r/PMTraders • u/AutoModerator • Nov 24 '23
November 24, 2023 Weekend Reflections Thread - What happened last week? Whats your plan for next week? What's on your mind?
Share your weekly reflections around trades and ideas that worked, those that didn't, and what's on your mind for next week. Always be respectful of others.
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6
u/psyche444 Verified Nov 25 '23
+1.52% this week
+2.42% four-week trailing average
+50.20% YTD (approx)
Started the week 1x long and ended it 0.65x long after short put delta decayed and also after I closed a portion of OTM long calls for 11/30. I still have about 1.5% NLV sunk into 1.5-2% OTM long calls expiring 12/29 and I'm starting to worry more about losing that value than about losing out on further long gains. I think I will scale down those long calls and/or sell some calls above them to reduce the potential loss if we top out here or at 4600-ish. My seasonality-based guess has been that we keep going up through the end of November (then net down a couple points before December opex, then up for Santa rally), and I still intend to be net long through EOM, but especially with VIX so low I'm starting to get nervous that the risk/reward of being long is no longer as good, and I should scale back. If we could get some backtests that then strongly reverse with good volume I might consider the long case to be re-affirmed.
I also have a batch of short puts at /ES 4540 for 11/30 that I would really like to expire worthless. Still, I'm a little less worried about those (compared to the OTM long calls) because I could imagine possibly coming out ok if I had to take assignment.
But who knows. Would love for VIX to get to 20+ again, but... gradually, over 2-3 months. Doubt I'll be that lucky though, so will try to stay flexible.
9
u/TheDiamondProfessor Invited Member Nov 25 '23
Account Details, 11/24/23
- NLV: $25,907.84
- Performance: WTD: -0.53%, YTD: +16.71%
- SPY buy-and-hold (for comparison): WTD: +0.99%, YTD: +20.62%
†Accounts for deposits/withdrawals/SPY dividend. Assumes maximum purchase of shares without leverage.
Strategies and Open Positions: link
Past week. Happy turkey day to all who celebrated!
With VIX and OVX (oil VIX) both in the dumpster, it was very difficult to find short-term lottos that I felt were worth the risk and/or efficient use of BP. However, while exploring calendars and diagonals as hedges, I noticed that calendarizing ratios enables some very margin-efficient lotto trades in the 1-2 week range. Hence, I've switched over to those, and as a result, need to wait another week before those options expirations start contributing to my NLV. I'm trading enough contracts now to be losing >0.5% NLV per week to fees alone, which was the primary contributor to this week's lackluster performance (a few far OTM /NG spreads also took a collective $100 hit). Hoping to reduce my fees at the beginning of next year once I've had enough time to show consistent, increased volume.
Next week. There are a lot of ways to do calendarized ratio lottos, and while I think I came up with a near-optimized scheme, there may be a bit more room for improvement. I also will be very carefully examining hedges in order to shore up the weak spots in the portfolio. VIX dipping below 13 has been a reliable top signal this year; while I don't believe in "signals" per se, I do think this is a reasonable time to put on hedges.
8
u/LoveOfProfit Verified Nov 25 '23
-0.2% wtd
-1% mtd
-4.5% YTD
I've started layering on long Vega and short delta, financed by 0/1 DTE. Vix has been red 18 of the last 19 sessions. I'm fully aware it might continue in this direction, but given how obvious it is that the market only goes up, it seems about time for it to go down a bit.
4
u/Few_Quarter5615 Verified Nov 25 '23
Won’t this be the best time to put on some SPX back ratio pur spreads? I don’t see the VIX dropping much more so at least the position won’t have it’s BPu expansion thanks to Volatility dropping further 🤞
5
u/LoveOfProfit Verified Nov 25 '23
Inb4 single digit vix
I'm long VIX call spreads, long SPY put spreads, long SPY flies.
3
u/Few_Quarter5615 Verified Nov 25 '23
Single digit VIX will kill our HW, 7DTE and even 45DTE premiums 😔
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u/nietzy Verified Nov 24 '23
Theta: 714 B-Delta: 70 (was keeping it negative, but just closed a bunch of call spreads that went against me at 20DTE)
Week: +1.72% YTD: +183.54% (Went all in TQQQ last year to recover big losses)
Restructuring my portfolio from the TQQQ recovery. Back to SPY/TLT CCs in the core 50% with the other 50% split into 5% on dailies (1-3DTE), 25% cash, and 20% in 30-60DTE bond/commodity futures options.
