Back on Squarespace

Well, after two years running this blog on Wordpress (and on wordpresss.com), Matt decided to lose his mind. I don’t want to depend on that platform going forward, so I’ve moved back to Squarespace. With recent events, I’m not sure I want to depend on any heavily open-source companies. It feels like you’re at the mercy of high school drama.

For anyone curious what I’m referring to, Josh Collinsworth has the best writeup I’ve seen on the topic so I’ll just refer you to that: https://joshcollinsworth.com/blog/fire-matt

For me, I see this as less of a Matt issue and more of an open source issue. These kind of insane narcissistic personalities that feel entitled to their customers/users just seem to be a feature of open source projects.

Square’s Wordpress import is .not functional. I may migrate some of the posts manually but all attempts to do it automatically have failed.

Full Time Week 2 + Blog Move

I am now in week 2 as a full-time trader. I am planning to pick up other side work, but I no longer have a 9-5. I’m in Florida for the month handling some family matters.

On the way here, I spent my last month in Hawaii cutting down to two suitcases and a carryon. That’s really everything I own right now. I sold my car for a little less than I’d hoped and flew out to Honolulu (from Kona) for a week. Then on Feb 8 I flew into Fort Myers. It’ll be a busy month and I have a trip to the Boston area in the middle of it too. So blog updates may be delayed at times, bear with me.

January was a down month, maybe -1.5% which is no big deal. Now the account is back to the high watermark and we’ll see how February closes out. I’ve separated plenty of savings for my core expenses for the next 6-12 months, monthly swings are not a concern.

I’m planning to move this blog over to WordPress for a more configurable setup. Square is great, but I’m not really fond of the lock-in and it is significantly more expensive. Now that I have more time to put into the site, I don’t really need the higher level of service. I’ll do my best to maintian the existing posts but I’m not sure if they’ll transfer cleanly or not.

2022-02-10 RUT Rhino #7 Rollup, /NG Exit

RUT Rhino #6 Off-Plan BWB Roll-Up Adjustment

IV in the RUT was up a bit today. I’ve been concerned about the “valley” in the March trade and I decided to violate the Rhino rules. Normally, you do not roll forward the BWBs but in this market, even with double-width butterflies, the trade keeps running away. A pop in IV is a good time to do this roll forward as well. This was 4 of the originals, plus a bullish BWB that accounts for a roll of a strike I had done. That keeps it as all closing legs. Then I entered a fresh BWB at +40 above the old upper, now lower, BWBs. Now the structure looks far more “normal”. I’m not too worried about a big reversal as I would expect the former resistance line to function as support. There are no guarantees, that is just my market view now.

First, a look at the weekly P&L lines before adjusting. You can see it drifts up a little, but then would roll over still at a loss. It was setting up to have the same difficulties we saw in Rhino #6.

So per above, I could hold on for 2 weeks and be around breakeven, but it would realistically be too late to fix the valley and I’d be exiting flat. Here is the weekly P&L lines view after my adjustments (fills were priced just as shown here).

So now I’ve flattened delta - actually a bit negative which is generally a good thing to compensate for vega losses on a downmove. I don’t tend to require it but I don’t mind it. I’ve also increased theta a little, which I like since we have an overall IV spike and also because I am pulling off /NG today and I like to keep a reasonable total theta in the portfolio. Overall, this trade is only tying up 40k so there is even room for adjusting with Reg-T if that were a concern. I have PM, just noting that for any Reg-T traders. Finally, just for a more familiar view, here is the trade again with adjustments, just the T+0 and the expiration graph.

/NG Exit

/NG was getting closer to expiration and I just didn’t want to keep it going any longer. So I closed the position for .55 debit, which was a -$1560 loss overall. I’m keeping these straddles to $5k max loss for now, so well within planned max loss.

/GC Entry

I also entered a fresh /GC strangle (not IC) on the 7th. I was very busy travelling from Hawaii via Honolulu to Florida so I didn’t make a post for it, but here is how it currently looks.

