Putting up a TV. Getting innit.

Despite all this wildness in life, the quarter was great, doing 15.78%. Finally moved towards non-discretionary trades and by March, was fully allocated. Throughout the quarter I furthered some research efforts into ‘meta-portfolio’ construction and the movement toward a more time and skew-diversified approach with respect to my individual trades. The sum of these individual trade types within the total portfolio of trades allows for a smoothing of variance which allows for better compounding of returns over time. I’m thinking long term, and I am approaching my portfolio of trades with wealth conservation and low-risk growth as the primary objectives. The result and implementation of lowered volatility by way of diversification will yield a better compounding of returns over the course of years. I am lowering the volatility tax, and in turn raising the profitability of the portfolio of trades. In my opinion, compounding via the reduction of portfolio variance is the true secret to beating the markets.  A high volatility portfolio that averages 15% per year could underperform a very low volatility portfolio that averages 10% a year over the course of a few years. Taking this concept and applying it to the portfolio of trades is the focus and part of the edge.

Meta Portfolio Compositions and back in the grind!

Made my way to our new temporary home for the winter and spring. The place will be our forever home in Canada and act as our main base. We still are trying to figure out if we’re going to make our way to LA for the kids education but we’re getting tired after this last build and move so who knows. That said, I miss how easy things were in Cayman, it was like a free-for-all in terms of pretty much anything/everything re being able to just live life. I am met with blocks on everything here in Canada. Everyone seems to want to create problems. It’s bizarre. They won’t even accept my international license or cayman license and want me to start off with a learners permit, they’re having a fucking laugh. I’ll just continue to use my Cayman license, just means I can’t register my cars until I can find some Canadian insurance company that would insure me without a CAD license. I also find myself talking on the phone to customer support for hours a day for a variety of things as well. Real life sucks apparently lol.

We’re here until at least the summer and though we’re 90% going to LA, there’s a small chance we’ll fall in love with this property and stay here. Though, man, I just don’t know if I can “regular” life it here like I said above. It’s probably irrational but there’s a lot of weird feelings about raising the kids here and I mean, its fucking’ cold. Though, having the plane now gives me some pretty cool options to escape and the hangar is literally 12 min from my house. I can fly to Myrtle beach in like 3.2 hours for instance. The property is 100 acres located just 25 min from Toronto international. So the location is perfect and close to the international airport and acts as a great base to our families (we’re both from area originally and our families are here). That was the intent…have a second home near our families but it became much much more than that as the project developed and the budget increased…..

One of my best friends designed and built it same as he did for Cayman so it’s been a fun challenging project and his tenacity for efficiency, his skills and his ability to keep the project a value creation device has allowed for a valuation much higher than what was put in. So I am super happy and both projects have provided me with value. He’s been actively helping me manage investments so it might be his pièce de ré·sis·tance or swan song as he moves more towards trading. Or perhaps he continues on but treats it like a hobby or it’s a bit of both. Who knows. Here’s a few cool pictures of the property (which isn’t 100% complete yet but liveable). It’s got a VR/Sim room which will be decked out with a star wall, RGB lights, and 4 setups (our family are PC gamers…no XBOX whatever or PS whatever allowed in here!). We have a sweet swimmable hot-tub on the second deck, an infra-red sauna, several cool fireplaces, a speak-easy etc. It turned into a true chalet like experience. Our furniture hasn’t yet arrived but I think it’ll be here in 1.5 weeks. We’re making due with what we have, it’s exciting because so much is not done and we’ve got limited furniture so it’ll only get better. Fun and frustrating at the same time I guess.

Probably the only space that’s 95% completed. The entry.

The outdoor ceiling is not complete yet but it’s coming!
Void of furniture but what a view!

It’s coming…
Missing the furniture but it works!

We landed in CNC3 a few weeks ago and hangared the plane. I still need some more hours but the weather has been shit and instructor availability as well. Things happened slower then I hoped. I really wanted to come back licensed fully.

The entire break I’ve been concentrating on meta portfolio construction as a means to reduce drawdown and increase geometric returns. I’ve come up with using 3-4 OTM style trades that we talk about in the PMTT Group as a base income producer and with my own spins and each are composed of 4 different types of BSH. These are put on in campaign style with the average being about 10 weeks of campaign. This gives time diversification. So we’re now diversified in entry timing, OTM income production and BSH provision. On top of this, I combine 2 black swan type campaigns that provide additional protection over all. Then I have an aggressive harvesting style that really translates into back ratios at a variety of strikes on older maturing trades. So basically, 10 different time entries, 4 different strategies, 4 different BSH styles, a bonus 2 hedge type factories and harvesting. About as tight as you can get.

