Guidelines for Theta/Vega and Theta/Gamma Ratios in overall Portfolio

Discussion in 'Options' started by InTheMaking, Jan 16, 2017.

  1. Would you explain more? Is this a custom measure like the pitchfork figure on skew?
     
    #51     Jan 18, 2017
  2. I have some back of the envelope guidelines for theta/vega and delta/vega. I don't use any ratios involving gamma. I mitigate gamma by exiting trades several days before expiration since gamma intensifies the closer an option gets to expiration. I have written extensively about this, but I'm tired of getting pounced on by the trolls. Feel free to message me if you would like to discuss.
     
    #52     Jan 18, 2017
  3. destriero

    destriero


    I am not trying to be obscure, but I cannot really elaborate for a number of reasons. You can get there pretty quickly from what I have stated.
     
    #53     Jan 19, 2017
  4. Bobby I would not jump in here, these are discussions on complex trading books and using greeks in a way to measure risk. You are just selling naked strangles and the market has not been that volatile like 2008-2009 where vols exploded. Even Trump election saw wild swings but no real vol jump like from 15 to 40.

    2016 has been real quiet with respect to index vols if you look at a chart.
     
    #54     Jan 19, 2017
  5. upload_2017-1-19_7-19-53.png
     
    #55     Jan 19, 2017
  6. newwurldmn

    newwurldmn

    Too many periods in this post.
     
    #56     Jan 19, 2017
  7. You are right. I manage my portfolio almost exclusively by the Greeks and their relationships to one another. No need to share something that works.
     
    #57     Jan 19, 2017
  8. S.O.R.R.Y. :)
     
    #58     Jan 19, 2017
    Mike Okley and newwurldmn like this.
  9. destriero

    destriero


    I can sense that is a swipe at moi.
     
    #59     Jan 19, 2017
  10. newwurldmn

    newwurldmn

    no. it's swipe at some troll in in the "ET Chat Thread"
     
    #60     Jan 19, 2017