To expand more on your point about synthetics, it might actually make sense to dump the stock, trade the LEAPS diagonals, and use the money to pay...
I agree, but I think amooseman wants to trend-follow the SPY position and use the put diagonal to hedge against brief, moderately sized down...
Yes, I think it's a good idea to add negatively correlated strategies. Selling strangles would help reduce the problem with whipsaws but comes...
That's a workable plan. Keep in mind that (by design) your delta exposure will change over time, and (perhaps not by design) that your margin...
As short vol traders, we are always risking getting wiped out. A hedge with zero or positive alpha is more helpful to us than than it would be to...
Yes - shorting volatility in a risk-defined way and adding additional gamma when and where it's cheap to do so works pretty well. It's also a...
It's a wheel almost no one uses even when it's placed on the table with glowing lights and presents under it. I recently had a conversation with...
I have specified formerly *fuzzy* 'intentions' to be increasingly light in markets where IV≤HV, and now have gone further, by specifying a...
Trend following can be set up to mitigate specific risks. For example, a moving average can be used as a stop loss. It can also be used a signal...
I'm generally short index volatility at the front end of the term structure and hedge it off with longer-dated stock and index options when...
I'd be interested as well. (I made an account just so I could say that!)
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