2023-02-02 Rhino #6 Loss, Rhino #8 Started

Rhino #6

Well, the beatings continue. I decided to just cut Rhino #6 for a partial loss. We’re getting close to expiration. Tomorrow I have to drive out to Kona, sell my car, then I fly out to Honolulu. Leaving after 3+ years is bittersweet, it’s such a special place. But that’s a topic for another post. Here is the RUT on another huge upmove.

Upshot of it is, I don’t really want a high maintenance trade blowing up on me in the morning. Final loss was $3,361 which is well short of the stop loss of $5k. It’s a rough start to the year but fortunately last year ended quite well.

RUT Rhino #8 Entry

With #6 off the table, my theta was lower than I’d like. Though I do prefer to enter on some sort of volatility spike, when theta gets this low I just add in a trade. Here is how it looked when I put it on.

2023-02-01 RUT Rhino Adjustments, /NG Adjustment

Well, more massive market moves today. I made adjustments on both Rhinos and on my /NG strangle which is now a straddle. All of these trades are struggling and most likely I will just be trying to reduce losses. Overall, for January my account is down a bit over 2% and that’s not counting today. Which is totally fine. I prefer profit, obviously, but I fully expect to have months like this. The Rhino has really been showing how it falls apart in these kinds of relentless upmoves. Here’s a quick look at the RUT before diving into the two Rhinos and my adjustments. We’ve pretty clearly broken out of my range. This chart is end of day, adjustments were made mid-day.

Rhino #6 (Front Rhino)

First, the front month Rhino. This was already peeled down to just two calendars and the call credit spread side of an iron condor. I had peeled it down to just the one CCS remaining and today I was able to pull that off to flatten delta. Horizontal skew was favorable (though that’s typical going into expiration) so I was inclined to leave the calendars. Plus a double calendar just feels easier to handle than the CCS hybrid. Here is the trade before and after removing the CCS.

RUT Rhino #7

The back month Rhino is still somewhat traditional, though the market is racing away from the flies yet again. I added an additional calendar since horizontal skew wasn’t too bad. However, I will have to start lifting the center area some within the next week or two as the peaks are too far apart. You can see this in the weekly lines view I post below. It’s fine for a while but then the center inverts and you basically have two profit zones. Also note how, on the weekly bands, there is little chance of profit near the upper horn. The trade will need more risk-on in the form of butterfly roll ups or put credit spread/iron condor lift to bring the upper area to having profit potential. Ultimately, this will be done at the expense of the lower region just as we saw for RR6.

I’ve been considering making some changes to how I trade the Rhino to allow for rolling up. This would be at the expense of risking a whipsaw to the downside. I feel like it’s a worthwhile change. This is how, for example, Locke’s M3 trade handles things - but that trade has other tools for runaway upmoves too. Anyway, for now, I added a calendar and here is the before and after.

/NG Strangle Vertical Roll

For /NG I again did a roll. At this point, we have blown past the short and I’ve rolled the other side to the same strike. So we have a straddle though not at the money. I think it’s worth noting how little this trade has lost (stop loss is $5k) given that we have completely violated one side and look at how extreme the move in /NG has been. Anyway, here is the chart of NG, then the before and after on the adjustment.

At this point, you can see even at expiration the trade is breakeven at best. Even if we reverse, I don’t plan to hold to expiration. So I will likely close this for a loss. It’s frankly pretty amazing that even with this sustained move against the position, the losses aren’t even half of my stop loss for the trade.

So that’s it for adjustments today. Things have been a bit rough lately, but that’s how it goes sometimes. Last year was a good year and this year is just getting started. December alone more than makes up for this rough start so we’ll see what happens.

Another change is, as of today, I have gone “full time” trader. I do plan to supplement with other income, such as dividend stocks, client work, etc., but I left my regular salaried job to have more time for family and friends.

2023-01-23 RUT Rhino Adjustments

Big upmove in the RUT. I’m still not sold on this rally, but I decided to cut the delta. Max loss on these is $5k. They are struggling, but still have some wiggle room. I’m more concerned about DTE than hitting max loss at the moment.

