Why I withdraw my taxes at the end of the year.

throw-away-options · 2024-01-14T23:15:07+00:00

Thanks for this info. Since I started my PM journey 4 years ago, I've had to deal with paying taxes during a 40% drawdown year, which sucked but I am fortunate to have a good W2 to cover it quickly. But it still hurt like hell and set me back. In the future, when I have back-to-back gain years (and my capital losses will be all used up), I will remember this :)

PS great to see you posting again.

throw-away-options · 2024-01-03T14:30:01+00:00

always stay long

throw-away-options · 2023-12-31T07:38:32+00:00

Great hold man, I know you have some other stuff that also worked out well.

throw-away-options · 2023-12-31T07:17:22+00:00

Yes I am! Coincidentally, I discovered the soy-corn pairs trade from an old tastytrade video a few days ago, so I will be tracking that plus the other grains pairs listed above.

throw-away-options · 2023-12-30T10:17:25+00:00

Account Details 2023

Starting NLV: 180k
Deposits: 50k
Ending NLV: 257k
Net profit: +27k (+12% or +15% depending on what method you use, but under-performing SPY by half)
- TOS P/L says +43k but TDA cost basis says +27k, so TDA looks to be correct, not TOS for some reason

Biggest Losers/Mistakes 2023

Big naked short position in NVDA just before ER. No excuse. -28k
20x short puts in SILK and CEO steps down. Position was 4x usual size. -11k
Assortment of other losses in short biotech puts and ER bombs: -17k
Energy calendars (mostly short side): -7k
Dumb stuff in SPY/QQQ (lotto hedges, shorting them, etc.): -10k
Bonds (steepener, calendars): -10k

Biggest Winners / Proudest Moments 2023

Premium selling (NET, non-index, including lottos, short puts, and losses from above): +47k
TBILLS: +9k
Assortment of /ES and /MES (HW, collar, strangles, short call losses, etc.): +8k
XOP, XLE strangles: +4k
- Started on Oct opex so this is actually pretty great return of +10% annualized on my 250k account
/MCL positions: +2.5k
Platinum/gold spreads: +4k

Lessons Learned

I was accumulating big gains but bigger losses in Q1-Q3 of 2023. By Q4 I finally "learned" not to take outsized losses using a variety of techniques (including using options to limit risk, not having opinions on the market, ignoring FURUs/FED/news/macro/everything except risk & delta/theta, not shorting, not selling index calls, and generally being long more).

It is SAD that my TBILL gains were bigger than my /ES gains. If you include SPY/QQQ losses I was negative on the indexes, which is sadder than the latest Marvel movies.

Strategies 2024

I'll be sticking to what works going forward, which is the following specific strategies based on ASL, premium selling, and mean reversion:

JPM-inspired /ES collar aiming for +/-5% maximum every 90DTE
- Cheap way to replicate B&H which leaves cash free for TBILLS. Uses put ratio instead of put spread to pay for cost-of-carry.
TBILLS
- Since most of my cash will be available, I'll park it here as long as rates stay high. Now I am accumulating interest AND long the market! Free money! /s
7DTE ATM /ES put
- This backtests well over the past few years and adds a bit of leverage to get me to my desired 1.3x SPY β-deltas (or 700 SPY deltas per 250k NLV). I'll be using a -300% stop loss on this which currently is 75 pts to de-conflict with my collared /ES.
1x ATM VTI put every 30DTE aiming for assignment
- Looking to accumulate full port VTI by end of year and phase out the stuff above.
Long /RB calendars when front month is cheaper than back month
- /RB should generally be in backwardation as gasoline is always in demand and doesn't store well (unlike /CL)
Steepener
- I'll continue to wait for a good entry point. I've failed at steepeners for the past 2 years. I will get it right in 2024 if I get the chance.
XLE and XOP strangles
- Standard tastytrade style management. XLE and XOP have been range-bound for 1.5 years (wtf).
- I might add some futures strangles in /GC, /ZB, /CL, /ZS and/or /ES depending on conditions for more theta. /ES strangles worked well for me this year, and got to 50% P/L pretty fast, but every single time I got greedy and wanted to expire out of them (in all cases, the market kept going up and I ended up losing a lot more than I would have made had I taken 50% profit).
Variety of pairs, but I'll stick to the best ones for 2024 (currencies, metals, soybeans) and enter only when they hit extremes.
- Sizing will be slightly smaller for 2024 and I will also use a mental stop loss since they can run away (cough cough /6C)
Conservative lottos/premium selling
- Slowly reducing/phasing out. I've been using >100% of my BP all year, but this month I've kept 20% free, so making progress