  1. 4 Types of Out-of-the-money income strategies put on across 10 weeks giving time, strike(skew) diversification
  2. 4 Types of BSH protection put on across 10 weeks giving time, strike (skew) diversification
  3. 2 bonus types of BSH factories/hedges put on in campaign style across 4-6 weeks giving skew and time diversification and 2 additional fail safe swan protections
  4. Harvesting aggressively all structures that are matured

You’re left with creating less draw down and increasing compounding returns which is equally important to the trade strategy itself. It add complexity sure, but I mean, this is all I really do now and it’s systematic. That’s a preferred method for me.

I’m finalising all the time series for each of the campaigns from 2014+ and I’ve noted that there is adequate response differences to a variety of environments and together they provide a smoothing of return. In my mind and as I mature as a trader and as I have started getting consistent results, I’m convinced that the key to success at trading for a living comes with diversification both in time and in strategy. You take 6 known alpha producers and you do 1/6th each. It helps with human factors, as you’re much more likely to follow the system/rules if it’s just some annoying small part of the portfolio not the entire thing. The options market has a funny way of causing you to draw down from the tops.. You’ll be sitting at 80% profit target and one day you’ll draw down to 50% for no reason (market hasn’t moved) and you’re becoming price fixated and often times it does preclude a vol event and from there you’re just waiting for that old 80% to come back because you think you can rely on time. It’s a fools errand not to follow the systems and rules. You’re much more likely to do what you need to do if it’s just a 1/6-1/8th portion of your portfolio.

As mentioned before, the last 6 months have been pretty much straight opportunistic ebb-flow ATM style trades taking advantage of the environment. I’ve just started implementing a systematic portfolio based on the above post and from there that’s all I’ll pretty much do.

I am back at my desk for 8 months so I hope to blog more and post interesting things the best I can.

Oct 10 Trade update (STT-488,STT-484 and BSH Factory)

On the 8th of Oct, the market fell pretty hard into close and the skew/vol were favourable to enter a 488 STT, so I did. I allocated about 25% of the planned capital as the conditions weren’t quite good enough for a 50% or full entry. I was able to cash out at 40% profit target the next day. I did. Why did I only do 25%? There’s probably 25 entries since 2014 where I’d go 100%, however that said, I have to re-evaluate my criteria as it was implemented for the 484 which is a slightly different trade. I may lessen the requirements for the 488 by a fear spike and VIX 18+ for at least a 25% allocation. (VIX is really a very crude way to measure the entries, I just say it because everyone knows it and what it represents re market conditions..but in reality I’d be looking at a whole slew of things to determine entries). If VIX is above 27 and we have a capitulation day, I’d probably switch to 484s unprotected but everything below that I think a 488 might be the answer. I still have to confirm backtest everything and how the exact opportunistic entry system will work but for now it’s a start.

As mentioned a few times, right now my portfolio consists of a blend of a TAA base, some bond rotation (low vol–municipalities, senior loans etc etc), a strategic LTI portfolio, some sectors rotation and a cute factors system. The above represent a 0.75:1 on capital. Then on top of that, I have an active BSH factory for income and lotto. The BSH factory method I use now produces 18-20% a year but will return incredibly during an Aug 2015 (161%) or Feb 2018 event (62%). This is a producer in large events (crashes). On top of that I have 15% allocation to at-the-money (ATM) options trades such as the Rhino and bearish butterfly. If we have any large vol events (opportunity) I’ll enter 488s and 484s. This is my portfolio.

I closed out most remaining options trades except the allocation I have to ATM Rhinos. I have a bit of January left and that’s it. I will work to close those as the next week or two go by. Mostly in cash in terms of options allocations. I am forming a new BSH factory to try and up it’s size relative to my account, it was a bit lower. Not a whole lot else to report on re trades.

Oct 3 – STT and TAA Trade Updates

The account just hit 30% for the year which puts me at about 10% a quarter. Happy about that. I was hoping for a better (greedy) end to the trades but the market movements prevented that. The market stayed in the upper range and started to tap on 3020 which forced me to start balancing the upside risks and after about 10 days I just decided to lock in profit and remove significant portions of the trade. If I had done nothing, this sharp little 160 point drop would have netted much more. Just this afternoon on that very sharp rebound my account hit all time highs so I took half off and removed a lot of my risk. The sharp little flash crash today from 2892 to 2857 had actually knocked the P/L by almost 4% but now its fully recovered and well profitable (and most of the risk is closed).

