Jul 30 2020 BWB+Fly Aug Trade Update

A nice pop in the p/l given the US is contemplating giving up on those pesky elections. Who needs them 🙂 Delta sitting comfortably at -800 and given the DTE, any moves towards -200 delta and I’ll just start peeling off the trade piece by piece removing risk as I go.

Sep BWBs are currently going for about 95c credit and Oct BWBs are going for about 2.25c. I’ve got loads of flies up in Sep so I can purchase BWBs against those but I didn’t get any in Oct yet so I’d have some exposure to downside if I get some of the Octs on. Not terrible given the deltas I’ve got built up in Sep so I’ll probably put some on today. Usually I like to start with the flies. It’s no different than just entering a rhino/bwb though which loads of people do without the fly hedge/combo.

It’d be a huge milestone to close the Aug at 500k P/L. It’ll call for some real nice champagne. But I won’t fixate on it, I’ll just manage that risk. Huge month so far and I think July is sitting at just over 7% P/L and Aug will likely be similar. Cannot complain and thankful the market keeps on giving.

Had a 30% year last year and I gather I’ll get towards 50-60% this year solely from the opportunities. The last few months, I’ve just been concentrating solely on building that long vol BSH up and trading these Rhino/BWB combos but it rarely takes much more than 30min a day, things are boring when they are producing. Many traders say you’ve made it and are barking up the right tree when you’re trading a system thus eliminating human factors and bias and subsequently the actual act of trading becomes boring. The latter part is true right now, the former isn’t based on a system per say but it will be once this environment ends.

Jul 27, 2020 – August BWB/FLY Trade Update

We ended Friday at a delta of -900 after adjustments and now sit around -1700. That shows you just how quickly negative delta you get with time even just the weekend. The position is hovering around 285k P/L so it’s seen an increase of 35k over the weekend. I’ll have to adjust the upside today and by Thursday this will be done with removals from the structure rather than additions to it. There is 25 days to expiration and I’ll aim to remove risks as we go from here until it’s a benign structure that can be expired.

Jul 24 2020 – The Big ATM trade update

Here’s an update on my big August trade that has about two weeks left in it. It’s starting to actually look like an old school ATM trade given the reduction in VIX and the lack of credits in 30 DTE or earlier trades. From March till June, credits were huge and upside risk NIL. Now as opposed to then, I actually have to use some upside adjustments aggressively.

I started adjusting for upside exposure during this little fall towards 3200. My overall deltas are sitting at -900 and I’ll close out the day at that.

Delta: -939

Theta: 21,956

Vega: -10,567

The position represents 5MM in planned capital and is sitting at 251k profit. I’ll dance this thing into Aug 7/8th and continuously remove risk and adjust. There’s a small chance for an extremely large payoff (the biggest I’ve ever seen) @ 1MM in 1 month. Reminds me of that show 2months 2million. Ridiculous but it is the environment and the opportunities. These types of trades won’t last. For now, I’ll happily let it beef up the account. I’ve got BS protection in case we have some sort of massive gap down.

Here’s the trade looking forward 7 days

Here it is where I expect to close it. It won’t look like this later as I’ll be constantly adjusting back and forth between now and then and the negative deltas will continue to build up as time passes

For a bit there, the VIX hit around 24 and it looked like the ebb and flow trade was about to get a lot harder but today we can now get a Sep BWB for $1.00 credit. So we’re still going for now 🙂 I got some on to offset the Sep position which I started with symmetric flies back at 3260-3270. I’ll be very happy if we can keep getting these conditions for the next 6 months.

In a large fall, and if we approach -400 delta, I’ll start to adjust for the downside and I’ll offset with some way OTM calendars in case of a bounce. I have two trading weeks left for Aug position which will get more and more negative delta and have more and more protection to the downside. If I am forced to adjust for downside next week, it means we went through 3150 area and to offset the nuance of continuously increasing negative deltas, I’ll use some way OTM calendars for upside protection while adjusting for the asymmetric risks on the downside.

I gotta say, I feel kinda lucky that I was also able to start the September position, I wasn’t sure I’d be getting the same opportunities with BWB pricing. Perhaps this continues on for the rest of the year re elections in Nov. Eventually I will move on to a 488 campaign, BSH factory, TAA and ATM at lower PC.

