Karen the Supertrader - TastyTrade Hybrid Experiment

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

  1. atrp2biz

    atrp2biz

    However, I don't believe Bobby's numbers takes into account buying back positions and the $49k is just the gross premium sold. I could be wrong on that though.

    On the second point, ignore the return on account for a moment. The study is just saying that the strategy can expect to retain 25% of the daily theta.
     
    #901     Oct 6, 2016
  2. There should be some way to figure this out, but right now I've got a baby in each arm.

    As I recall, I have the formula calculated in my notes regarding the amount of premium I must sell to generate (on average) a particular move. I will try to find it tomorrow in my trading lab.
     
    #902     Oct 6, 2016
  3. DTB2

    DTB2

    That and it's the moving goal posts of many studies.

    Imo the early slide gives the most information. It's been morphed into average winning $, then average win $ per day, now median P&L which tells nothing about net expectations. The largest loss is good info but where do the lesser losses cluster?

    IMO, it's always just enough to titillate, not trade.
     
    #903     Oct 6, 2016
  4. #904     Oct 6, 2016
  5. DTB2

    DTB2

    There we go, after all the machinations, selling 1SD SPY strangles = $25 (Net) expectations, risking $256 and tying up $3,800 +/-.

    8% return, similar to what other MM has shown.

    Really, people can't make 2 ES ticks a day while risking 5 points? smh
     
    #905     Oct 7, 2016
  6. The experiment performed well this week. Net liq was up $4,032.75 for the week and is up $29,859.26 since April 5, 2016 (19.90%).

    Theta is 310, delta is -666, and vega is -2205.

    Have a great weekend!

    Bobby
     
    #906     Oct 7, 2016
    drax likes this.
  7. Pekelo

    Pekelo

    Question for Bobby: How much has been the commission YTD?
     
    #907     Oct 8, 2016
  8. Pekelo

    Pekelo

    So since this is the weekend, I am reading Karen's lawyer's Motion to Dismiss the case. Not through yet just randomly picking pages, but he is full of shit.

    On page 30 it says "she didn't act with scienter or negligence because the funds had discretions to adjust the trading activities to respond to changing market conditions."

    Well, guess what? There was no changing market conditions, but there was a huge change of incentives (they disappeared) with the losses, so she had to create them and that is exactly what happened with the "scheme trades".

    I still have to read the rest, it looks like they are using the "we fully disclosed everything" defense, and that is actually true. The fine that Karen had to pay earlier might prove to be an excellent investment, because after the fine they did include everything in the disclosure, so investors can't accuse her of blinding them. The actual blinding happened with the scheme trades, those had no other purpose than creating fees for Karen.

    Anyone who has no life or retired and wants to read legal papers:

    https://www.yumpu.com/en/document/view/55949892/mtd-briefinsupport-09012016

    Here is the SEC's Opposition to Dismiss:

    https://www.yumpu.com/en/document/view/56010098/mtd-opposition-10032016

    So if it goes to trial, the fight is going to be around the scheme trades: Did they have a chance to create profits for the investors (a big no) or were they just for incentives' sake (of course)?

    Oh, I wanna be a fly on the wall in the deliberation room when one juror asks:

    "So what are these futures thingies again? :)
     
    Last edited: Oct 8, 2016
    #908     Oct 8, 2016
    DTB2 likes this.
  9. sle

    sle

    How's the super-trader doing the past few days? he's been eerily quiet...
     
    #909     Oct 13, 2016
  10. luisHK

    luisHK

    I don't know about OP but I've been back to selling monthly unleveraged 2% strangles on SPX for the US equities part of the portfolio for a few months and this month is perfect so far, some volatility (already there at the time of selling options the last monthly expiration day) but the SPX hardly going anywhere. I don't vouch for the next 10 days but this monthly cycle is so far so good for atm sellers on US indexes (getting hammered on long equities positions in other markets though).
     
    Last edited: Oct 13, 2016
    #910     Oct 13, 2016
    d08 likes this.