RUT Rhino #6

In the Feb Rhino, I managed to fill the order to close the front BWB for 0.20 yesterday. This BWB had the upper puts rolled back in an earlier iron condor adjustment. This is why it had an UEL that was breakeven, as I showed before. What was still on today was the two Calendars, one neutral one bullish, and the Call Credit Spread side of that Iron Condor. The Calendars were net +delta and the CCS was -delta but much moreso, so the overall position was -delta. I took off 3 of the CCS to flatten delta close to 0. At this point, maybe we get some chop and I cut down the loss or maybe the trade continues to struggle, but the margin is cut down and the upside risk has been greatly reduced.

Above is the trade before adjusting (with the BWB already removed). Here it is after pulling off three of the CCS.

RUT Rhino #7

This is the March Rhino and the market had blown past the adjustment calendar. I pulled it off and, since horizontal skew looked ok, I added a new one further up. I will probably have to do something like I did for #6 to lift that middle zone up some. With the calendars this high above the main structure that droop can become an issue late in the trade. The sooner I fix it the less of a struggle it will be. For now, just adding the calendars was all I did. Here is the before and after. This one I only cut the delta partway. So I still have some short leaning overall, but I’m not trying to be a hero in the front month that’s heading into an exit.

Other

I have some SPX that’s around breakeven currently. I still have a couple strangles and an Iron Condor in futures options. Those have been a struggle as well but hopefully will start coming off soon for profits or breakeven.

Overall, January was -2.5%. I think that’s not bad for such a strong upmove. My buy and hold portfolios are very happy so I can’t be too upset. And a little humility to start the year may not be a bad thing.

2023-01-27 RUT Rhino #6 Peel Off

The front Rhino had quite a bit of -delta and I wanted to cut that down a bit, even though I still was looking for a reversal here. The back-most butterflies in the structure have turned into -theta and are contributing to the -delta. Taking these off is sort of a “free” adjustment since they have to come off eventually anyway. The main problem is I lose their support along the ~T+10 line so the cliff on the downside is closer without them. Still, I feel like I have to do something and adding more margin to the trade isn’t appealing. Here is the position before and after peeling off the lower flies.

There is still a fair bit of -delta but I am bearish so I don’t mind pushing my luck a little. It’s a lot better now than it was before removing the back flies. It’s tempting to cut it further, but I don’t want to overadjust as I approach time to exit with high gamma.

I previously had rollbacks on the front fly upper longs. That has the effect of lifting the upper expiration line of the flies. So, at this point, those flies are actually breakeven at the upper expiration line. We’re so far above them, they’re basically breakeven now. Pulling them off provides no real change in greeks at the money. This is what they look like on their own, plus how the trade looks if I pull them off.

Delta fluctuation here is minor and some of it is because price was still going up the curve. It’s really just the same greeks with very little change. It would cut margin on the trade, and my bailout points of ~$5k loss are around the same underlying price. So it doesn’t really fix anything to pull them off but it also doesn’t hurt and has to come off eventually. They were pricing around 0.05 since that UEL is basically 0. I put in an aggressive limit order to sell them for 0.20 and let it sit for the day. It didn’t fill so I’ll keep checking next week. It really does show how this trade has basically just become the upside hedges themselves and the butterflies had become a weight or neutral on the position. This is the main problem I run into sometimes with the Rhino. That can be ok, whenever you fix one problem you tend to create a different one.

Currently, the trade is sitting at ~-3500 P&L. Stop loss is 5k on these for me. From the 5 day bands above, it could hit breakeven within 10 days if things go well. I’m not really looking to make a profit on this one at this point but a small/no loss would be great. Since this one has required so much fiddling, here is a summary of the trades made so far in this cycle.

2023-01-26 /NG Strangle Adjustment and Update on Rhino #6

/NG Strangle Adjustment

/NG Strangle has crashed through the short puts. Theta is still positive and substantial, so I stayed in and rolled down the calls. Here is how it looked before and after the roll down. We’re getting under 30 DTE and I set the new “exit” order limit to breakeven including all adjustments. I have plenty of theta in the portfolio so if this comes off for breakeven then I’d rather just risk off than try to squeeze more out of it. Otherwise, I expect I’ll close for a loss in about a week. Stop loss in this is $5k which is still outside the SD range at expiration (with no intention of holding it anywhere near that long).