Jul 15 – Update

Given the events of February/March 2020, I had to re-evaluate risk and its presentation in each of the components of my portfolio. Though it was beneficial to add what I consider a god level data point for backtesting purposes, it was not fun to go through. It was the fastest decline and recovery in history. There is no tougher environment to trade through with complex non-directional options strategies. I ended up positive through the event despite the fact that things were broken in the market structure. Things happened that should not have happened. I saw things that I am sure I’ll never see again. This allows me to reconsider risk through what was one of the most market destabilizing events in history. This breaking of various markets and market components has given me a peek into what was naked when the tide left and allowed me to dig deep into my compositions and fine tune with risk management as the main motive. It motivated me to create a systematic approach to my base trades for entries, exits and adjustments. It took 4 months of hard work, but I’ve designed a system that accomplishes all of the risk management goals while maintaining returns that will compound better than before due to the reduced drawdowns. The key to this is maintaining global convexity despite being locally concave in risk profile. This means that risk where it is defined and quantifiable (local risk) while maintaining/financing the ownership of global convex risk on the tails. Short locally and long globally.

The more variant a portfolio is the more it impacts your geometric return. I have an edge, but if I am in extended drawdown, there’s less capital exposed to that edge. The less you draw down the higher your geometric return. It’s the power of compounding and is what Mark Spitznagel calls the volatility tax.  The big losses are all that matters to your rate of compounding. Makes sense right? Manage your risks, maintain an edge and let compounding do its magic.

My primary interest lies in the long volatility tail space and coupling that with localized complex option income production. Globally convex locally concave. The long volatility tail portion of the my portfolio closely corresponds to what Universa, Nasim Taleb and Mark Spitznagel research, it’s a convex payout on extreme market events. When you tie in global convexity (extreme payoffs in extreme events) think of the convex shape (shown below) with local concavity (necessary for regular income production), you end up with the best of both worlds. Absolute protection and income production on the tails (which are rare) coupled with regular income production locally.

The composition of both elements in the options space has benefits that are astounding as it not only gives you capital during turmoil but it protects both a traditional portfolio as well as one composed of options. You prevent event draw downs and have made significant returns that can be actioned at market bottoms. That effect is exceptional. The combination of long vol with a traditional income strategy is what allows for the highest geometric return profiles.

Coupled with the long vol tail hedge, I’ve worked on systematizing the income strategies that are completely mechanical in nature. There is no room for human bias. I worked out a mechanical system that has no decision bias in both the long vol component as well as the income production component.  It prevents the human factors issues that can cause mistakes and under performance. 

We’ve got so many great data sets now, we’ve got the vol events of Aug 2019, the bear shocks of Oct and Dec 2018, the volmageddon of 2018, the time skew issues of Aug 2017, Aug 2015, Jan 2016 and so on. We’ve got a plethora of data. The period from February to June of 2020 used this data to do a deep dive into restructuring the portfolio and analyzing its risk factors. It was long, arduous and sometimes frustrating when you realize that everything has risk and the only true way to eliminate or minimize is by true diversification. 

The lock down forced me to work long hours daily to re-evaluate my systems and to fine tune a new system setup. This was a period of heavy backtesting, reading, daily hour long phone call discussions with a trade buddy, trials, and analytics.  I left no stone unturned even exploring things I would normally say was trade style heresy. The main discovery is the need for systematized approach in all base core strategies. The management is systematically rules based. My entire portfolio will follow this tenant. It’s a minimization of human factors. As Jerry Parker puts it :

“We are not really interested in people who are experts at the french stock market or german bond markets due to technical nature of trading…it does not take a huge monster infrastructure: neither Harvard MBAs nor people from Goldman Sachs…I would hate if it the success of Chesapeake was based on my being some great genius. It’s the system that wins., Fundamental economics are nice but useless in trading. True Fundamentals are always unknown. Our system allows for no intellectual capability.”  Jerry Parker

Related to the above statement, I’ve had a realization to systematically use quantitative analysis and trend indicators to manage trades with respect to risk, entries and exits. QA gives me a way to manage the trade risks systematically while keeping me on the right side of the market trend, it’s what the university endowments use and it’s what Jerry Parker helped systematize in the 80s and 90s. I am using it to err the trades in the direction where the sum of the quantitative analysis points us.  The delta adjustment range is -3 to +3 per unit. If it’s a bearish trend, we’ll keep it in the -3 range and if it’s a bullish trend we’ll keep it in the +3 range. Lastly, it lets us know when to exit trades. If we use Vix/Vix3M ratios, force index, OBV, ATR expansion etc we can avoid every major event in the last 10 years. I have now incorporated mandatory exit signals. If the signals do not show and we have a black swan, that is protected as well because of our long vol component.

