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. ย 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 Antonacciโ€™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 ๐Ÿ™‚

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
T+35

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.

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 ๐Ÿ™‚ 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 ๐Ÿ™‚

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 ๐Ÿ™‚ 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 21 2019 (STT+BSH Trade Plan)

I just hit 18.5% for the year which puts me right on target for my expectations. I am hoping to hit 20% for H1 2019 (roughly 3.4% a month). I can compound monthly (and will) and after 3 years (36 months of compounding @ 3.5%) which should double money every 21 months..and 7x every 5 years ๐Ÿ™‚ Let’s see how it goes with diligence and trade plan following. So far so good. Within the next 7 days I’ll close off Aug and probably Sep and I may start removing Oct as I’ve already got some good profit in there. Then I’ll just wait for another vol event and rinse repeat.

I am in MTL right now for a few tournaments, I got 240/1535 on the first one which was a speedy tournament with very quick blind levels. Busted TT vs AJ right relatively close to the bubble. I didn’t cash but was damn close. By far the best I’ve ever played, it’s not even close it’s a different level then even the last round of play and all due to the coaching arrangement I have setup w/ Ryan Laplante and CLC coaching. I’ve learned a ton and confidence is through the roof. Getting next level in the game and ready to get cracking and finally get a final table within the next year or two. If I can get some good runs near the end of a tournament that would set me up. I got deep yet again here (240 out of 1535!) but just had a cold few hours and the blinds were way to quick. The main event is 3x less speed and the WSOP events are like 10x slower. So I should have some good opportunities with the WSOP main events, MTL main and marathons.

Oct 4 – Nice! A 1.35% down day!

Finally got some volatility.

I put on the following today:

125 ES Units of HS3 (Futures)
10 units of CC (BWBSTT) in SPX
20 ES units of CC (BWBSTT) in ES
105 ES short puts for the BSH factory
10 units of Rhino Dec
100 ES PCS ATM for Dec/Jan HS3s
Some KH in my SPX account

Yesterday and late last week

5 units of X4V14
Rolled up my CC longs for January by 100 points (nice timing!)
Throughout last few days I got on 20 units of BWBSTT in SPX

All of my Jan and Dec STT campaigns are fairly neutralized as I’ve harvested the lower part of the risk profile. Kinda love that. They still have loads of theta but downside risk is much more contained. I basically only have March STTs that have BS risk but I’ve got hedges for that.

In my ES account, I still have about 200 old HS3 units from Dec/Jan that are about 70% of profit target. I just sold some ATM PCS at today’s bottom to raise the UEl and get them less negative delta. Will be closing Dec very soon.

I added 125 ES units in March expoiration(67.5 SPX equiv) and I consider it an opportunistic trade as well as added some ES CC (STTBWB) and started the short selling for the factory. I have a factory started both in the ES and SPX.

Busy day today, the type of day where you work for your money.

Had some minor vol related draw downs but no big deal, temporary and extremely small. The X4 I put on yesterday was poor timing ๐Ÿ™‚ That thing is down about 3k. It’s funny, I can predict what my balance would be during a 1.35% down-day almost exactly as well as the rise in balance when we have a end of day relief rally (like now).

I do have about 105 shorts exposed on my BSH factory that was borderline ready to form yesterday (wish I had) but those Dec puts will be a magnet down in value if we get any bounce and as a week or so goes by. Once they are formed, I’ll have about 100 units of BSH formed for profit.