Third Quarter

Mon, June 27, 2016: The trouble was an open Canadian dollar futures contract that expired. Now I have my numbers back, and tried to lessen the short position by half.

 

The expired futures contract is responsible for the N/A in the daily total column. Covering the short removed about $700 M out of the total P/L Open column on the left. S+P ended at 2000 and change. A half hour after close, ES Futures are around 1985. Here is the total line:

Fri June 24, 2016: They voted for a Brexit. I kept my short bias intact luckily, but have lost the quotes like last winter. Maybe they will come back. I am still stuck on the short side because it will not let me cover it now, but that may change. It just started to do that this morning.

Mon, June 20, 2016 - There was no gain this quarter, showing as of the pre open, and before exercising options 72 hours after expiration. That in itself was quite a feat not to lose anything versus other hedges. Overall weight to this point was a short bias.

After the Monday close, there was a large upswing in the market to 2076 S+P Futures, while the negative bias remains. It gave back much of the market gains at the close.

It may give back over the summer. I would have to add several biliion in longs to put it in balance again. Historically, that worked, but now the volatility premium isn't high enough. After a market correction is when I would be poised to balance again. The inflated Fed party is likely over.

Second Quarter 2016

Thursday, April 7, 2016: A large down day, after an unsettled week. No trades, bear hedge intact.

Everybody jumped on the FOMC Minutes bandwagon, only to have it all dashed today. We held the short squeeze pressure, and what goes up in this market comes down more often than not, and harder after a two day rise.

Monday, April 4, 2016: After dipping to 3.433 Billion YTD with the Thursday Friday uptrend, there was a correction. As of after 4 EST, Here is what we have... as there are competitors, but none come close, and I'm not tellin'...

You can tell we are hedged balanced to the down side with an overall long volatility bias, seen from the other side of the trades. You have to be Banks or Brokers to do that, or just emulate them. They seem to be the ones with all the money in the dips. The Boss says there's no bigger whore than the S+P 500, but I beg to differ... <3 R.


Thursday March 31, 2016: It is the change of the calendar month after Janet Yellen's testimony/speech at the New York economic club after the monthly FOMC. They took rate hikes off the table, waiting for more economic improvements first. Ther was a market rise, but I remain hedged flat  with a downward bias until June so far. We were at about 3.460 Billion YTD last night.

2016

Tuesday, March 22: It's already past quad witch. I'm at about 3.5 billlion YTD.

Friday, March 11, 2016: It is a week before Quadruple Witching. We were hedged flat as we could, but as the volatility lessens, the balance has been changing.

The overall picture is here:

Next week will be VIX expiration, then all hell will break loose as usual. There is an FOMC Meeting, so lots of Fed jiggery pokery on Wednesday after VIX expires for March. We will see. It is a full calendar.

Thurs, March 3, 2016: Even keeping a flat hedge is difficult in this volatile environment. VIX remains artificially low, 16.7 to 17, and option premiums do not reflect true value. A rally over the past three days has petered out on speculation of a Fed rate hike skip this month, but recently good economic news The S+P 500 futures are around a 1980 average now.

The main takeaway is that if I can think of this, it is probably being done somewhere. Looking at the resumed performance of financials, it looks like great minds think alike, or fools seldom differ. You'll have to make that call. I still have a $2B spot this year to pay back. The new year crush was hard.

Thurs, Feb 25, 2016: I have it back up. February was an awful month. ToS now requires Java 8 from Oracle. I had the old Java, and thought it wouldn't update any more. Here is how it stands after a rare three days up on the S+P.

Looking at he S+P options, the shorts outweigh the longs by 5 to one, so it is a historically crowded trade to the downside with futures now at 1950 recovering from 1812 or so weeks ago. Sentiment is mixed, but still forecasting flat or worse for the future. They said this is the largest short interest in history on the S+P 500, so they aren't really believing the mini rally will continue off that dip. Only time will tell.