It’s important to have a system that removes emotions and biased decisions. It removes human factors and that gives you something that’s concrete and sustainable. Decisions cause fatigue especially when tied to large money. Through the lock down, I tried investigating several things with an open mind, including taking advantage of zero day premium trades (PR hedgies)  and cycle indications trades. This led me to making polarized decisions on an hourly basis. That’s not sustainable, it’ll exhaust and it’ll burn out. It solidified my requirement for a systematic rules based core portfolio. You can adjust/fine tune the rules but you cannot disobey them once they are live.

Aug 23 – Less Talk more Rock

Less nuanced talk…

After reading my previous posts, I realised just how nuanced the language is and how it’d be only relevant to a few people which got me thinking that it’d be interesting to try to explain all of this in terms non-complex options traders could understand. I mostly write this blog for myself as a record of my thoughts, plans and actions as well as for entertainment and perspective differences for all the crew in the mastermind group.  

I guess I’ll start with where these ideas came from and what the style of trading is.


We’re a group of people that came together with vastly different backgrounds and strengths. It all sorta started when Emeric and I formed a Rhino trading Skype group back in 2015 that ended up attracting hundreds of people, including Ron Bertino (the founder of PMTT). That ran for a few years and Ron ended up taking over the admin portion of the Skype group (I can barely keep up with a travel/trading blog let alone managing and admin’ing a large Skype group) and eventually we all moved over to slack via the newly established PMTT group. Most of us have been working together for the last 4 years trying to explore and tackle the dart arts of “out of the money” complex options trading.  We are a vastly diversified experienced group that includes quants, some professors, some fund managers, some managing 10s of millions of their own money and others are straight up small retail traders and even others that barely trade (Delayvis) and are mostly in it for the intellectual challenges. The area that we are dabbling in was quite unexplored and very nuanced. We’ve had our ups and downs and certainly had our egos kept in check with a lot of explorative strategies that went sideways after much research. Why? I explain below.


Many of our models fail or ideas failed and the current modelling software available still hasn’t done a great job of predicting risk curves and market responses. We try to remove or mitigate most of those risks (Out of the money options risks) as well as modelling differences in an effort to capitalise on this alpha (the additional return). The alpha mainly comes from the premium in the markets (the need for insurance from big portfolios etc) as well as being one of very few groups likely exploring the areas we are exploring.  When we started in 2015/2016, we only had end of day data for options from 2008/2009 and on and really the only testable data was 2011+ with incremental hourly data.  This means that things we’d test really had very limited data sets and when you got into super complex positions though they’d test well and the modelling software would show reasonable profiles, they’d eventually get busted up in live trading. This constant evolution coupled with the fact there are very bright minds in the group has bolstered the testing, strategies and executions to where we are now. It’s eliminated a lot of types of trading and eliminated a lot of the unknowns that we experienced previously. Out of the money options trading really is a dark art like I mentioned at the beginning. We do have a lot more data now in tumultuous periods like (Feb 2018, Oct 2018, Dec 2018, May 2019 and Aug 2019).

So what are we really doing at the very basic level?

We’re insurance salesmen who also insure ourselves. That’s it.