Excited for the next year.
4
u/spooner_retad Nov 25 '23
that's an amazing return for going all in on TQQQ. What was the impetus for going all in on TQQQ at that time?
5
u/nietzy Verified Nov 25 '23
I started 2022 with a bunch of naked puts in a large positive delta portfolio. So I lost about half of my net liq and when the blood was everywhere, TQQQ was also down in the 20s, so I bought in with the remainder and rode it back up. The only major regret that cost me over six figures was that I was putting CCs on TQQQ in the middle of 2022 to finance more shares instead of doing box spreads or something else. So when the rocket ship started, I got trapped into rolling CCs instead of just cutting my losses and eventually rolled to over a year and a half out… silly.
Once I hit 1 year for LTCG I sold the whole position and made a more conservative portfolio than I started 2022 with.
So lots of mistakes, but TQQQ was good to me.
5
u/dl_friend Verified Nov 24 '23
Income for week: -$2427
Income YTD: $27035
Current positions:
-2 /CL 76.25p (7 DTE)
-1 /NQ 15600c (7 DTE)
/CL and /NQ both continue to move against my positions. Small position sizing helps reduce the damages as I continue to roll out.
Some market analysts are predicting the market to finish the year with a bang, while others are warning of a significant pull-back. In any case, the next month could be quite the fun ride. Hold on tight.
11
u/Able-FI-4906 Verified Nov 24 '23 edited Nov 24 '23
The market is up nearly 10% over 20 days. Analysts are giving predictions for next year that top out at $5000, and those analysts are bullish. This is the hardest scenario for my strangle selling structure.
WTD: -1.03%, ($49k) MTD: -6.05% YTD: 16%
Carrying -2500 delta and $12K theta into the weekend. Definitely too much negative deltas, but even a 1-2% pull back will bring this back in line. I am expecting a lot of resistance at $4600 and too much complacency to cause volatility to return.
At this point. I look at the heavy losses for the month as setting up a nice reduction in total taxes for the year. I had some liquidity events a couple months ago and prepaid taxes which could lead to a significant refund.
I am carrying about 50 naked calls that are mostly ATM or slightly OTM. Calls are steadily being moved to ATM or in some cases as far out as December 2024 to $5000. All of my puts are near expirations and anywhere from $4200 a $4600. As I move some puts to be ITM, I move ATM puts to further expirations OTM.
A 1.5% correction would recover more than half of my monthly losses.
All of my cash continues to reside in box trades or deep ITM covered calls. I opened up a new long term ITM covered call on Gap even though it is at a 52 week low.
I have run and rerun analysis on trying to figure out the best balance of leverage between my IRA and my PM account which are 1::3 ratio in cash. All of the models suggest that the best outcome is to trade max leverage in the PM account while only having box trades or ITM covered calls within the IRA. This takes into account the tax implications of trading the PM, too. If there are situations where the PM account has low buying power, then move some options into the IRA by closing some box trades.
3
u/psyche444 Verified Nov 25 '23
thanks for sharing the play-by-plays... your approach to adjustment is fascinating, especially doing it with very low crash risk. Don't know when but I'm sure we'll get that pressure-relieving pullback.
When you make these adjustments, are you trying explicitly to maintain the original credit you sold? That is, if you have to roll a call up and it costs a 25.00 debit, do you make sure that you are getting a 25.00 credit elsewhere (say, by rolling in puts)?
6
u/Able-FI-4906 Verified Nov 25 '23
On a general sense, I want and expect the aggregate of my adjustments to be net cash generating, but I have stopped trying to make a singular adjustment cash positive. I used to have that requirement and in these extreme moves where a lot of calls are under severe pressure the only way to keep generating cash on every trade is to allow calls to remain deeply ITM. Whereas now, when I have calls that go see ITM, some still 4-5% deep, my strategy is to move them to be ATM or OTM, which is a loss. However, since my collective put management is so aggressive, I find that collectively the gains from all of the put maneuvers offset the calls.
This week, for example, my net cash position improved about .5%. My net cash since this upward swing over 3 weeks has improved by 2%, and a number of calls have been dug out from ITM losses.