Saturday Jan 30, 2016: Have to shut it down for medical reasons here. Unable to keep on top of it all. It may still be going, and may be even up a little with the S+P and fuel rising. I just have to close it all out now.

If you have your health, you could try the same thing. I found ToS from an ad years ago, and looked into it back in the old days before it was TD. That was before my options lost buying power prints, citing "split position." TD said they would get option trading in Canada, but they never did. You had to go to the TD Ameritrade side to do that. I tried IB, but developed a palsy making it difficult to control the mouse. It did not have enough to mimic my trades also. So that is what happened to me there.

Sunday Jan 24, 2016: It got worse, but that was close to scraping the bottom of the barrel. The whole thing is oil. It has such a pro-con to the economy weight wise, and has so much hedged weight, the little fish, equities, have to go with the flow. We are a worldwide oil based civilization, and that was proof. I intentionally tried to ignore oil to hedge against it, but obviously not enough. Money has hung its hat on oil since Rockefeller Jr. was poopin' yellow. This is after a readjustment, but I would need a lot more downside prevention to stop that slide. Lessons learned.

I have a 2 Billion float that I borrowed from the Fed. 0.25 % apparently. I used to work in oil before I got hurt. It seemed like a good short hedge then for me. You can bet there will be a lot of longs on it if you dare call bottom. Oil is getting near oversold territory now. Still, hedgers are bound to carry this price forward for consumption. S+P may be financial king, but oil is the main world growth driver. Sequestered solar energy. It's how it all works. Everybody else hedges too and there is no relief. Too crowded... for now. Income fund makers I feel your pain.

Be careful what you wish for, methinks. lol

Weds Jan 20, 2016: It is officially a bear market now. The short side has been too crowded.

Fri Jan 8, 2016. Unprecedented first opening down week in history. S+P Futures touched 1910. Holding the broken hedges in the overwhelming down trend. Gold reflects a geopolitical shock component, but energy is still down. Jobs were up, signalling a suspected continuation of interest rate tightening, and touching off yet another late day sell off. We are down a few months to start with a ten percent correction possible. I saw WTI 32.89. Commodities are a major component of the Canadian Economy, and it is reflected in our low valued currency. There is no carrot there hedging forward commodity production. Generally, it is an across the board value reduction now. Who would think we would look to December as the good old days?

That is where we are headed as the hedges can't keep up. China is unpredictable to add to the malaise like 1980 all over again.

Weds, Jan 6, 2016: The year is off to a bad start, and the hedges are broken with the downside crowded. Monday opened with a large loss, followed by today with a dip to 1970.5 on S+P March Futures. What can you do, but try to get that second dip after 1990 Monday? North Korea claims to have a hydrogen bomb, so that cratered it today, along with oil WTI hitting $33.77. China is experimenting, and failing, cushioning the market. It's all bad today, so maybe an inflection is all I can guess.

The word from the Fed is stay the course with interest rates for now. This will look to be an interesting year if we can go by what we've seen so far. There is opportunity in those crowded hedges, but on the other side possibly.

Thurs, Dec 31, 2015: It faded he last two days of the year as predicted, but the downside appears to have been crowded. With a drop from 2055-2015 to end the year, ES March Futures, here is where it sits at about 6 EST.

So we held the $10B YTD line anyway, even with the crowding, with the S+P giving up 20 handles. The Upside actually still made money after settling. Every kid and his dog was calling for a correction. Now we start a New Year.

Tues, Dec 22, 2015: It is a tough spot, rolling this behemoth into next year. We've had a couple days where S+P ripped to 2035 March ES Futures, after a two day dip to close the December Quad Witch fourth quarterin a trainwreck. I loaded up on the long side during the Thurs/Fri Expiry crash, and attempted to hedge that in at the close today. We are still long.

The overall picture is sitting here.