Options can be thought of as insurance. A person can buy insurance at any level in the market (known as the strike). Someone might say I only wanna lose 2% max in their portfolio and they can purchase insurance 2% below the money. Another might be comfortable with a strike 10% below the market and they can purchase insurance 10% below the market and so on. If the market is at 2900, you can buy insurance at 2895, 2890, 2875 and so on.  The prices of insurance vary at each strike. Now as we all know, insurance prices in any industry has some fixed things in the pricing and a pricing related to risk (is it likely a hurricane is coming, pricing goes up!) this is the same as “fear” when related to market insurance.  As you can imagine, each price of each level of the market can vary in how it responds to an event in the market. The 10% below market has a “fear” portion as does the 2% strike and this amount can vary for each strike based on market pressures not only at the time you put it on but how it reacts to any event.  This is kinda known as skew.  It’s pretty much unpredictable in any real sense except when it gets stretched or abnormal you can expect a reversion to mean eventually.  Also, every insurance contract has an expiration date. The closer it gets to that, the less value an insurance contract has until the risk portion of the premium gets to zero at expiration. That’s our theta (or the average amount the contract will lose every day (we gain) with all other things remaining the same).  So we sell insurance for a premium but we also buy insurance in this complex setup of contracts that creates a risk profile graph. All of the positions we enter will generally have a positive theta (a time based deterioration of value that benefits us). For instance, my current portfolio has a theta of 11.5k a day. Which is on the high side but that’s because we just came out of a high volatility period where the premiums got jacked up and now we get the benefit of it having to come out before the contracts expiration date. I can expect to gain that over time and on average every day but if we have a super negative tweet from Trump about the trade deal, I can expect to take a hit on my account because my trade also has what’s called negative vega. Which is it responds negatively to volatility. Generally, a positive theta trade has negative vega. My negative vega is currently 100k!  If the volatility in my options go up 1 point, I can expect to take a temporary draw down of 100k. This is the price we pay as risk brokers. But! as you can imagine, as time goes forward, there’s less and less days in the contract and less and less vega can affect it. Vega acts on the time portion of the insurance contract. That’s not considering weighted vega effects re OTM but that’s for another day. Just speaking in generalities.


Options can be thought of as insurance. A person can buy insurance at any level in the market (known as the strike). Someone might say I only wanna lose 2% max in their portfolio and they can purchase insurance 2% below the money. Another might be comfortable with a strike 10% below the market and they can purchase insurance 10% below the market and so on.  The prices of insurance vary. Now as we all know, insurance prices in any industry has some fixed things in the pricing and a pricing related to risk (is it likely a hurricane is coming, pricing goes up!) this is the same as “fear” when related to market insurance.  As you can imagine, each price of each level of the market can vary in how it responds to an event in the market. The 10% below market has a “fear” portion as does the 2% strike and this amount can vary for each strike based on market pressures not only at the time you put it on but how it reacts to any event.  This is kinda known as skew.  It’s pretty much unpredictable in any real sense except when it gets stretched or abnormal you can expect a reversion to mean eventually.  Also, every insurance contract has an expiration date. The closer it gets to that, the less value an insurance contract has until the risk portion of the premium gets to zero at expiration. That’s our theta (or the average amount the contract will lose every day (we gain) with all other things remaining the same).  So we sell insurance for a premium but we also buy insurance in this complex setup of contracts that creates a risk profile graph. All of the positions we enter will generally have a positive theta (a time based deterioration of value that benefits us). For instance, my current portfolio has a theta of 11.5k a day. Which is on the high side but that’s because we just came out of a high volatility period where the premiums got jacked up and now we get the benefit of it having to come out before the contracts expiration date. I can expect to gain that over time and on average every day but if we have a super negative tweet from Trump about the trade deal, I can expect to take a hit on my account because my trade also has what’s called negative vega. Which is it responds negatively to volatility. Generally, a positive theta trade has negative vega. My negative vega is currently 100k!  If the volatility in my options go up 1 point, I can expect to take a temporary draw down of 100k. This is the price we pay as risk brokers. But! as you can imagine, as time goes forward, there’s less and less days in the contract and less and less vega can affect it. Vega acts on the time portion of the insurance contract. 


Let’s give an example, lets say I sold insurance for hurricanes pre hurricane season for 5k and it expires in 4 months.  I take on all the risk of hurricanes and I get 5k to do so. If I wanted to offload my insurance contract to a re-insurance group. What would I sell it for?  Well if I had 3 months left, I’d probably say hey I’ll sell it for 4k (pocketing 1k) because there’s 1 month less risk. What if there was 2 weeks left? Well, shit, I took most of the risk and there’s like only 2 weeks left, I’d sell it for say 500 pocketing the 4500. That’s theta in a nut shell. BUT we gotta figure out what Vega is! Let’s say there’s 2 weeks left but news just came out, there’s a hurricane barreling down towards us. its a 15% that it’ll hit, what do I sell it for there? Well there’s 2 weeks, we got a 15% chance, so it’s definitely higher than the 500. That’s vega.  What if it was 50/50? Vega would act on the 2 weeks even more. But as time ticks, every day the vega effect is less and less.  What if we had 3 months left and we got a report that it’ll be a very active hurricane season?  Well, that would probably put me in a loss position for the insurance I sold 1 month earlier.. but only temporarily. Vega and Theta are interlinked. 