RUT Rhino #6 Update

The market had a strong upmove today after I had checked and started my day job here in Hawai`i. I thought I should share an update of the analyze graph as I’ll probably be tweaking the position soon. Or I could just pull it off for a loss whenever.

At this point, it has hit the lower calendar and I will likely pull that off tomorrow if we don’t get a hard reversal. I don’t like to keep the calendars on once they are no longer +delta. But the position is also pretty broken anyway as we are well outside the +theta zone of the BWBs. So the core BWBs of the trade are actually hurting us. They are mainly still on in case of a reversal. Once I pull the calendars I will look at pulling off some or all of the lower BWBs or otherwise doing something about them. Pulling off is appealing as it’s getting late for this trade and full-closing orders are a cheap management tool since I have to close everything eventually.

Here is how the position looks with the time bands, 5 days each this time. Followed by the traditional “expiration and T+0” plot if that’s easier to read. What I see here is a small zone around the calendars where they pull off a tiny win/breakeven. This is one of the big weaknesses of the Rhino. In a big upmove there is no roll forward of the BWBs and they can become a drag. Meanwhile you end up trading the “hedge” as the profit engine. Calendars are hard enough to trade without the extra -theta drag of the left behind BWBs.

With that, while I don’t try to be directional, it’s hard to ignore we are right at the upper edge of my predicted price range for RUT. It has held up so far. So I would prefer to not flatten delta too much here as it could roll over.

2023-01-23 RUT Rhino #6 Adjustment, The Beatings Continue

RUT Rhino Rolling Up Lower Short Strikes

This market is really pushing on that upper line. I decided to roll up one of the lower butterfly shorts to cut delta again for the near DTE Rhino. Here it is after adjusting, first with the weekly bands and then, if it’s easier to read, the T+0 and expiration line. Somewhere between the light blue and salmon line on the weekly is 14 DTE and I’ll be trying hard to get out there if I haven’t already. Currently the trade is down ~$1900 with a $5k max loss. With this PCS I’ve also exceeded the normal $50k planned Reg-T margin by a little bit. It’s pushed a little higher into the close and delta is now at -40.

It’s going to be hard to make any more adjustments without pushing margin even further. The two alternatives to avoid that would be peeling off some of the lowest butterflies at a loss or a reverse condor layered on the lower butterflies. I’m leaning towards peeling off flies as we’re getting close to where I would give up. Peeling off the flies is all closing legs, so that’s appealing. The butterflies, if you look at them in isolation, are -theta given how much higher the market has gone. The main downside of removing some of them is RUT is at the upper edge of my range and if it rolls over here the wide flat profit zone down to 1750 approaching T+14 will really help the trade.

2023-01-20 /CL Win, RUT Rhino Adjustments, /ZF Adjustment

RUT Rhino #6 Broken-Wing Iron Condor Adjustment

This is an adjustment I like to do when I’m getting concerned about the valley of death in the center of the trade. Here, I am showing the T+x weekly lines out into the future. This way you can see how the lines squeeze out and invert in that center area. There isn’t a lot of gas left in that region and the trade is turning into a bet on one of the two peaks with a big problem in the middle.

Rolling down the upper longs in the butterflies is a +delta trade that can lift everything to the right up a bit. To really focus on this central zone, an iron condor works better. This adds lift from both sides while letting me fine tune the delta. That’s what I ended up doing here. I cut delta a smidge, but with the big move up I didn’t want to cut it by much. I added plenty of lift which shows up in theta here. I’m having to accept more gamma risk doing this kind of thing closer to expiration.

RUT Rhino #7 Calendar Adjustment

For the March Rhino, I had some -delta and the back month for a calendar adjustment was finally available. I added 3 calendars up at 1910 to flatten the delta out a bit. This before and after is using the trade sim analyze feature a little later in the day with some extra upmove, but it did look similar.

