When insistiturional vol traders talk to each other, they only talk in the terms of their Greek risks. It explains the book succinctly and will let someone understand what's driving their pnl.
I'm suprised that Baron hasn't shut this thread down already considering that Karen the fearless leader is been investigated for fraud.
Why would he shut this down? This is just an experiment. Other than selling mostly 5 delta puts and 10 delta calls, there really isn't too much resemblance to Karen's strategy. I look at delta. Karen doesn't. Karen sells puts around 56 DTE and calls at 14 DTE. I try to sell both around 45 DTE. Karen churns positions and takes some to expiration. I will never take a position to expiration. I manage winners at 50% or take it off at a loss equal to two times the credit received. If neither of those targets get hit I close the position after 24 days in the trade. I manage risk off the analyze tab at up 14% and down 20% with a 50 point increase in volatility. That's pretty much it. No fraud here. I'm posting every trade and providing a link to my spreadsheet. Now why on earth would this thread get shut down. That's an unbelievably stupid comment. Please go bash Karen somewhere else.
You beat me to it! I have a close friend doing the same, we talk every week or so. Goes great then he gets stuck with a bad position that becomes part of the core until he runs out of margin and has to sit on his hands until hopefully things work out. Goofy IMO.
Stop being a muppet... The Greeks are instantaneous factors, not "statistics of PAST price movements". Great options trading is, first and foremost, about not being silly and not ignorantly dismissing useful concepts.
WTF is wrong with people here? Anyhow, for those who don't understand the topic, Karen's strategy, her tricky fund set up and her concealing the losses are actually 3 separate issues that can be confusing at first sight, but we are here to set you straight. Or one could just read the complaint and read it again...
Not really. Tastytrade normally sells 1 standard deviation strangles one to one ratio of puts to calls. I am selling deltas similar to Karen's. Plus Karen normally sells two puts to one calls. So I thought I would try to sell ratio strangles where I vary the number of puts to calls. This is partially a Tastytrade strategy, partially a Karen strategy, and a little mix of my own strategy.