It’s kinda a fun game.  For instance, lemme go through what just happened to my portfolio in August..


I was pretty much entering in low vol which really wasn’t what I wanted to do but I wanted to keep the theta coming in, and I wasn’t yet convinced about exploitative STT trade entries. I understood any transition to higher volatility would bring on draw downs (though usually temporary).  I sold insurance when no hurricane was on the horizon, just trying to get the basic premium present in a non fear market. However, I was only like 40% invested. I saved the other 60% for higher vol entries (opportunistic).  Then came the first move from 3020 down to the mid 2900s. I slammed on some since it was the biggest down move we had since like May. Then I fist pumped slammed even more on when we touched 2920/2930 area (the forecast was suggesting hurricanes were kinda possible). VIX was still relatively low, but off the lowest of the lows. That means that the insurance premiums I got were meh but OK.  Probably VIX (vol index) 16.  Then came the down move of the first weeks in Aug. Skew/VIX acted a bit weird (An expectation of that a hurricane was coming). The insurance I sold went up a lot in value (a draw down) but my black swan insurance barely activated (the hurricane didn’t arrive to activate the swan insurance but the fear was maxed out) thus I had a temporary draw down of about 7-8%. Now, usually on moves like this, the BS insurance activates a bit more. My expectation is that any further large down move it’d kick in and we’d start going towards even…but I am concerned (as mentioned in my last post) about how the volatility regime has changed and wondered if there is a path where the STT can continue down in PL and BS doesn’t activate.  In either case, it’d be fine just a bit stressful. If it continued down and BS didn’t activate, I’d roll the structures, I’d probably have a max draw down of about 10%. The new STT would be extremely juicy and extremely resilient being very very very far below the market which is a great thing but we wouldn’t b feeling so great here being down 10% on the roll. As vol subsided and time moved on, I’d eventually get profit out of it and of course correct the draw down. No-one likes a draw down and it feels like crap so it’s not like its ideal. The more ideal situation is that of the older vol regimen where we’d have spikes down and large VIX reactions that put as at break even and we just roll and work the market. If the market continued down even after the roll, we’d have not that much trouble even towards 25% from peak (very rare), I’d likely have to roll again and surely at this point the BS would have activated at some point.  It’d take a few months but we’d recover but mark-to-market would have some swings. 


So anyways, OK, not the nicest feeling but I was up about 30% for the year so it’s not terrible and this is the fun part since we can make most of our profits from rebounds on these types of falls as the majority of our premium and potential is closer to the insurance tent in the risk profile. Then I can convert it into a hedge and wait for more vol spikes


So now at this point, I realise that any pause or stoppage in the fear will bring a quick rebound in P/L and every week of market indecision (and no further crash) is closer and closer to expiration and less and the less Vega can affect (and the more theta converts to my profit). But I also realise that I have to start looking at heavy rolling and risk management because the vega and negative delta is getting steep. So on the first rebound, I add bearish STT (a mid way hedge) and I roll my closest STT as well as short ES.  All of this is a cost but on some down moves, I start selling PCS to convert part of the bearish STT. All of this is a cost…but its largely offset by the fact that we’re in a juicy area of the original trade if we get some vol relief.
One week later I was down about 4% from a draw down in the fear spikes of 7-8% and then just days after that I was profitable on the Wednesday( fed meeting). IE my entire portfolio trade was up about 65k from Aug 1 which is great given the events that transpired. I’ve got a load of hedges still on that compliment the risk profile. The risk profile I posted includes all hedges (Except the Black swan hedge).  Now yesterday was a slightly different story. We had a change in skew (the volatility portions of each strike changed) and I had a draw down to about -7k on the trade but does it worry me? NOT AT ALL. It’s a reaction to the fact that we have an important event on Friday (one being Powell speaking at 10am) and the fact that we didn’t have continuation in the up move. Skew and vol reactions w/ out market moves are generally temporary in relation to the specific structures I trade.  So an area where I sold the insurance either went up or the area I bought went down. Pretty much it. But its all temporary.  If we move up today, we get weekend theta and moving into next week is 4-5 more days of theta and less ability for vega and skew to affect. I predict I am back at the highs pending no big move by end of day today, I’ll post my graph either way to see.


