Karen the Supertrader - TastyTrade Hybrid Experiment

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

  1. You idiot! This is not the way to track your performance. Don't you realize it's only going to take one bad trade to blow up your account? My God, man. Give me a break!

    It's clear that you know nothing, Sweet Bobby!

    Sincerely,

    Sweet Bobby
     
    #601     Aug 30, 2016
  2. atrp2biz

    atrp2biz

    This past November to February was great.
     
    #602     Aug 30, 2016
  3. atrp2biz

    atrp2biz

    Premium sellers also understand the relationship between their deltas and vegas which is why many of them are delta negative. However, I don't consider myself a vol seller--more of a theta collector. My vegas are generally flat because I have a number of long calendars.

    I can't comment on Bobby's leverage as I haven't read the whole thread.
     
    #603     Aug 30, 2016
  4. I strive to keep my delta/vega relationship at -1/-2.
     
    #604     Aug 30, 2016
  5. Pekelo

    Pekelo

    What I don't get is why do you trade so often? Can't you just trade the weeklys once a week?
     
    #605     Aug 30, 2016
  6. Great question. I find that I like making adjustments daily to help keep the Greeks in line. I don't care where the market is, I'm just trading what it gives me. One amazing thing that I've discovered is that I don't even look at the market! All I'm looking at are the Greeks and I'm adjusting accordingly.

    I find that daily trades allow me to make adjustments before my Greeks get too far out of line. Since I hold most of my trades for about 3 weeks, I find that trades are falling off regularly allowing me to make daily trades to maintain my daily theta goal. It has been a fascinating study thus far.
     
    #606     Aug 30, 2016
  7. sle

    sle

    Since you are a rocket scientist, apparently, let me chime it too.
    A. Unless you are trading Vega end of the cuve, holding short delta is not gonna cover the convexity losses.
    B. Being Vega flat in a calendar makes your short root-time vega, which is as much vol selling as it can get.
    C. Collecting theta somewhat offset by the gamma losses, so realized vol has to be on your side
    D. This is going to be interesting to follow :)
     
    #607     Aug 30, 2016
    JackRab likes this.
  8. atrp2biz

    atrp2biz

    I agree with all except B. Like I said a few posts up, one can't protect against everything. But for B, how is my calendar vega flat? It's not a ratio. The calendars are just playing the low realized/high implied volatility game.
     
    Last edited: Aug 30, 2016
    #608     Aug 30, 2016
  9. sle

    sle

    You said you were vega flat, so I assumed you had a ratio calendar on:
    RTVega-neutral calendar in the index space is a complex bet. It assumes that you see value in term structure (i.e. fwd vol is cheap) and you see negative expectation in owning convexity (that is, gamma is rich). In that case, you can reasonably expect your vega leg to protect you from the convexity losses (somewhat) and have reasonably low expectation of convexity losses themselfs. Neither of these two conditions are true right now, if anything term structure is as flat as it can get in this low vol environment and gamma looks like a perfect buy to me. Just sayin.

    Mav might be a bit harsh, but he is speaking from experience (my old boss, RIP, used to say that "spanked bottom is the most sensitive trading model"). I usually add that unlike an average institutional monkey, a retail trader has the luxury of time and lack of harsh performance metrics, so selling risk premium is a smart bet for him. However, you want to pick the right form of selling where you can exploit your retail edge - I can elaborate if you want, but it feels to me like you guys have already made up your mind.
     
    #609     Aug 31, 2016
  10. atrp2biz

    atrp2biz

    To clarify on my vega, my portfolio vega is flattened by my long vega calendars.

    Re: the rest of your post above--I hear what you're saying. I personally am not blindly selling premium, however I don't think blindly selling premium is terrible either. My short vega positions are as low as they've been in a while. My favorite play is actually the calendar, but those are generally slow and boring. But when times are slow and boring, it's probably the best time to put them on.

    As a retail trader, I completely agree with your views on not being forced to sell premium to achieve certain metrics. I don't force things but I am of the view that selling premium is the way to go MOST of the time.
     
    #610     Aug 31, 2016