There is a big up rip after the Bell, now about +472M, so the weight is still long. I tried to balance it, but there will be a lot more to go to flatten an apparent Santa Claus rally. P/L YTD will drop to Zero on New Year's of course. It's that quirky calendar year versus fiscal year thing.

What will 2016 shape up like as the Treasury Bonds start their march back to normal? Nobody is sure, including the Fed. Easy money is gone for the short term, but at least time value may be restored somewhat. I achieved trying to keep commissions at 0.1% of Buying Power if anything, but missed the mark trying for a billion a month. The weight would be unrealistic, as it approaches Market Maker status of entire exchanges. It provides a unique insight into the internals and particularly how the whole market is hedged in an ongoing and sustainable basis, albeit not at as many price points. I notice when this account feels pain, it gets into the conversation on CNBC. They feel it too on the NYSE floor.

Fourth Quarter 2015

Mon, Dec 21, 2015: There was a decline in the two days leading up to the Quad Witch, after which the market was extremely oversold. I went long, and my options were exercised that way. I'll have to look to rebalance it to bring it back closer to flat.

It always gets out of sorts around the calendar year end. Maybe this year it won't. Maybe I will speculate and let it ride a bit, but I can bag theta on the balancing options when and if the S+P gains about 85 handles or so from ES 2015-16 where it sits, ironically. Interest rates may keep it flat, but the Fed may relax yet, and that will show up here.

Weds Dec 16, 2015: Finally a rate hike. Here is the initial reaction after the 2 PM Eastern statement.:

After the dust settles, the Close was here... I kept it hedged with an eye to expiration slightly bullish, but that may change to squeeze a bit more theta out, and roll some positions forward. I'll likely try a flat hedge through Christmas as that will be where the crowd seeks solace. Certainty has been somewhat restored in the Big Picture by removing another regular source of Uncertainty.

The Statement pointed out the risk of shocks to the system, so it's back to good old Yellow Journalism trying to swing it short. They didn't guarantee it intentionally, so still a bit of volatile Fed uncertainty left on the bones.

Mon, Dec 14, 2015: It is Expiration of the Dec VIX tomorrow, then quadruple witching Friday. The Federal Reserve meets tomorrow and Wednesday. We were walloped Friday and today when the short side couldn't keep up. Like Dennis Gartman, we tried to hedge flat, but a lot of people were caught flat footed.

Tues, Dec 1, 2015: Here is where the close was last night.

Thanksgiving week was nothing to really be thankful about. The options were cash settled with no option to take share delivery by the new software.

Later on, they pointed out it was a hard year for hedge funds. That must have been on paper in their back offices. I hedged for a flat S+P since July. If it varies plus or minus from that, I increase the monthly dollar allocation. It has mostly reverted after that August September downturn. I have to reload monthly. It was a 22.5 point up day, but I had it hedged, gaining mainly from a relax in volatility. Then I sell volatility when it rises back up. I'm bracing for a Fed meeting where they are expected to hike rates, but they may not, staying the course and deferring to 2016.

That might all get walloped if one way or the other due to the uncertainty hit. The numbers have become too big to steer like a supertanker with an undersized rudder. I'm back to the same wait and see mode I was in back in September, and no rate hike came from the Fed.

Sat, Nov 21, 2015: November Option Expiration:

There you have it. About $430M and change. High uncertainty with not as much volatility premium on time as there should be. Blame a Fed painted into a ZIRP corner, and Paris Terror. Still trying to keep the balance flat with minimal contango on the options to work with. The convexity of the futures curve is broken with a rate hike baked in before next month's Quad Witch.

Mon, Nov 2, 2015: The calendar month starts with an up day post FOMC, so I sold more hedge units against volatility increases. I sold both sides to bag some theta actually, but if the wheels fall off, hopefully we will still have some cash to buy the big dip by flat hedging the rip close today.

Option generally don't update after hours, while our exercised direct holds do. I play all options European and hold them to expiration when delta and gamma cut out to zero or one as the case may be. There's 18 days theta to go on them.