Either way, now its a fun time of having the clock tick and getting further and further into our trade letting it mature. By sep 9 ish, my trade will have a matured risk profile that doesn’t mind more larger falls and starts to become more and more of a hedge profile as I massage out risk and take profits. My aim is to get it to about 250k before I go away. That’s sick. Yes, these trades mature every day and become not only more and more resilient but they also get massaged into hedges for newer trades that have a lot more time left.


Here’s the thing I realised, I tested just entering these trades on massive fear spikes (IE selling when the hurricane is barreling down). This happens a few times a year (probably 4-6x with Trump) and it eliminates most of the risk and has the same return as if you entered monthly (always on). You can do 15%-20% on capital and if you get a few a year, that’s 30%-40% with much less risk, draw down, stress, management and time in market. 

So yeah, It’s a risk game where we syphon out the premiums on insurance.


The most common setup we use is known as a broken wing butterfly. Which is defined +1/-2/+1

Jun 12 – Update

Long ass 6 days of poker. I was able to finish 150th out of 8,809 in the WSOP (World Series of Poker) Millionaire maker. Pretty wild, 5 of 12 of us in the coaching group finished in the top 150 the other 4 were pro (coaches). Pretty wild result and testament to the studying. I am utterly exhausted. It’s been 12-14 hour days and there’s no chance I could play any more tournaments right now. I busted the 1k and marathon pretty quickly and entered a 1k in the Venetian which had a fantastic structure and though there was re-entry I think I made a few mistakes that was telling me I was fatigued.

Hand 1:

I’m CO, I open 56hh to 1600

BB raises 4,100 so I call given size

Flop AA7h

He bets 1/4th pot. I call

Turn 8h

He checks. I think to myself that he’s most likely missed and unlikely to have an ace given the sizings of his flop bet and he insta checks turn so I pot it (stupid) to fold out everything else in case I miss the million outs on the river. He jams…Ugh oh. Now I am forced to call w/ those million outs… I miss (no 9 or 4 or heart). I also thought I had much higher equity in the pot but I didn’t and I should have checked back and folded a missed river. Too high variance in a weaker tournament.

I should have checked behind and c/f on a miss. I forced myself into an all-in pot with a pot sized bet.

Hand 2: AA MP

I raise and BB calls

Flop is 873 rainbow

Check, I bet pot, he min click raises back to me. I jam for the remaining 25bb. My initial gut was that I was beat and I could make an exploitative fold but then thought that was nuts on a 783 board with AA. I’d mandatory call the min-raise and probably a small bet on the turn and fold rivers if he triple barrels. I wouldn’t normally jam here and it was a rec player so a min raise back is probably pretty strong. I call one all day long here against anyone else but def not jamming. Instead, I think that I can get max value out of all pockets lower than mine and any pair of 8s and jam. I am obv wrong and I end up with 30% equity against 78 two pair and missed. Way to borderline a spot to get it in. I doubt rec player min-clicks back like that with anything worse. Maybe a small pair but I block A8. He has all sets and two pairs. Meh.

Not a whole lot going on with the trades. The run-up makes things boring (though tonight it seems like we’ve had a bit of a market fall). Might make for some STT opportunities tomorrow.

I am stuck right at about 24% and I don’t have a whole lot of opportunity for big increases until I can get on more trades.

Jun 6 Trade and Travels update

My account is at 24% as of yesterday. A big increase and I removed all of my August trades throughout this week. I have September expiration which I’ll remove next week grossly above profit target but neutralized. October is also just above profit target so I may have to remove that next week as well. Normally, they’d be removed right away but the downside room is incredible and it’s got a profit tent built and my theta ratio to margin is still good. I am going to remove soon but I’ll give it another 7 days. Not much exposure now and locked in loads of profit. I have significant ability to take advantage of more vol if it does happen. Else, things can slow down again like it did in April. Profit comes in bunches during higher vol times. The majority of my potential profit came in the last 4-7 days so I doubt I’ll have the same trajectory through the remainder of this month. I’ll be happy to end around 25-26% for H1 2019. We had some vol but it came out on this gigantic move up from 2725 and that is the majority of my P/L increase. That 25% is on actual capital I have in total in my account. That’s pretty damn good. The thing that I am noticing is that since I put on STTs in every expiration on higher vol days, is that I end up with 4-5 expirations that the older ones act as medium hedges to the newer ones. In all of the vol we’ve had in the last 6 weeks, I’ve just been going up and up and up in P/L. If we had significant moves, they’d be fine because of the BSHs. All in all, I am loving how multiple expiration and maturity of STTs interact with each other.