As mentioned above, I decided to close off half of the account today on the bounce to 2905. The Dec STT dipped down about 60k during todays mini flash crash from 2892 to 2855, albeit that’s likely just temporary due to option pricing gaps between bid/ask but has since recovered to +10k on the day. Good enough for me and given the market movements and the news climate. I will wait for some opportunistic entries and be happy with the profits to date.

Funny enough, I entered 40 units of 488 yesterday and they hit 1/3rd profit target today on the afternoon ramp. I took it. I’ll always ladder my profits according to days in trade especially if it’s within the first week. One thing we must be careful of is that if these are opportunistic, and you’ve got nothing else planned, then if you start taking lower profits (the profit target is $1k, I took about $380) and you have a max loss of $2k, well, this could be a problem as you’re not capturing enough of the 1k wins to offset the max loss. However, for me, this entry wasn’t the only thing I put on and I mean, it was within one day. Any further down move, I’ll slap some more on with less vol requirements as I had with yesterdays.

I am becoming a big fan of risk reduction via non-correlating strategies. So I am more and more starting to add in a variety of things both as a base as well as opportunistic. I’ve got a solid momentum based TAA along with low vol bond rotation as my base.  It draws upon theories from several white paper authors in the tactical asset allocation realm, such as Keller and Keunings white papers on Vigilant Asset Allocation, Protective Asset Allocation, and Generalized Protective Momentum as well as Gary Antonacci’s white papers on Dual Momentum factors and his Risk Premia Harvesting paper. I’ve setup my own little combo of these and other things to create a nice long term strategic base portfolio that produces ~11% CAGR on average with a 5% MDD since 1990. Will it produce this in the future? Who knows, but that applies to anything. I worry mostly about the safety rotations ie IEF and TLT and as such I’ve mostly removed TLT as my safety rotation and changed it to IEF (that helps temper expectations a bit) . I mean, the last 10 years, TLT has produced 10% per year which is equity like w/out the equity risk. That won’t last. If we have a long period where rates just stay stagnant the returns are much much less. If rates fall to zero then it’ll be great (initially) but after that any increase will be horrific (for returns on TLT/IEF). So yah, bonds will def underperform going forward and much of these backtests rely on rotation to bonds so we have to be careful not to expect the same, that said we probably have 5 years before we have to worry about this.

I started to add in Rhino’s again and I actually got some on at 86c yesterday. That has to be a record price for me and I’ve been trading them on and off since 2016. That’s another opportunistic entry.

The plan going forward is to run the base portfolio (which consists of 8 different strategies each adding some non-correlation) coupled with the BSH factory, a variety of ATM trades, and finally opportunistic Rhinos and STT.

Sep 18 – Trade Update (STT Trade)

I recently (and finally) hit profit on that trade I was nursing since Aug 1. I probably over-hedged a bit during Aug as the skew and vol went haywire and the modeled positive deltas were just a bit too overladen with risk. I probably entered 20% too many bearish stt and probably sold a few too many ES shorts but at the time and with the bipolar nature of the market on any tweet, I felt it prudent to eliminate some of the risk. Further, on the subsequent up move I just couldn’t convert the bearish STT as quickly as I’d have liked too but hey profit is profit. There was a lot of whipsaw too that crushed some of my ES short hedges. The big positive was that I managed risk like a boss but the negative is that it’s resulted in under-sized return as I wasn’t able to take advantage of the vol and skew present because I was managing risks of low vol entries. I’m now moving my trades to opportunistic entries only. I’m talking big down days where forced liquidation are occurring.

I’ll end the month of Sep having made about 3% maybe 4% from Aug 1 to Sep 30th. Not terrible given the environment re skew/vol and the news environment. It got a bit crazy there with tweets. I think I’ll end Q3 right at about 30% which is 10% per quarter on average. I am happy with that and it’s in-line with what I figured. The next quarter results will be entirely dependent on opportunistic entries. If we don’t get the right environment, I won’t be able to enter the juicer STT options trades and I’ll be reliant on my base portfolio and BSH factory. Is what it is…happy to wait for opportunities because when they occur it’ll make up for the stagnant times.. The conditions I’d like to enter in have happened just 25 times since 2014 so it’s going to require patience. The returns from those entries are much higher and you can often get out within 11 days (that’s the average length of time). I’ve seen that the trades will produce the same overall, with very small chance of large draw down and very little time at risk. I mean, the average days in trade was 11 and there were 25 of those, that’s 275 days at risk out of 6 years of trades (That’s like 1/7th of the time).