Later in the evening... it settled down over $17 B.

Fri, Oct 30, 2015: Our flat hedge ended up a bit.

The big picture on Mon, Nov 2 looks better by lunch time.

The strategy has been to reduce our overall short volatility strategy by hedging it with proxies. An example of short volatility would be long S+P Futures.

Fri, Oct 16, 2015: Hi. Your friendly VIXen whore here. I can deliver! The old Gal comes through in the end.

 

Things were slowin' down on the corner so I advertised. "Sexy broker needs good fzckin' - Options welcomed!" I'm considering Kijiji. I've a few irons in he fire.In the meantine, I'nm the only fzck in the world without worms stem to stern. Even did a sweep with Wormwood. Already did a weekend on the shztter with black walnut.. It's getting hard to find a good wormless fzck when they blow on average a pint o' spitters.


Monday, Oct 12, 2015: Columbus Day: Canadian Thanksgiving:

 

A lot to be thankful for. The hedges have reverted back to balance, and we forge on. There have been some fundmental futures inflection points passed, but we're on it. Don't you wish you could back up time? Well, this is the next best thing. Past performance is not a guarantee, but a pretty gawdam good good shot at future results now. Wace will be graduating from university shortly. I home school him <3 R. He runs this hedge now. I am merely his slave, picking up toys, correcting typos, and cooking. Teehehehe...

Friday, Oct 2, 2015: It has been a bumpy ride since the September expiration.

It finally broke back positive here, but it wasn't always that way. Volatility has crushed tracking of the ETF's through contango. You try to make that work for you, then they reverse split the ETF to adjust for losses, but the software will not track the split correctly, clinging to the presplit valuation. The S+P is back to 20th century numbers 1940 Era from 19th century Civil War numbers. The debt limit looms large, but it is all a part of the never ending inflation carrot and stick that has reduced growth to inflation itself. The bond limit where interest payments will topple the whole mess is nigh, trapping them into a "zirp." Everybody may be a millionaire yet. Re skinning the software isn't going to solve that pickle, and they didn't fix the split bug, but they did a re skin anyway. The "light" skin is far too eye burning from an LED monitor.

Sept 18th expiration tanked miserably. Immediately after, Monday 21st tanked even more miserably to record low valuation losses since the 80's. Volatility VIX is back to living in the 20's. The hedges broke or flattened there, recording a sustained loss until just today at the end. October has been a historically bad month, and the acceleration of shortening days adds to the overall malaise after October option expiration. It affects peoples' thinking. SAD Seasonal Affected Disorder. We know that market dollar weight sets the balance, but it is a tough call. The Bears have a lot invested in negative news for every rally. October Week Three will be interesting when all the stored up ghouls and goblins come out to play. Then there is the Calendar month change. The Federal Reserve can't decide when to put interest on money again. Now some are looking at 2016 to try and call the seasonal employment rise for an opportunity. Will Santa have lumps of coal or a new silly toy sensation? So much is baked in during October, and it has a past.

The Middle East now has Russia throwing its hat in the ring. Some say another Cold War. The news is it has never been cold there.

Third Quarter

Thurs, Sept 17, 2015: We just let it ride. The past two weeks jostled with volatility until VIX expiration this past Tuesday, with Quadruple Witching tomorrow.

Half the hedges are deep in the money, with the out of the money side zeroed, so it will be anybody's guess as to how tomorrow will end. The last hour of trading gave up over 20 S&P Handles.


Thurs, Sept 3, 2015: It's a wild whipsaw ride. The hedge metric has changed because the second order derivatives of volatility are more variable, leading to wild swings.

It has wobbled from 5 to 2 billion on the YTD in a matter of days. Different sides of the traditional hedges are even disconnected more, like they are trying to shake us. They can't believe how futile it is, resorting to fraud with real money. We have a front row seat to it all.