I’ve been in a whirlwind of traveling since May 29th. I started off in Montreal which got a bit messy. I had some friends visit me and we brought our nanny so for a few nights things got a bit out of control especially given the fact one of our favourite bands was in town 🙂 Suffice to say it was a bit indulgent. A few days after that, I got to play a few poker tournaments there which went well in terms of applying the recent coaching etc but just didn’t have the luck deeper in. Next up is WSOP Millionaire maker tomorrow.

After MTL, I headed to Ottawa to do a whole slew of meetings for my software licensing business. Those ran long but we hashed out our future pathways. It was very productive and everyone got on the same page after hours of board room meetings. I have the best partners you can ask for and given we’ve been in business since 2004, we’ve never in all that time not ended up on the same page after a face to face nor have we ever had emotional disputes. I guess we’re all lucky, as I have heard other companies can have nightmare situations. I am fortunate to have good partners.

I ended up quite tired after the week of partying and heavy meetings. We stayed at this awesome airbnb house on the Gatineau river where I tried to recoup for the next leg.

After Ottawa, we met with a private educator in Toronto to see if we get along. We’re using next year as a year to get our kids top notch and ready for the real world and ready to apply for competitive private schools. They’re currently in Montessori and its just not cutting it. My daughter doesn’t thrive in a Montessori environment. Long story short. Lemons making lemonade, use the year to travel w/ a private educator and use the year as an opportunity. Soon come, the kids will be older and it won’t be possible to travel.

Then my wife and I departed Toronto sans kids while the kids left w/ her sister to Cayman. We upgraded our flights and flew to Denver and spent two days there. Awesome town but def some sketchy areas. We had to call the police because a guy was dying in the middle of the road (this would be the second death we seen on this trip face to face……) Horrible to see. We had some pre-wedding parties to attend and ended up having a pretty good time. We rented a car and drove 5 hours to Moab for a glamping wedding. Was awesome but again my liver is suffering a bit. We ended up sky diving which was the highlight of the trip.

After that we drove to Las Vegas for a night and unfortunately saw ANOTHER dead person on the side of the road….we checked the news after and they’re still investigating it as a potential homicide. Horrible thing to see, still see it in my head. Was very close to where we were (right on side) saw it clear as day. Death is apparently following us….

We spent a night in LV and had an awesome dinner and got an epic suite. It took about 6 hours to get there from Moab. We left at 8 and arrived around 2pm. We were just stopping through on our way to LA for our final leg together (which ends today).

In LA, the first night we went to the Laugh Factory and were so luck to have stumbled upon one of those surprise unlisted guests (George Wallace) who free styled and actually crushed it. Was one of the best experiences I’ve had re comedy. Super lucky. We were right up front too. The following night we decided to go and spend time in the room where comedy goes to die (The Belly Room) and again had an awesome time. We’re staying near Santa Monica Blvd in the gay district and it’s coming up on the 50th anniversary parade so it’s high action. I get loads of compliments while walking with my wife. Love it lol. The wife leaves tomorrow early for Cayman and I stay for 4 days to play a few WSOP events (I’ll drive to Vegas from LA tomorrow). I miss the kids way to much though now as it’s been 7 days so I’ll be looking to book an earlier flight on any bust out. But I’ll be back with the family Jul 1 for the main event.