I leave on Friday to Necker to celebrate my 40th and 20th anniversary. I have no idea what to expect, it’s pretty damn ridiculous but we pulled the trigger because well, it’s two huge milestones. Maybe its worth it maybe its not. I won’t know for another 2-3 days. I imagine there’s some life value in going…maybe? Wildy, and good timing, just two days ago I did have a pretty awesome poker score when my coach got 2nd place in a WCOOP and I had a piece of him. It netted me more than enough to cover the trip, and covers poker buy-ins for a while now. LFG. Anyways, it’s a perfect time because luckily my trades are neutered and carry barely any downside risks and I can just unwind and leisurely work on some projects I have going on. The onllly issue right now is that there’s like a hurricane forming and moving right towards where we are going. Hopefully it fucks off.

So I probably have 2 weeks left with my current STTs, I have about 70k theta per week and by Oct 10th I’ll probably be fully out of the market re STT type trades. I’ll have a small BSh factory and some LTI stuff and I’ll be sitting and waiting for a big down move. Any 5-7% move down is while I still have on this structure would be worth a LOT of return (another like 10%)! So it’s welcomed! If that happens, then my luck is disgustingly sick and I’ll be removing the entire thing and entering brand new ones. Easy plans going forward.

Trade Update (STT+BSH+Bearish STT)

At the start of today, I was so close to forming the 30 BSH but I just missed my price and the VIX/Skew changed again and those way OTM puts rose in value and now I don’t wanna pay the extra 30c as I am fixed on the previous price because thats just how trading psychology works. Price fixation, it’s a weakness lol. I got some time though. That would have been cool, formed in 10 min market time 🙂

I didn’t trade the futures open and it just went where it went. I was tempted to use a breakout trading plan to further hedge but I just never ended up leaving it and I think I am pretty much as hedged as I can be. Today at market open (while I was flying from Milan to London–>I love internet on planes!) around 2855-2865 I ended up closing some of the ES shorts I had on, I have 7 left of 14. On the run up to 2875, I purchased more Bearish STT and I closed off 20 more STT. This adjustment puts me at exactly 0 delta. My UEL is now like -300k so I def will have to massage this as time goes by slowly converting the bearish STT into an STT. As time goes on, my deltas will get more and more negative as my tent builds up. This will be when I start converting on dips. If I don’t get the fear dips, then I’ll just let time play out and start converting and aim to get as much as I can out of the hodge podge structure.

Here’s my Dec structure (includes original STT and my entire bearish hedge structure)

Dec w/ the bearish STT portfolio adjustments

Here’s my Jan structure after adjustments today

Jan only (this position is down but was hedged by ES shorts not shown

Here’s my combined positions as ONE displays and with it set to Jan expiration line. It’s my loss on the structure but I had 14 or so ES shorts from 2915-2922 area that gained a lot of value and aren’t included in this. As well at the fear bottoms I sold puts in some equities that I follow (GooG) etc that are all up. Also doesn’t include the gains on the BS hedges and the shorts I sold on Friday. I was about +50k, now down -150k but the structure is good and my theta is 14k a day and my vega is -107k so time and vol relief are on my side. Combine this with my BSH positions and it’s pretty safe. I’d love to end September at ~250k (end of Sept risk profile at very end shows 300k). Sounds nuts but that would be pretty much the entire summer profits on a large portfolio. As quickly as I went from -8% to -4% then to +60k on Wednesday is as quick as I went from from +60k to -150k (vega mostly). It’s also how quickly (with reduction in vol or time passes) I will get back to profit..its a game of patience and risk management.

Current as is in ONE
Current – Showing Jan expiration Line

Here’s the entire structure in 14 days with a small decrease in volatility

I will wait for a spike in vix/fear and replace/roll the 30 STT I closed at a loss in the January expiration. I got the pricing during Friday and it was at about 2.50-2.95 credit and right now it’s at about 2.00 so I’ll put on an order at about 2.40 area. I’d be happy with that given I paid 2-3 dollars less to close off the STT today as opposed to Friday towards close.

My last 2 days of travel are in London and I’ll be heading back to Cayman Aug 29th (I’ll have internet the entire flight, so I’ll be active). Then I just keep massaging this structure as time goes and as we enter Sept. Towards end of Sept, it’d love to be in the 2650 area so that’s a lot more room to manoeuvre.