Mon, Aug 31, 2015: The S+P lost big since just before last options expiration. The hedge balance fell apart as the ratio became variable. The short side became quite crowded as the volatility rose to more traditional, and even unprecedented levels, with VVIX topping 211.

 

 At one point, we were over 4B YTD, but lost it all in the crash. The normal hedge balance has not returned.

Thurs, July 30, 2015: There was the Fed meeting minutes with no press conference, and it ended flat yesterday.

We no longer have that silly N/A on the VIX. Boring. We are now half way to the quad witch of September. Yawwwwn.

I am amazed at the complacency that sets in with extremely complex ventures, such as the Apollo Missions. By 13, nobody even watched, a mere 10 months after the First Lunar landing, the greatest achievement of mankind. They did not even carry the telecast on the networks prior to the explosion. Perhaps this is like that; The next Fed meeting may restore time value of debt at inception. Now the S+P is in a lazy inflationary residual climb, close to a top. Perhaps this is the calm before the storm of forced growth, and return to reality of stock valuations sans inflation.

Second Quarter

Tues, June 30, 2015: OK, technically it is the 3rd quarter now, but bear with me... Here is the current snapshot of the Most Stolen Signal in The World...

Why? "Because that's where the money is!" lulz (; Rx. <3




\Mon, June 15, 2015: We are closing on The Witch within the week. In the evening,

With the VIX expiring tomorrow, suffice to say we have the hairy eyeball on it.

Fri, May 29, 2015: There was another software bug, and again regarding share splits not correctly showing the post split value x new number of shares.

 

So I liquidated that side of the hedge, leaving the negative balance on the left above, while leaving us in a temporary large profit showing by 302 million bucks. I am presently un-hedged, but will slap it back on to reflect the new post split CUSIP numbers. I'm losing faith in the software though. It never used to do that. Likewise, they way they play with the convexity in Chicago, while also omitting key metrics regarding certain options, leading to the "N/A", also raises eyebrows. There seems to be a steady decline since Thinkorswim was a user oriented software back in 2008. Caveat Emptor.

Fri, May 1, 2015: Another month, and a flat one. There were real interesting skims going on, but it is mostly just a bug when certain things get reverse splits, and the calculation doesn't  reflect the new post split price with the same number of units.

I rebalanced and wound up about $1.3B less invested, as we had too bearish a weight I figure. We kept losing large on up days, only to come back when we had a large down day yesterday. So I rebalanced it for a slighter loss on those by taking a lot of bear insurance weight off. Option time premium also seems a lot lower than it used to be, with higher volatility now the norm, almost backwardating to a sure fire long straddle situation. They're setting themselves up for a real ass kicking if that is the case, but we all built this market. We don't have ZIRP to cover our ass when it all comes apart, and they still do.

Wednesday Apr 1, 2015: April Fools! We are not fooling though. The manipulation of volatility ETF's has failed on the bank side when they or a parasite hacker outed themselves yesterday. The Boss baited them with our little account here, confounding them by winning all the time. Of course, since we played by the rules, hedging, the only way they could win was to cheat. They crushed themselves as truth won out amplified when they tried to skim only part of a hedge. Their losses were also amplified.

Tuesday Mar 31, 2015:  Jack and Jill went up the Hill with 25 Bucks apiece. Jill came down with half a Ben Franklin. <3 Yes, it is Mother Robin and little Wace back in the saddle here. The Boss was called away on a medical emergency; His brother has been in a *strange* incident in the mountains. Lots of that going around. ;)

Now cut that out Boss! We all know you fucked the S+P Volatility ETF's today. Braggart! I bet he lost our lunchbox fund for lil' Wace...

I see my hedge is still intact sort of... Boss! Did you break their bank again? What is the Buying Power???? Not Applicable? WTF???

Well, I have to scoot. Lil' Wace needs a Wahmbulance. He just wants to suck my tit I think. That usually calms him right down.... Wace!!! He uses his tongue on it! Have you got an Oedipus Complex or something? Oh well, later. My my.... Ooooh! <3