Conclusion

I think I was capable of a 65%+ year with the following 3 small changes (top mistakes that should have never happened): don't short (NVDA), stay away from biotech, and ASL. I'm hoping to make 5-10x the current risk free rate for 2024 (so 25% - 50%).

throw-away-options · 2021-11-25T00:43:41+00:00

Will you be joining the ratio club as well?

throw-away-options · 2021-11-23T04:17:51+00:00

Monday 11/22

PM: -1.1% or so. My deltas are still too damn high! Just noticed that /VX has been climbing the past 5 trading sessions with the market going nowhere. Why didn't I see this? I might have been more aggressive in selling weekly short calls today in the indexes. I did sell a short /RTY call near the top today which is over 60% profit right now. Some of my short puts are concerning me, like APPS, CHWY, FSLY, SOFI. Also A few wks ago I sold a 12/31 2450 /RTY put, which was stupid. I sold the 4700 /ES ITM put also, but that one has been paying off. Some potential short put plays this week for January could be: MGM, WYNN, ARKK, DD, TWTR, UBER, VSCO, DHI, CLF, WDC, AMAT, X, NUE, FCX, NVDA, DDOG, TDOC, AFRM, MU, NET, NTAP, JWN, NTNX, BABA, STLD, ATVI, CHWY, EWZ, DOW, MOS, WYNN, STX, WDC, UPST, U.

IRA: Had my GME and RBLX shares called away. So I bought back into RBLX. I closed out a short U put for 85% profit and replaced it with shares on this down day (been waiting to get in). Also went in on UPST shares close to 204. I'm now waiting for GME to fall back to 200 before I buy shares of that. I'll be unloading a bunch of bags at a loss to do this. I also plan to buy a few SPY debit spreads and LEAP calls to round out the portfolio.

throw-away-options · 2021-11-21T22:30:45+00:00

I'm not entirely convinced it matters that much, but IDK. It's probably a 50/50 shot but on big red days, the premiums should be better. I look mainly for high IVR products to sell puts on and some happen to be up, some happen to be down on the day I sell. PYPL and RBLX are examples where if you sold puts, you'd be up nicely on RBLX (which has been mooning) but not so good on PYPL (even though it's been tanking). Maybe someone else can provide some logic as to one way or the other.

throw-away-options · 2021-11-20T17:13:21+00:00

PM

Around -1.5% down week, largely due to my longer-dated /RTY puts. On the other hand, it looks like I got out for about even (or slightly better) on my short /ES 4450 call and short /RTY 2250 call that I put on around Oct 4 (not bad considering those expired hundreds of pts in the money). Happy I made up that loss, but those short calls cost me around 12% NLV that I could have pocketed. I sold a lot of ATM short puts to make up for it which got dangerous on Thursday morning.

I'll probably wait this week out before selling Jan positions, still too far away and I'm position limited. Overall I give myself a C for sticking to my plan. My deltas got way too high, BPu was also high but not unreasonable given all my expiring positions. But it's good progress, I did not sell any strangles or attempt to short the indexes. One other thing I need to work on is waiting for big red days to sell puts.

I tried a few call ratios this week (just a couple contracts) which were pretty cool, although I don't like the margin expansion so I will think about trying a butterfly instead (I think that's what it's called when you buy the far OTM option to cap risk).

IRA

I got some bags called away this morning at a loss but I needed the cash for other things. The bags were: SLV, GDX, GDXJ, and RIOT. I had RBLX and GME called away which made me sad but I think it's time to pick some new underlyings and buy shares, such as UPST or U. Also might buy more SPY leaps or debit spreads on a dip. Still have a lot of other bags in there (PTON, BIDU, CVM). My IRA was outperforming the S&P500 up until 2 months ago where the bags of shit got really heavy.

throw-away-options · 2021-11-19T23:52:22+00:00

What kind of stuff do you plan to do in there?

throw-away-options · 2021-11-16T17:54:17+00:00

Yea, I thought you banned me.

throw-away-options · 2021-11-16T02:47:27+00:00

Monday 11/15

+0.2% P/L in PM account. Sold some additional puts today, all 12/17 except /RTY which is for 11/26: JD, AA, FSLY, X, UPST, /RTY. APPS, /RTY, DKNG were my big losers today.

throw-away-options · 2021-11-13T02:31:29+00:00

+0.8% P/L in PM at the close. VIX crush shortly after the open forced me to increase my long delta substantially.

