In a place like SPX though, there’s a risk premium associated with selling the down & out vol [^even with delta aside] akin to how long shares...
Nothing wrong with that. A lot of trading questions are based off personal utility functions. Really pressing an advantage should lead to a good...
Yeah, options and options on futures. And you're absolutely right to take it with a big grain of salt. The more esoteric something is the more...
First and foremost alpha is a syntax debate lol. But imo alpha source is something that gives a significantly superior return profile vs. an...
Borrow on margin and slowly slide futures in as capital permits. And I'm all for levering a more efficient portfolio, but I wouldn't go so far...
Would be nice to see a rolling sharpe on here; and maybe a conservative fwd estimate? Unless you've got a really large amount of capital and/or...
I skimmed your post, are you aware you can just cut to the chase and put mean return / sigma^2 to get a leverage figure for optimal leverage for...
Yeah, this is painful to read. Agree that diversification is good but will put my own humble word of caution in for any new guys reading beyond...
My apology. I felt the topics were pretty related and personally find broader discourse is useful when trying to grasp a new concept. Best of...
@newwurldmn , @Wheezooo ; While we're on the subject of hedging / dealing with pure vol, I have a question. If there's sufficient premium I'll...
Dense stuff guys!! Sounds like progress is being made :) Don’t have much to contribute via the modeling, but my first thought when you started...
That would put spot around $15-$20. So say from day 7 to day 6 you have no vol, the option is going to decay by 0.08 or something on no vol for...
I've heard the term squeeze used for both directions. But maybe I have it wrong. Just wanted to convey that I expected the opening move was...
Did not have the conviction to hold 0 day puts short with that kind of action in the first 10 mins. A bit of a let down paying more comms and...
The options's IV will rise but we will be realizing less than the current implied figure each day leading into earnings, since event vol is...
Sorry, the spreads went off at different prices in the $1.30's. x was intended as single digit integer, not a multiplier. My avg credit was...
Sold some sept put verts -97/+75 on ROKU for ~1.3x, -20 shares per. Will update with terminal PnL.
Yeah!! Was worried a bit about KMX pre-market. But the open was beautiful. Got out of AZO @ 64 when it started to move. Short was from 76.35....
Yeah, I’ve been trying to get my mind around different parts of the surface recently. On one hand wings are unsustainable from the vol figures....
Huh, here's my data. [ATTACH] And yeah the price is high, was on the fence. Had a good day today though so the house money bias got me. Also...
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