Ansbacher's new system

Discussion in 'Options' started by nravo, Aug 25, 2007.

  1. nravo


    Max is now just selling puts and hedgeing with short futures (on SP and ZN or their floor equivalents). Will someone explain to me how the guy protects himself rom upside surges consideirng he is short futures?
  2. bh_prop


    Assuming he attempts to stay somewhat delta neutral he has to buy back some of the short futures as prices rise and then re-sell them if prices tank again. His position is short gamma and vega and the bet is that volatility decreases
  3. nravo


    Christ, spending all day covering short futures and buying them back hardly sounds like an option writing strategy. One overnight gap up and .... I wonder why Max abandoned his previously successful (albeit naked risk or mostly naked) strategies for what sounds more like futures or sort of covered futures, trading?
  4. Hmm Ansbacher was -1% for July and 2.3% YTD. Wonder how he's faring for August. We'll know soon enough.
  5. asap


    if he was short vega thru august i imagine you wont.
  6. asp if he was short vega i AUG he probably didn't do well unless he could hold it through the huge vol spike and manage the negative gamma from the short vega.