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.
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.
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.
I’m hitting (well above) negative delta limits on my current Aug ATM trade and am looking at ways to reduce it now that July expiration is over and that was providing me some positive deltas. It’ll get more and more negative delta as it progresses into the month so I’ll deal with it daily and continuously raise up that Upper expiration line. This trade represents a planned capital of 5,000,000.
I had the deltas in line a week ago but the reduction in vol and time passing has brought them quickly out of line. The BWBs in August are no longer giving a credit but would give some positive deltas and theta/risk. I think I’ll save those for a larger down day. We’re down about 0.75% today so I’ll have to start looking at PCS maybe even some call structures (call calendars or call BWB). I haven’t had to do that yet post crash as the bwb credits were sufficient in raising that UEL and eliminating upside risks.
I am looking at 3325 calendars, 3250 calendars (mixed) along with a 11 delta 75 wide PCS and I’ve already got some long ES to temp hedge.
So yeah, let’s go over the Aug position:
It is at -1450 or so delta and has pretty significant upside risk to the already existing profit of $125k. So we have to do something. We do benefit from vol release on up moves but it’s not enough. I’d like to get it down to about -700.
Here’s the trade looking forward 14 days
We’ve got massive theta, great risk reward if we get our deltas in-line and decent non-black swan downside risk profile. The previous expirations (from May till now) were a lot easier on the upside so this one will be a bit trickier.