That was an interesting day!

So that was an interesting day. As expected my portfolio has fallen due to vega issues. Normally not that stressed but this is kinda a weird environment re this trade war. I am not so much stressed about any permanent draw down or loss but more so managing the rolls and dealing with fills (if we drop much further than 2825). It’ll mean that the trade will take a lot longer to get to any reasonable target. However, if we crash, I should be perfectly fine with the BSH hedges.

  1. I’ve got 115 STTs on in Jan expiration
  2. I’ve got 80 or so Dec STT but coupled with loads of bearish STT adjustments
  3. I have 14 ES shorts
  4. I have 100 puts in Sep 19 expiration at 2125
  5. 110 BSH in Oct 17 expiration (only 54 days to expiration though)
  6. 20 BSH in Oct 31 expiration
  7. 95 BSHE in Oct 31 expiration (just ratio)
  8. 30 BSH in Nov 14 expiration
  9. 30 BSHE in Nov 14 expiration (just ratio)

So I have on an estimated 195 STT, 100s of bearish STT and 285 black swan hedges of some form and 100 long puts in Sep. So should be hedged against any crash by far. Typically, 1:1 on a Aug 2015, Feb 2018 event should get you break even all said. If they activate I should be in a profitable situation. Especially given the BSHE have not yet sold the additional short just yet.

Trump tweeted “Who’s the bigger enemy Jerome Powell or President Xi?” That’s so messed up on many levels and it creates a confusing trading environment. My trades are back to about -4% or so. Which is expected with that increase in fear/vol. However, I am sorta in a really sweet spot if we should stabilise anywhere between 2750 and 2900. I really don’t know what to think re what’s going to happen here but I hope it slows down else things get a bit annoying. If it goes down hard but without a crash like trigger, it’ll get rougher before it gets good. I’ll have to initiate rolls etc and it’ll take longer to reach any reasonable P/L. If we have a sharp crash, I should be profitable as I have about 195 STTs on with a LOAD of bearish STT, BSH hedges and ES hedges. If we move around between 2750-2850 over the course of several weeks, my P/L will be fantastic.

Today: Here’s what I was doing/thinking through the past few days:

On Thursday, I got on 25 bearish STT and sold some ES shorts at about 2922-2930 area. I wasn’t loving the move to 2937 during after-hours but it wouldn’t matter since I had tons of theta and I’d get my target. The previous weeks I had put on 100 or so bearish STT and converted some over to regular STT. I have this big hodge podge mid-hedge position over the past few weeks. All in December expiration. Overall I am still negative Vega by a far amount so any increases in Vega hurt. The move from sub 16 to 21 VIX did hurt the trades as predicted.

On Friday, Before the 10am Jackson Hole events, I was building up some hedges mostly to start the massaging process through September to get my P/L up to target before my trip. The plan was to get them more negative delta and just let the market move about. I sold 8 ES which gave me -400 deltas then (this was a bit weird) I had a bunch of bearish STT trying to fill then trump tweeted, we fell to 2919 quick and then rebounded and it for some reason filled, then we went straight down. The day before that, I got another set of Bearish STT when the vix acted weird on Thursday. So yeah, pre-trump I was about -300 delta all said. When the vol kicked in and the market fell, I ended up at about +700-+900 (Sans the ES hedges). This is the effect of vega on delta. I ended up day trading the ES to build more hedge. Every bounce I sold more, and then covered at specific points and resold over and over again to build it up to -14 ES shorts. I also added in BSHE and closed some units of STT.

I did sell some short puts right at 2835 EOD for a BSH factory and the market bounced to 2857 after close, those puts were then 80c cheaper. I almost closed them but didn’t. I don’t know what to expect Sunday/Monday but I am sure we’ll test 2825 and I’ll probably wait for confirmation of a bottom before closing off my shorts. If we break 2825 I’ll have to roll some STT and ride this thing longer than I hoped. I’ll be aiming to complete those 90 shorts to make 30 more free BSH on any bounce on Monday.

So I guess we find out what happens on Sunday. I am trying to analyse my portfolio and post it here but ONE data doesn’t work on weekends… I can’t do anything until Monday.

I think I am pretty solidly hedged and setup. I was profitable on Wed now I am down about 4%. It’ll take some time to get it back but time is on my side unless we have a Dec style slide down that doesn’t activate BSH, then it gets more painful as we roll and let time work.