Karen the Supertrader - TastyTrade Hybrid Experiment

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

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  1. Pekelo


    That was my idea with Karen's strategy, wait for a fairly big drop, then do it for 5-6 months. Then go defensive and wait for the next drop. The only problem is that she is selling on the call side too, so a quick recovery could be just as bad as a big drop...

    Last August's drop was slightly less than this January's. How was their January? I am surprised he lost money in September, unless he was selling calls a lot, because the market recovered quickly.

    Are they using portfolio margin or just normal retail and are those simulated accounts or real?
    Last edited: May 23, 2016
    #51     May 23, 2016
  2. The
    y are real accounts and both use portfolio margin. I will try to look at the numbers for January and report them later.
    #52     May 23, 2016
  3. isotope


    My superficial understanding of Karen's method is that she sells far few calls than puts. Furthermore, her calls are mostly 14DTE while her puts are mostly 56DTE. My take is that she scalps on the calls sales and harvest more theta on her puts sales.

    Calls sales are difficult to play due to thinner IV. Big funds sell tons of covered calls to pay for their protective puts. The insurance premiums are on the puts side. The calls are more like selling scrapped metal to the junk yards.
    #53     May 23, 2016
  4. That is correct.
    #54     May 23, 2016
  5. how about selling a ton of ATM strangles that expire in 200-300 days. This market isn't going anywhere

    I don't think anyone really understands her method, myself included. I've heard four different accounts . It's pretty much a put selling strategy. I think she sells delta 5 puts that expire in 56 days or less
    #55     May 23, 2016
  6. isotope


    I think she sells delta 5, 7, 10 puts depending on IV level. I had tried diagonal spreads on LEAPS. Slippage due to low liquidity is the main issue. My staple diet in recent time is broken wing butterflies -- delta, gamma neutral, moderate long theta, and considerable short vega. So far the high short vega hasn't hurt much yet. When VIX starts a steep climb (rate of climb is more important than its magnitude), I either reduce my positions or buy some diagonals to offset my short vega, subject to my net liq of course. I typically hedge with a short 50delta 50/60DTE put against a long 70delta 140/180DTE put diagonal. If the market keeps creeping up, I just roll up/out my short strike. Roll values of the diagonal are the key determining factors in choosing the expiration dates.
    #56     May 23, 2016
  7. I would imagine most people who comment on Karen only take the time to watch a video or two and then start throwing out comments. Our group has studied her for years based on the limited information that we have. There are still holes, but some seem to have filled in the gaps very nicely.
    #57     May 23, 2016
  8. The experiment is up $98 for the day. One of my GTC orders kicked in and closed for a 261 profit.

    17 JUN 16 2155C(1)/1850P(1) Closed at 50% profit

    I sold the SPY 15 JUL 16 225C(5)/185P(4) with 53 DTE.

    Then I wandered off the reservation and sold a straddle:

    15 JUL 16 206C(1)/206P(1) with 53 DTE for a credit of $8.69. I will try to manage this at a 25% profit or a loss of 1.5 times the credit received. I will automatically close the trade after 24 days if neither profit or loss target is triggered.

    My theta is 49, my delta is 11, and my vega is -292. Hopefully the market will be up a little tomorrow because I would like to put on some negative delta.

    I'm handicapped by not having the analyze tab at work.

    Happy trading!

    #58     May 24, 2016
  9. Pekelo


    So it is safe to say that Karen's HF probably had at least a 20% return last year. And since 2013 and 14 were an almost uninterrupted uptrend with only 1 not bigger than last August's drop, those years had probably similar or better returns...
    #59     May 24, 2016
  10. The experiment is up $106 for the day. Sosnoff was bashing GTC orders today, but I have to say I have enjoyed them very much.

    One of my GTC orders kicked in and bought to close:

    01 JUL 16 220C(1)/185P(2) at a 50% profit. I was in the trade for 7 days.

    I sold to open the SPX ratio strangle with 45 DTE:

    8 JUL 16 2225C(2)/1900P(1) for an $8.00 credit.

    Theta is 75, delta is -51, and vega is -488.

    Here's the daily Net Liq graph thus far:


    Happy trading!

    #60     May 24, 2016
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