/ZF Vertical Roll

/ZF was continuing to push into the call side and I decided to roll up the puts to cut delta. I actually did this earlier in the week. Part of the appeal in switching to strangles was to have easier adjustments. This is the 2nd roll up of the puts. The trade is down, but only ~$800 vs $5k max loss. Rolled from 107.25 to 109 on the put side. Here is how the position looks today.

/CL Win

Finally, the /CL trade hit profit target back on the 16th. It just didn’t seem interesting enough to make an entire post about it. This one was nice and painless. I put the strangle on for 1.65 on 12/28, made no adjustments, then it hit the target 1/16 and came off for 0.80.

2023-01-13 RUT Rhino Adjustments

We’ve continued moving up and I adjusted both of my RUT Rhino positions to cut back on the delta. It’s a shame to do it so close to where I have a resistance line, but the delta is really just too high to ignore. In any case, the chance of it dropping all the way down to my lower 1700 line is certainly not a big concern either.

RUT Rhino #6

For the front-month Rhino, it again blasted through a layer of calendars which I removed. Then I scaled into more calendars further up. Having peeled off two calendars already, I’m concerned about the valley of death. The area between the main butterflies and the horn can become a challenge closer to expiration when you’ve pushed the horn up like this. Those calendars were closed at profit, so they did their job. However, I’m more inclined to make adjustments in future that lift the upper expiration line or that lift that central area (like an iron condor adjustment).

In any case, the first adjustment is just removing calendars for profit that were no longer useful as delta hedges - and which would start to cause problems on a continued move up. The purpose of the hedges is to mitigate that upside risk so I took those off. Some like to leave them on, that’s fine, this is what works for me. Leaving them on can help with that valley of death issue I mentioned at the expense of a tougher fight on further upside.

The second adjustment was just to add another calendar. I really wanted to do something more like a broken-wing iron condor to lift the whole valley a bit, but with IV at recent lows I just couldn’t stomach it. I added enough calendars to roughly cut the delta in half.

RUT Rhino #7

Rhino #7 had less options for cutting delta. The back month I would like to use for a calendar wasn’t available yet. I decided to roll forward some shorts from the back butterfly onto the top. This cut delta without taking on too much extra -vega. Ordinarily, I like an iron condor to define more of a “window” of profit but a broken wing iron condor would have less delta per -vega. As a result, it would have been more of a short-vega adjustment with RUT IV sitting relatively low. Better to do the simple trade and focus on maxing my delta fix. I could also have hedged off just by buying some IWM shares to not have any vega impact at all. I don’t generally do that, but it’s a fine option. I also could have gone even more clever and bought a ~90 delta IWM call which would be about 9 deltas in the RUT and cut my delta risk (plus cut theta by a smidge of course).

2023-01-11 RUT Rhino #6 Adjustment

RUT had a bit of a move up and I decided to adjust the delta on the Feb Rhino. Price had also moved to the lower calendar and I went ahead and locked in profit selling that off. IV was still relatively low and horizontal skew was within 1% so I felt ok with a calendar adjustment again, this time at 1900. Here is the before and after.

RUT continued up a little more after this and the trade is currently around breakeven.

The March Rhino is currently down ~350 which is basically flat. It’s still just the two broken-wing butterflies with no calendar, but I’ll be looking to hedge it soon.

2023-01-10 /NG Strangle Adjustment

My natural gas (/NG) strangle was getting a bit close to the put side, so I rolled in the calls to even things out a bit. Profit target remains 50% of the initial credit. Here is the position before and after rolling. Vertical scale shifted between the two plots so it looks different, but it’s really just moving that upper strike close to the 1SD move, delta cut down to 1/3 what it was.

2023-01-09 RUT Rhino Scale-Ins, /ZF Adjustment

RUT has moved outside of my butterflies, so today I did some adjusting in the trades.

Feeling a bit overbought, but in the middle of my levels so a good place to scale up and flatten things out a bit. Note that IV is still relatively low, however. One could argue for more caution.