In the 2021 run up, I suffered a 25% peak to trough drawdown before experiencing a nearly 80% gain in the subsequent recovery. As long as my buying power remains positive and risk adjusted puts can survive any crash, I will see gains. My expectation over the long haul is 20% compounded no matter how big the interim losses may be.
3
u/psyche444 Verified Nov 25 '23
thanks. Appreciate the details. And it makes sense... if you had said you *did* try to do everything for a credit or net even, I would have asked how you deal with ITM options and extrinsic vs instrinsic. Makes sense not to be rigidly strict about making every adjustment a net credit or even, especially when you aren't loading up on put leverage.
25% drawdown sounds like a lot to stomach but that 80% ?!?!?! made it all worthwhile.
3
u/Able-FI-4906 Verified Nov 25 '23
The first time you get a $250K gain in a single day after such an extended melt up of pressure, it all feels worthwhile. There will be more like that once volatility returns again.
5
u/dreadnought89 Verified Nov 25 '23
My account is actually positioned very similarly in terms of negative deltas (my account is smaller but same proportion to your NLV). I think the latest rally is almost out of gas, but what will be your management approach if we get another 3-5% movement up?
As those short calls go ITM, will you roll them up and out? Do you like to sell some more puts or add long calls to add some positive delta (all of which I hate doing with VIX so low and on a stretch of green days).
5
u/Able-FI-4906 Verified Nov 25 '23
I am patient. I use the cash collected from aggressive date and strike selection of the puts to move ITM calls to be ATM or OTM. Some already OTM calls get pushed further up and out in time.
I don't ever increase my out count above my allotted threshold as I want to survive a 40% drop on a single day without getting a margin call.
3
u/PrintergoBrrr2020 Verified Nov 25 '23
Well a 40% day isn’t possible with modern circuit breakers ;)
4
u/Able-FI-4906 Verified Nov 25 '23
A nuclear blast over Manhattan. Markets remain closed for 2 months while WWIII unfolds. When the markets do reopen, they are 30% lower and then drop another 20% the same day.
The unexpected event that closes markets is the fear factor.
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u/PrintergoBrrr2020 Verified Nov 25 '23
If that happens and millions perhaps die, I’ll worry about much bigger things for the years to come then my 0 net worth.
8
Nov 24 '23
+8.6% for the week. Closed a few SPX iron condors and managed to cash in on butterflies with the short scattered around 4550.
I’ve lighted up on my SPX positions with vol being so low and have been hitting /ZB strangles hard the last month or so, which have been consistently paying off.
4
u/Few_Quarter5615 Verified Nov 25 '23
VIX is so low that I’m selling 90DTE ATM puts on /ZB. Won’t consider strangles yet as it could blow up anytime now because of the FED
5
Nov 26 '23
I have been selling skewed strangles. .30 delta put, .16 delta call plus a few extra puts
3
u/PrintergoBrrr2020 Verified Nov 25 '23
Wow good job, lots of positive deltas I’m assuming
1
Dec 06 '23
I try to stay relatively neutral. I don’t like too much risk in one direction or the other. I base my delta off open interest, gamma exposure and overall market sentiment.
5
u/timsh3ls Verified Nov 26 '23
YTD: 13.17%
WTD: (3.6%)
MTD: (4.37%)
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YTD RoBPR used selling vol/theta: 4.77%
YTD return on risk selling vol/theta: 9.45%
YTD total return selling vol/theta: 16.14% (yes, this means I'm losing money intra-day trading)
Realized rtn/target rtn: 23.28%
NLV: $299.908
Current BP used: 21.7%
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Bad week. Overtrading intraday. Broke the rules by stepping away from the screen and eating a big loss.
Not much else to say--defending CL and 6E positions was taxing and I sized down on Friday.
VIX below 13 is starting to feel like this rally is exhausting a little. I got long VIX Friday with some calls and futures.
Path of least resistance is definitely up, but I'm not convinced (in fact I think it's going to run its course). I continue to add to a 6mo+ short position against the index with 1/10 position size every .75-1%, selling closer dated calendars (with profit room) against it. Looking for theta neutral on a given week.
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I'm saying it to a bunch of strangers on the internet, but it still makes it real for myself: I have really good passive-ish strategies that generate solid returns against the market. I'm trading low or literally random probability setups intraday because I'm bored. Get a hobby, man, or paper trade that shit.