what strike and exp is your risk reversal? just curious.
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
what strike and exp is your risk reversal? just curious.
Sure, its retail so here you are: ESH20, risk reversal @2650/2900. Went short at ~ 3250
With todays further falls, I had the opportunity to do some tidying up and tax optimisation.
As many of you know, I originally funded my account with stocks rather than cash, to avoid paying the CGT bill. The largest position was a long in the IDVY European dividend ETF. To hedge this, and ensure the account p&l is as close as possible to pure futures, I had a fixed short position in Eurostoxx (which I wouldn't otherwise trade). Today the IDVY price finally fell below my original cost price, allowing me to close it and crystallise a loss. This will reduce my CGT bill somewhat this year. At the same time I took off most of my Eurostoxx hedge.
There is still a ragbag of other ETFs in the account worth about 50K, against which I still have a short 2 contract Eurostoxx hedge. This is a pretty imperfect hedge by now, but it doesn't seem a bad idea to be slightly shorter equities than I would otherwise be.
The account is now very rich in cash (~370k out of 420K account value); especially as due to extreme vol my futures positions are small, so the excess liquidity was around 320K. I've spent about 100 grand of this on a short term US bond ETF, as a sort of cash proxy which doesn't count towards deposit insurance limits and gives me a little bit of yield, as well as acting as more of a diversified for the stocks I still hold elsewhere. I would buy more, but IB isn't allowing me to borrow against this position. This makes my account a little more like a normal CTA, which would buy T-bills with their excess cash.
In other news, my trading account has hit HWM today, up about 3.5% since Fridays close. My long only portfolio is, naturally, another story.
GAT
As many of you know, I originally funded my account with stocks rather than cash, to avoid paying the CGT bill. The largest position was a long in the IDVY European dividend ETF. To hedge this, and ensure the account p&l is as close as possible to pure futures, I had a fixed short position in Eurostoxx (which I wouldn't otherwise trade). Today the IDVY price finally fell below my original cost price, allowing me to close it and crystallise a loss. This will reduce my CGT bill somewhat this year. At the same time I took off most of my Eurostoxx hedge.
There is still a ragbag of other ETFs in the account worth about 50K, against which I still have a short 2 contract Eurostoxx hedge. This is a pretty imperfect hedge by now, but it doesn't seem a bad idea to be slightly shorter equities than I would otherwise be.
The account is now very rich in cash (~370k out of 420K account value); especially as due to extreme vol my futures positions are small, so the excess liquidity was around 320K. I've spent about 100 grand of this on a short term US bond ETF, as a sort of cash proxy which doesn't count towards deposit insurance limits and gives me a little bit of yield, as well as acting as more of a diversified for the stocks I still hold elsewhere. I would buy more, but IB isn't allowing me to borrow against this position. This makes my account a little more like a normal CTA, which would buy T-bills with their excess cash.
In other news, my trading account has hit HWM today, up about 3.5% since Fridays close. My long only portfolio is, naturally, another story.
GAT
It's not often that you see somebody happily reporting a loss on a closed position. But hey, if it helps to reduce taxes then it is a win.
Remember net with the hedge which I also closed it's close to flat, probably small up.
GAT
Thanks for the update Rob!
Quick question, where does the above come from? I was looking to do something similar, but couldn't find the info. By deposit insurance limits, do you mean those $250K that FDIC insures or is there a different thing in the UK?
I'm up 24% since I started (early February) which is absolutely wild. With the new capital, I'm now working on adding 2 more instruments, Lean hog and GBP. I'm mostly following the blog post from Rob (https://qoppac.blogspot.com/2016/03/diversification-and-small-account-size.html) on determining what to add, plus some cost factors of my own. I'm also keeping a small buffer, since I know that the reversal of this trend down will be painful
Are you getting involved in any of the bright red spots in fixed income? Like the forward-forward in long/ultralong, for example or bond basis.
Thanks for the update Rob!
Quick question, where does the above come from? I was looking to do something similar, but couldn't find the info. By deposit insurance limits, do you mean those $250K that FDIC insures or is there a different thing in the UK?
I'm up 24% since I started (early February) which is absolutely wild. With the new capital, I'm now working on adding 2 more instruments, Lean hog and GBP. I'm mostly following the blog post from Rob (https://qoppac.blogspot.com/2016/03/diversification-and-small-account-size.html) on determining what to add, plus some cost factors of my own. I'm also keeping a small buffer, since I know that the reversal of this trend down will be painful
It's a UK insurance scheme (although I use IB, it's via the UK regulated arm) equivalent to FDIC, but only covers up to £85k
GAT
Be aware though that the value volatility of the instruments is rather different these days than what they were in 2016.