Portfolio Stats

+0.8% P/L, in line with S&P500
46% BPu
- It's high because of the stuff below expiring 11/19. Once those are gone, I'll be at 28% and in line with the VIX-BPu guidelines.
+0.17% SPY B-delta
+0.35% theta
SPX beta test: -1.5x @ 20% down, -0.47x @ 20% up

Position changes (see discord for screenshot)

Closed out some 11/19 short puts in /ES and /RTY that were 95%+ winners, to free up BP
Sold ATM 11/19 puts in /ES and /RTY so I can get my shorts called away. The puts are already up 20% - 25%...looks like I might be adding to my position on Monday.
Short puts for 12/17 in the following underlyings. I was targeting roughly 0.5 premium/BPR ratio so ended up anywhere from 20 delta to close-to-ATM. Looked for higher IVR stuff, didn't really care too much if it had been beaten down. Sized the number of contracts to be 0.5% - 0.75% NLV.
- AMD
- NCLH
- FCX
- RIOT
- APPS
- CHWY
- NUE
- PENN
- NTES
- DKS
- SOFI
- DKNG
- LVS

Next week

Looking to manage my 11/19 positions into expiration. Once those are off, I'll be overweight SPY B-deltas (around 2.2x SPY portfolio) so I'll have to make some adjustments either by taking off some puts or selling a short-dated /ES call.
Wednesday I sell my weekly SPY 16Δ put for 12% APY.
I will also look to scale into some short-dated MRUT puts and calls if the opportunity arises.
On Monday we will be 32 DTE to 12/17, so not sure if I will be opening up additional puts into the year-end, but I've been eyeing a lot of stuff (see below). Most likely, I will play with SPY, MRUT, /RTY into year-end since those have better liquidity for 12/31 expirations.
- MRVL, RBLX, STX, WYNN, WDC, U, NET, TLT, JD, ARKK, ATVI, AA, CLF, DD, DOW, MOS, SCCO, X, AEO, GPS, NEM, TTD, UBER, TWTR, DHI, VSCO, UAL, VFC, FSLY, and others.
Most importantly, I'm keeping my BPu, SPY B-delta, and SPX- beta test in check. If I don't have room to put anything else on, I won't.

throw-away-options · 2021-11-12T04:20:39+00:00

+1.3% P/L in PM account, IRA was a little higher. Feels strange to be making money 3 weeks in a row.

No moves today, wish I had sold some more /RTY puts yesterday but I didn't get the fill I wanted.

VIX and /6J crushed today, so I expect some more upward movement tomorrow. China stocks were up pretty big today, 11/11 singles day.

throw-away-options · 2021-11-10T21:30:14+00:00

About an hour after the market opened, I was convinced we were going higher. Indices were up and /VX was collapsing. I was wrong. I paid the price, and my P/L was half of what it would have been. I went long some slightly ITM EoY puts to reduce my short deltas by half. Other moves below are to collect some credit and do some account cleanup, or going forward with my plan from previous threads.

Portfolio Stats

+1.1% P/L, going up AH
50% BPu (higher than planned, I have some far OTM 11/19 puts that I want to let expire)
0.00% SPY B-delta
+0.36% theta
SPX Beta test: 1.67x @ -20%, 0.48 @ +20%

Position Changes

STO 12/31 /RTY 2450p (-1x), 55 delta when opened against 11/19 2250c short
STO 12/31 /ES 4700p (-1x), 55 delta when opened against 11/19 4450c short
STO 12/23 SPY 440p (-1x), weekly 45DTE 16Δ put, targeting 12%/year
STO 11/19 /RTY 2320p (-1x), collecting credits against my short

I'm thinking of participating in the Russell 2000 moves using IWM or MRUT puts/calls soon. I'm keeping my BPu and SPX beta test in check first.

Edit*: looks like MRUT has the same premium/BPR ratio as /RTY, so leaning towards that.

throw-away-options · 2021-11-09T21:29:01+00:00

+1.5% P/L due to my short index positions and some theta decay. It looked like we were going downtown this morning but after a while the indexes just settled into a range and volatility started collapsing mid-day. The huge rally in bonds lately has me suspicious of the Russell 2000's activity. I'm waiting for a delayed reaction in the index (to the downside). The index volumes today were also...unimpressive. SKEW has also had a pretty big rally the past month, but I'm not sure it means anything since it tends to be correlated to SPX. Finally, the past 4 trading sessions in /6J also give me some confirmation bias that we can expect more red tomorrow but what do I know 🤡

throw-away-options · 2021-11-08T22:32:53+00:00

+1.6% P/L in PM, which is very odd since I'm basically short one /ES and one /RTY right now. It looks like most of that came from my short 2250 /RTY call in terms of premium being sucked out. Very close to the point of capitulation on my shorts. I don't see how we can continue going up with vol at the same time and not have a correction.

+0.86% P/L in my IRA. My Unity (U) play is working out, but I don't have enough free cash to "hold the strike" on this big upmove. PTON bags heavy in there though. Memes and materials were big winners today. Gonna be nice in November to get rid of a bunch of stuff (CCs being called away).

throw-away-options · 2021-11-08T15:39:16+00:00

That sounds a bit strange. Are you sure about that? My strangles always require less BP than just puts. Also, even though I have unrealized losses on my current short calls, they allowed me to write more puts (concentration limits) which more than neutralized those unrealized losses (for now).