RUT Rhino #6

First here is the front month #6 Rhino, before and after. First, this trade called for a scale in of the second set of flies. In the Rhino strategy, the scale in is just a risk on move while giving us a wider structure than had we gone all-in with 10 flies in the beginning. It isn’t meant to address the delta or the T+0 line.

This usually gives the position even more -delta, so it’s typical as in this case that I need to add more calendars to flatten things out. I added 4 1880 call calendars to bring delta down a bit. I didn’t want to go completely flat as this move feels a bit overbought. In general I will look to cut about 1/2 the delta. In this case from -40 post scale-in, to about -20.

I also could have removed the earlier calendars but I chose to leave them on as an extra support in between the peaks.

Before adjusting, we’ve moved up not quite past the calendars

RUT Rhino #7

The back Rhino also called for a scale in. If you were keeping this half size, you could have just left it alone. If you were concerned about the upper expiration line, you could also have just rolled down the upper long a little or added a calendar hedge enough to cut the -9 delta to 0. This wouldn’t really be about flattening the delta for the sake of it - rather, using the available delta to support these “lifting” adjustments in case we run away to the upside.

Delta felt reasonable enough for me with the scale in, that I just left it as is.

Before and after:

/ZF Strangle Adjustment

Most of the futures options trades are fine, but /ZB was getting enough delta exposure I decided to flatten it. For strangles, I normally prefer to just roll in the low delta side, tightening the range but reducing delta. This also brings in more credit. I still target the same initial profit or loss targets, so I am not adding half of the new credit to my target profit, nor am I increasing my max loss. I didn’t cut it by a huge amount, trying to keep some width to the strikes. If it continues, I’ll pull it in tighter but likely target an even lower profit as it becomes more of a straddle. Before and after:

2023-01-04 RUT Rhino Calendar Adjustment, Futures Options Strangles

RUT Rhino #6 Calendar Adjustment

RUT felt like it was reasonably within a range and my near-term Rhino had a bit of -delta I felt like hedging off. IV of the RUT was a bit low vs recent action as you can see in the chart. Horizontal Skew wasn’t great but was <1% against me and I went with a calendar hedge, buying two 1830 Feb/Mar calendars. Here is the analyze graph of the Rhino before and after adding the calendar. It was nice to add a smidge more theta to the portfolio in the process as well, particularly since I never hit the scale in of the second set of flies on this Rhino.

/NG /ZF Strangles

I forgot to post these, but yesterday I entered two strangles in /ZF and /NG. I’ve decided to start trading other futures than just /GC and /CL. I am cutting the target credit and my stop loss in half so I will have more trades on but am not trying to increase risk. I don’t think Iron Condors are as viable in the other futures so I am just doing strangles. I am managing the same, so looking for <= $2500 credit with a stop loss at 2x loss on the credit (a loss of ~$5000).

2022-12-28 /CL Strangle

I still wanted to add a bit more theta in the account. Also USO had a bit of an upmove in IV. I’m using USO as my proxy for checking the volatility in /CL. Others are fine to use as well, and they tend to track very similar.

So, why a strangle? I do still like Iron Condors, but the strangle is half the contracts. I also feel like I can take advantage of the full premium on the shorts to push out to lower deltas. I’ve been doing 16/8 delta Iron Condors. With the strangle I went with 10 delta shorts this time. The theta:margin ratio is a little better at the outset, though the Iron Condors are more forgiving on a big move for margin expansion. Trading costs are much lower per theta as well and I could push the shorts out to 8 delta or maybe even 5 if I wanted to. I’ve also avoided adjusting deltas on the Iron Condors because the cost would be so high. With the cleaner full-size premium on the strangles I feel like there’s more potential profit to lay off adjustments against, and simple rolling of the strikes is an easy and cheap way to do so if I choose to.

The other reason I want to move into strangle trading is I think it will work better for other futures options. The pricing increments on /ZB or /ZC etc just don’t make me want to do complex 4-leg spreads vs keeping it simple and keeping costs down. It’s something I’m thinking about doing and why not just trade strangles for all of them.