May 22 (Trade Plan)

Busted the tournament in Day 2 (200th out of 529). Ran into another damn 3 outer that crushed my stack and that was the start of the end. Exiting main hurts bad every time. I had managed to get my stack up 50% for the day. Felt good, near average. I had AQspades SB vs BTN. He raised PF in the BTN, I three bet in the SB and he called mandatory with K7s. the flop had a K on it with two spades. Check/Bet turn is an Ace, he checks I shove..he calls and hits a 7 on the river. If I had won that I’d have been above average and ready to compete for the end. I’m always super emotional after a tournament (When I bust to these ridiculous hands) after having put in hours and hours of concentration. The good side is that my game has never been better, I’ve been playing really well, I have confidence in the game I am playing and I guess eventually it’ll work out. I guess I got two day 2’s out of the trip. I busted the 1k with a BS hand as well as I previously wrote. That was 240 or so out of 1540…..One of these have to damn well connect. It’s never about the money, its all about the competition 🙂

When you’re early in the tournament you’re usually not at risk re your entire stack. It’s the day 2/3 when you need a few 80-90% EV hands to not run bad on you! I get it in with the best of it and just get run out of. I am running bad. I haven’t been able to get it in positive more than 1 time in a row deep in a tournament. Unfortunately, you need 2-3 good hands in a row to chip up and if I don’t get these I can’t win. I mean AA vs AK in 2018 vs Ryan Reiss, I had KQ on KQ8 in the barcelona to exit to 88. Or A8s vs A2o in the Barcelona main only for him to hit the 2. Blah. Any one of those 5-10% go the other way, I’d be deep running.

My trading account is hitting about 19% today which is the only positive thing today 🙂 I removed most of my Aug trades today and have dry powder. I was able to get 60 short puts sold for my factory but I wasn’t able to get on more STTs today which is annoying, well maybe not, there’s 10 min left in the day, maybe my orders will fill.

Off to Ottawa tomorrow for a comedian show and some meetings. Then I am making my way to Toronto and over to Moab for a wedding. The next tournaments will be Vegas WSOP. Let’s see how those go.

May 14 (Update 2) – STT, Long term base portfolio and travel plans

Yesterday at about 2803 I was able to sell puts for my factory and in one single day I am now able to form a BSH for profit (free + some). I got 30 units (90 short puts) on within 8 hours. Epic.

I also started the equities portion of my long term portfolio as my base (I did a combo from allocate smartly that has a historical of 10.4% annual with a max draw down of about 6.1%). Good base portfolio. Today I got the treasuries/bonds portion on 🙂 good timing. I will now let that run itself without messing about. I had it on at 2940 area but didn’t like the timing re the heavy portion in SPY so I closed it at the highs 2949 and now just re-opened. It was more like a mulligan, my plan isn’t to mess about with it and I won’t from here on in.

YTD is now 15% (3.35% a month) and that’s on actual total equity. Nice!

I am going away for my next portion of the summer/spring vacations. I’ll be starting in Montreal for the party millions event and I’ll make my way to Ottawa to meet with my programmers in development office and then take in the Iliza show (for my wife). After that it’s on to Toronto to check out the start of my new house build there and then make my way to Moab for a glamping style wedding and after that…. Vegas for the WSOP!

In preparation, I’ve closed off most of my older STTs, cleaned up the account and prepped ONE. I have on some Aug, Sep and Oct with margin available for another 100 or so units if we get another vol spike/decline. The Aug is acting as a hedge to Sep and Oct but also has the most theta of all three months. October is now profitable (+11k) as predicted it would be by end of week.

May 14, 2019 – Trade Plan (STT BWB + BSH)

I ended up closing out my Jul 18 and Jul 31 STT remnants at a pretty awesome profit. I am left with August, September and October. The Aug and Jul ended up acting as moderate hedges to the Oct/Sept expiration which actually put my balance higher through the modest volatility events last week and put it right positive in the past two days. I am on target for a 20-22% H1 2019 and will end June at around 17%-18%. Exactly as predicted and planned.

That’s the beauty of running these in expiration campaign style. The older ones protect the newer ones and everything just meshes together perfectly. The older ones will hedge the 3-8% drops as you fall right into their built up profit zones and anything greater than 8-10% will be likely covered by the BSH OR you’ll have time to roll (if it was a slow grind) either way you’re good and only dealing with modest drops in P/L. Feels like a beautiful well oiled machine now.

I am not straying or considering much else in terms of trade types for the main portfolio. I want a clean year of just STT+BSH and I want to be a master of just one main trade type. I doubt I’ll deviate much other than finding more efficient ways to adjust.

All in all a good year so far.