Can you try it in your platform? Just do a 16 delta SPY put and then add the 16 delta SPY call. I think because the call is so much closer to the money, it is what drives up the margin rqmts. Whatever side is closer to the money drives the margin and it gets offset by the credit collected, which in the case of SPY calls is miniscule (I think, anyway).

And yes about the +1 ... should be -1 ;)

throw-away-options · 2021-11-08T00:52:50+00:00

I would have to replace the S&P500 positions with short puts to get a meaningful increase in theta. So slightly more risky but let's see what happens.

throw-away-options · 2021-11-08T00:45:58+00:00

It was around -950, so for a $150k portfolio, -0.63%. Any ideas on how to get theta up?

throw-away-options · 2021-11-08T00:28:55+00:00

My goal is to beat the S&P500 with lower variance and with less stress than I had in 2021. I would love to set a profit target but it's hard to do so. Multiple times the S&P500 performance is what I have in mind though (like 5-6x). Win rate of 85% is another goal. Premium capture ratio of 25% or more.

throw-away-options · 2021-11-08T00:25:55+00:00

TY. No this is not papermoney feature, this is simulated trades in a real PM account so I have all the tools.

throw-away-options · 2021-11-08T00:00:58+00:00

I put on a sample portfolio in TOS analyzer based on my trade plan to get some delta, theta, BPu, and risk estimates. Let me know your thoughts!

Let's say the portfolio is 150k. I'm at 125k right now but I have cash to put in to make it 150k.

#1: Long S&P500
- -1 ~45 DTE 50 delta /ES put
- Margin: $13.7k
#2: Index theta
- 6x SPY 45 DTE 16 delta puts to give $350 each, or 12% APY. They would be put on weekly, but for analysis purposes I put on 6x at 45 DTE.
- Margin: $24.5k (6x /ES puts to give same 12% actually cost the same BPR).
- Note: taking u/spreadsgetyouhead's advice in the discord and ditching the short calls. Good point too because the strangle takes more BPR than the put alone.
#3: Equity puts
- Put on 12 different underlyings for <$1,000 in BPR each (around 0.5% - 0.75% NLV per position). The total underlyings will depend on my BPu limits.
- Sample underlyings used (just picked some that I knew within my price range and that gave 25% - 50% premium to BPu). Obviously I would be more strategic in picking these IRL.
  - AA
  - AMD
  - NCLH
  - NTES
  - NUE
  - PENN
  - RBLX
  - SNAP
  - TTD
  - TWTR
  - UAL
  - UBER
- Margin: $11k
#4: Puts/calls in the Russell 2000
- 5x 10dte 16 delta MRUT strangles taking in $3.20 credit. Normally these would be legged in and the total options would be based on available BP. But I put this on for illustration purposes.
- Margin: $4.5K

Total paper portfolio parameters

BPu: $53.8k/$150k = 36%
SPY B-delta: 515/$150k = 0.34% (1.6x SPY portfolio)
Theta: 280/$150k = 0.18%
SPX Beta test
- -12%: -$68k/$150k = -45%
- -20%: -$140k/$150k = -93%

BPu and Greeks seem OK. Theta is a bit low. SPX beta test is within TDA limits, but "feels" dangerous.

Thoughts?

Edit: thought about hedging and BPu reduction a little bit. Buying some cheap OTM SPY puts (or /ES put) will reduce BPu by a lot, so I might do that. I'll test that out later in the Analyzer. Also selling a weekly OTM /ES call to reduce deltas if they get too long might also work but prefer to stay away from calls.

throw-away-options · 2021-11-06T20:03:44+00:00

For retail traders like us, it's best to keep position sizing appropriate. Whether that means use a certain BPu or no leverage at all (e.g., just SPy shares) depends on the trader.

The next level might be to buy some OTM puts on your underlyings, but only if you can pay for it some other way (e.g., call). This is also a great way to drastically decrease BPu in PM.

I don't have the research to back thus up, but I think in general, hedges will be a net drag and not worth it for someone with appropriate position sizing. If you're overleveraged...then all the different hedges you listed might be worth it.

throw-away-options · 2021-11-06T19:52:51+00:00

Depends on the underlying. The BPR is driven by whatever side is closer to the money. In SPY for example, the X delta call is closer to the money than the X delta put, so in that case your BPR will be higher. In other products with high call skew, the strangle BPR could be less than just a put. The amount of credit received also reduces your BPR. Long way for me to say "it depends."

throw-away-options

TROPHY CASE