The USO chart above is from mid-day when I put the trade on. It looks like a nice uptick in IV. Also, the /CL chart looks very similar for the price, as you’d expect, which puts the market around the middle of recent pricing. Here is the analyze plot of the strangle on entry.

2022-12-27 RUT Rhino #7

RUT Rhino #7

I wanted to add a bit of theta back into the portfolio. Things are pretty quiet in the market for the holidays, so this update is mainly just showing the new RUT entry. The next month in the RUT is now within 80 DTE so I added the starter butterfly for the next Rhino. This is what the position looked like when I put it on.

RUT Rhino #6

The current Rhino is still looking reasonable. It’s still just a 5 lot that I had to roll back. Here is what that looks like today - this includes the P&L of the rollback.

/GC Iron Condor

I am still in the /GC Iron Condor. This is what that looks like today.

2022-12-19 RUT Rhino #5 Exit

Rhino #5 Exit, #6 Rollback, update: /CL Iron Condor Exit

Once the Rhino passes the 35 DTE mark, I drop my target to $4k. It hit that today and I peeled off the trade. Since the market had dropped into the tent and we had +delta, I started with the call calendars. That brought delta down more to flat. Then I worked the back butterflies and finally the upper flies. I took my time and got decent fills on everything. Here is what the trade looked like before I closed it. Actual return was $4,014. The capital I plan for in this trade is $50k but we only really used ~$37k this time.

Rhino #6 Roll Back

This one was still lingering at the bottom of the tent. It had a smidge of profit and I figured I would go ahead and roll the flies down. This gives us a position that looks “fresh” but already has a bit of cushion in it. I feel like the market could continue a bit lower and the range I am looking is more suited to the rolled back position. Here is the RUT with my support line added, plus the resistance I’ve had on there for a while. Then the Rhino before the rollback and how it looked after (using sim trades to show the effect of the initial fly+rollback to the P&L).

Notice how the T+0 is very flat down to my 1700 support level. On the upside, it does take some losses on the way to 1900, but I would be layering in another fly and probably calendars before it goes up that far. P&L jumps around but the net profit on the old flies was $75 (and is reflected in the “post-rollback” analyze)

/CL /GC Iron Condor Updates

The Iron condors are both healthy and /CL is quite close to it’s profit target. Barring any major moves, there’s a high chance it will hit it this week. Edit: The /CL exit triggered after hours, $2,520 profit in 24 days.

2022-12-6 New /GC Iron Condor, New RUT Rhino

New RUT Rhino #6

It looks like my resistance line in the RUT is holding so far. Friday, I added a new RUT Rhino trade. I had hoped for more of a jump in IV in the RUT during the week, but by Friday I figured I’d better just get in. Portfolio theta was below where I like it as well so adding the starter set of 5 butterflies helped. This is what the position looked like on entry Friday 12/2, and what it looks like today on Tuesday 12/6.

RUT Rhino #5 Update

The current Rhino (RUT BWB) is looking very good, here’s a quick update on that:

New Gold /GC Iron Condor

Today the IV in GLD ticked up a little more and I got into a /GC Iron Condor (I use GLD as a proxy for /GC since the gold ETF charts cleaner and should be a reasonable proxy for /GC). Still on the low side vs the past year, but it has been a crazy year. I used 16/8 deltas for strike selection. Notice how, as usual, gold skews the opposite to equities. This leads to the wider wing on the upside.

/CL Iron Condor Update

The /CL Iron Condor is looking ok, here is how that position looks today:

2022-11-25 New /CL Iron Condor

/CL Iron Condor

This entry was purely for theta. Since closing the last trade, I’ve been running under my minimum theta of $1/$1000. I was hoping for a more opportunistic entry on /CL or /GC but I don’t want to wait forever. So on Friday I put on a fresh /CL Iron Condor. I went with 82 DTE and used 16/8 deltas.

RUT Rhino #5 Update

The Rhino is currently sitting around breakeven but looks very healthy. This zone between the peaks is ideal for a nice low gamma position. The next cycle out hits 80 DTE next week so I may start scaling into a new one soon if we can get a pop in RVX.