Karen the Supertrader - TastyTrade Hybrid Experiment

Discussion in 'Journals' started by Sweet Bobby, May 18, 2016.

  1. Butterball

    Butterball

    Why is this guy getting some many negative comments? Why is he being lectured that short volatility strategies tend to get "killed" when volatility picks up? That's like telling a Harley driver that biking is dangerous.
     
    #351     Jun 27, 2016
    Sweet Bobby likes this.
  2. But if you're only selling 10 puts for every 50 calls it will be a problem if prices keep going up . I remember a long time ago selling a strangle and when the call part got very close to in the money, the losses got big fast.
     
    #352     Jun 27, 2016
  3. I guess the problem is some people is the risk to reward may not be that great . Long SPY (including dividends) gives almost the same total returns as these option strategies, but without the large risk from selling naked options
     
    #353     Jun 27, 2016
    ironchef likes this.
  4. It is not a "short" volatility strategy, you are also short a ton of gamma and you can lose money even if vols are dropping. I think your comment shows you do not understand the strategy very well and of course do not understand the negative comments.
     
    #354     Jun 27, 2016
  5. Hope you are doing ok. I think you see why the analyze tab now becomes more of a Toy than a risk management option - with serious deltas like you have after this move hope becomes a strategy - spoken from experience.
     
    #355     Jun 27, 2016
  6. Tyler, it's very good to hear from you!

    I am certainly very interested in your strategy, and I am glad to hear that you are doing well.

    Bobby
     
    #356     Jun 27, 2016
  7. I'm happy to be on vacation this week with the family. I managed to sneak in one trade today. I sold the SPY 5 AUG 16 205.5/180 strangle. Two more of my 2X loss GTC orders kicked in today and as you can see from my chart, several of these have triggered over the last few days.

    Delta is 726, gamma is -77, theta is 201, and vega is -618.

    The account is now down $1,061 from its inception on April 5, 2016.

    Happy trading!

    Bobby
     
    #357     Jun 27, 2016
  8. ironchef

    ironchef

    I did an approximate theoretical analysis using Black Scholes to calculate the option prices stressed by volatility changes and underlying changes using historical price and approximate historical volatility and came to similar conclusions: Without leverage and margins I was not getting very good returns. With leverage and margins, I got good returns but....margin calls wiped me out.
    This is extremely helpful, especially #6. Thanks for sharing.
     
    #358     Jun 28, 2016
  9. Sweet Jesus, Sweet Bobby! Why keep selling vol unless you're forecasting lower future stat vol? Ever think about buying vol or are you afraid of disappointing Tom Sosnoff?
     
    #359     Jun 28, 2016
    DTB2 and Macca1 like this.
  10. NPTrader

    Though you post here infrequently, I always looks forward to them.

    With all of the time and effort you've put into creating your strategy, do you think it's been worth it from a performance perspective?

    Aside from 2015, the returns don't appear that superior. And taking drawdowns into account, the risk-adjusted performance looks weak too.

    Thank you for posting such great detail of what you do and I apologize if my questions appear brusque, but I ask with nothing but humility.
     
    #360     Jun 28, 2016
    Macca1 likes this.