Welcome to my Shit Show
- Thread starter Matt_K74
- Start date
I thought so, or it was a really bad day. At least it wasn't a Zlol slipped on keyboard and was undecided if today was a B or C
Should have read: C
What's wrong with the Z, aside from some minor rust issues? And electrical, transmission, fuel flow...etc. Teehee.
weight: 176
fitness: D - work is crazy busy
weed/alcohol: using - trying to change next week
sleep: B
trading plan execution: N/A
I stuck to the plan but my automated system hit a stupid math exception (float/int cast issue) and instead of hedging with 3 micro futures hedged with 30 - could have gone both ways but in this case went against me - no clue how this worked and didn't cause issues earlier - haven't touched this part of the code in at least 2 years.
Weekly P&L -17050 - all damage done Tuesday - should have lost 2 grand less without the bug.
fitness: D - work is crazy busy
weed/alcohol: using - trying to change next week
sleep: B
trading plan execution: N/A
I stuck to the plan but my automated system hit a stupid math exception (float/int cast issue) and instead of hedging with 3 micro futures hedged with 30 - could have gone both ways but in this case went against me - no clue how this worked and didn't cause issues earlier - haven't touched this part of the code in at least 2 years.
Weekly P&L -17050 - all damage done Tuesday - should have lost 2 grand less without the bug.
Just relating to how a similar strategy did, last week I was saved by the hedging puts I bought for my thetagang positions on the relief rally we saw prior - that smoothed out my returns. Return vs. benchmarks are respectively: Account: +0.20%; BRK.A: -3.56%; SPY: -4.78%; QQQ: -5.79%.
That was about the only thing I've done right... for my fitness, I weigh now more than OP (gained several pounds over this week). Sleep schedule was also very poor due to stress and poor discipline (as I'm "funemployed" at the moment). But life is good and I'm thankful for the good weather, meeting up with some old friends and cooking some good food.
As for automated system (more like a dashboard where I can press buttons to accumulate/distribute), I have been workin' on my rough-shod version for the past 12 years; and I have so many bugs in it - many critical such as bugs involving submitting limit orders to IB API and getting the right mid-price - it's amazin' how little care I put into my own software driving my money vs. the software I write for other people lol.
Seems like I should have bought some too
- can you give me some pointers for the next rally?How/When do u enter (VIX < 23 seems like reasonable now)
How far out do you buy (delta and expiration)?
How much overall portfolio delta do you hedge - e.g. if Delta is X - do you hedge half or more?
Hi Matt,
Sorry about the late reply (I had been out interviewing for a new job). I'm hesitant to give you exact parameters as everybody's strategies are different and therefore your hedges as well. But I'll try to give color but understand your hedging might be different depending on how close/far out you're selling your main puts for theta.
>How/When do u enter (VIX < 23 seems like reasonable now)
>How far out do you buy (delta and expiration)?
Yes I usually like to buy SPX puts on rallies and also very low delta's like 60 days out where they are roughly about ~$3.00-$4.00. It may seem buying these SPX puts seem literally flushing money down the toilet... but they are there in case VIX goes to 30-40. Primarily because all the value they hold is the vega (vol).
On really shaky days, I will cash in these puts for a profit and roll down my underwater or soon-might-be short puts further down. The name of the game is I want to roll my short puts sooner than later and always be safe - and having protection helps me with that; as it dampens the loss as I roll down and out.
>How much overall portfolio delta do you hedge - e.g. if Delta is X - do you hedge half or more?
This is a very good question. The short answer is, I do not know lol. The long answer is: what I do is use IBKR Risk Navigator. There it should give you your entire SPX risk exposure. For what it's worth, right now, my SPX weighted exposure is about 1/3 of my actual net liq. I also look at my IBKR account's excess liquidity - I try to keep my excess liquidity to be above 50% of my net liq. (and if it dips, I try to go into the market to buy those black swan puts to get my excess liq above that 50% threshold).
Hope this might be helpful. and please do not copy as your portfolio might be totally different than mine. Just givin' you some thoughts/ideas.
Sorry about the late reply (I had been out interviewing for a new job). I'm hesitant to give you exact parameters as everybody's strategies are different and therefore your hedges as well. But I'll try to give color but understand your hedging might be different depending on how close/far out you're selling your main puts for theta.
>How/When do u enter (VIX < 23 seems like reasonable now)
>How far out do you buy (delta and expiration)?
Yes I usually like to buy SPX puts on rallies and also very low delta's like 60 days out where they are roughly about ~$3.00-$4.00. It may seem buying these SPX puts seem literally flushing money down the toilet... but they are there in case VIX goes to 30-40. Primarily because all the value they hold is the vega (vol).
On really shaky days, I will cash in these puts for a profit and roll down my underwater or soon-might-be short puts further down. The name of the game is I want to roll my short puts sooner than later and always be safe - and having protection helps me with that; as it dampens the loss as I roll down and out.
>How much overall portfolio delta do you hedge - e.g. if Delta is X - do you hedge half or more?
This is a very good question. The short answer is, I do not know lol. The long answer is: what I do is use IBKR Risk Navigator. There it should give you your entire SPX risk exposure. For what it's worth, right now, my SPX weighted exposure is about 1/3 of my actual net liq. I also look at my IBKR account's excess liquidity - I try to keep my excess liquidity to be above 50% of my net liq. (and if it dips, I try to go into the market to buy those black swan puts to get my excess liq above that 50% threshold).
Hope this might be helpful. and please do not copy as your portfolio might be totally different than mine. Just givin' you some thoughts/ideas.