My barbell options and futures portfolio

A

atrp2biz

Link to 2017 portfolio details

Last year was a great year for me--until the post-election rally wiped out 75% of my gains for the year. Who knows what to expect for 2017. Hopefully some volatility returns to help us short volatility folks.

This portfolio (personal and corporate) is the plate-end of my 'barbell' portfolio and represents ~10% of my liquid assets. The rest is in my boring buy-and-hold portfolio (I still have to update the allocations) which I have no intention of doing anything with.

With the help of this forum's engagement I hope to stay disciplined and actively update this thread.

I've been carrying a fair bit of negative deltas over the past few months, so hopefully we get a bit of a correction.
 
So 90% in stocks and the last 10% in speculative options and futures positions? That doesn't sound like a Barbell to me
 
I've ignored cash and income. Cash represents about 15% of liquid assets. After tax- annual income currently represents ~20% of liquid assets (with a savings rate of 80-90%).

I have a small portion of my portfolio in a bond fund which will remain a tiny part of my portfolio for the foreseeable future. My view is that we have reached the end of the three-decade bull market for bonds.
 
Last edited:
Current positions:

PERSONAL:
  • short 4 ES, short 6 puts of varying strike and expiry
  • short 1 NQ
  • short 2 TF, short 6 IWM puts
  • short FB Jan27 125 straddle x 3
  • short AXP Feb17 77.5 straddle x 5
CORPORATE:
  • short 6 ES, short 7 puts of varying strike and expiry
    • long diagonal (long Feb17 2270p, short Jan27 2265p) x 7
  • short 1 NQ
  • short 1 TF
  • short 1 ZB, short 2 Feb 3 151 puts
  • short FB Jan27 118 call x 4
  • long TSLA Feb17 225 puts x 8 (will calendarize prior to earnings)
  • short HD Feb17 135 straddle x 4
  • long GOOGL Feb17 825 puts x 4 (will calendarize prior to earnings)
  • short NFLX Feb17 140 straddle x 2
  • short AMZN Jan27 800 straddle x 1
  • MCD put ratio (long Feb17 125p x 2, short Feb17 120p x 6)
  • short GS Feb17 230/235 strangle x 2
 
Last edited:
atrp2biz said:
Current positions:
More...

So how much physical cash do you have tied up in all of that bleed? How much cash are you using to support it? Or is this just a big bag of false wind?

Basically, HOW MUCH MONEY ARE YOU USING TO DO THIS?!? Can it be done with a small trader account, say $10,000?

I didn't think so.
 
Overnight said:
So how much physical cash do you have tied up in all of that bleed? How much cash are you using to support it? Or is this just a big bag of false wind?

Basically, HOW MUCH MONEY ARE YOU USING TO DO THIS?!? Can it be done with a small trader account, say $10,000?

I didn't think so.
More...

For the sake of thread credibility--I dunno...call it $1.1 million (but CAD)? However, I have no intention of calling in the reinforcements. I just find things a little expensive to buy in the core portfolio which is why I'm looking for a little pullback.
cash.png
 
Last edited:
Apollonius said:
Short options for your 'barbell' is like directly opposite what Taleb says. You limit your upside and have an unlimited downside.
More...

True. I guess I'm thinking relative to a benchmark. A more conservative bar (portfolio w/ beta < 1) with an aggressive end (this portfolio).
 
Last edited:
You must log in or register to reply here.
Back
Top