dest's overwrite journal

Discussion in 'Journals' started by destriero, Jun 10, 2021.

  1. destriero


    I've talked to five people today alone, who are prime for vol as a asset in their taxable accounts in the form of overwrites on SN. I am going to post the stuff as it comes up, but understand that it's not a racey journal as I typical write from 6-18 months out.

    I will put forth a SN overwrite portfolio and keep track of marked PNL. Over half of my net liq is in these, but mine have been held for years. I will post bid on vol so you will know it's marketable and keep the positions in a Google sheet.
    bln, Butterfly, Centuria100 and 14 others like this.
  2. destriero


    My edge is in asset timing and forward vol. These are packaged trades, so while I may get a signal on price, which will be reflected in the opening delta pos, it's not a legging strategy. This will be a stock/option signal.
  3. destriero


    This is the process once a signal is seen:

    1) model tenor vols as far out as they go.
    2) stress each tenor at neutrality basis the fwd using prevailing ATM vol at 2x1.
    3) model ratios and commitment (2x1 or 3x1 and stock allo).

    The signal is the edge so it's a lean process to arrive at a trade. Ratios are mostly art but I also apply a Derman figure as some tickers are more sensitive to stickiness.
    .sigma, shh and longandshort like this.
  4. destriero


    I will also offer a gimped position for ppl trading cash accounts/IRAs.
    BlueWaterSailor and longandshort like this.
  5. destriero


    Risk limits are simple. I limit vols (vega) to $1K per $100K.
    longandshort likes this.
  6. taowave


    Am I the only one who doesn't know what SN is???
  7. Robert Morse

    Robert Morse Sponsor

    I asked him privately. Can you ask what ppl is? :wtf:

    ChipShotTrader likes this.
  8. Me either
  9. destriero


    Single names. Share volatility.
  10. Hi Des...Do you move manage the options part of the position with rolling for a debit/credit(same month) based on price action or minimal micro management?
    #10     Jun 10, 2021