Karen the Supertrader - TastyTrade Hybrid Experiment

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

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  1. Enjoying a little beach time with the family this week. The experiment is doing well, up 20.9% so far.
     
    #911     Oct 13, 2016
  2. F_488

    F_488

    If you want to know how the Super Traders doing you need to go to page 1 of the thread and look at his trades, he always updates them.
     
    #912     Oct 13, 2016
    Sweet Bobby likes this.
  3. ironchef

    ironchef

    Thank you for your reply. Let me take a careful look to try understand the strategy and its implications.

    Regards,
     
    #913     Oct 13, 2016
    Sweet Bobby likes this.
  4. The experiment had a nice week. The Net Liq was up $3,618.23 for the week and up $33,477.49 since April 5, 2016 (22.3%). I initiated 10 opening trades for the week. My theta is 366, delta is -8, vega is -2345. As you can see, my delta is out of line and I begin the process of pecking away to get it back in line. Have a great weekend and Roll Tide!
     
    #914     Oct 15, 2016
  5. i960

    i960

    Too funny. Your delta is out of line but your vega isn't?
     
    #915     Oct 15, 2016
  6. Hi Bobby,
    are you aware of the new Study from Tastytrade regarding the portfolio allocation to strangles? I think its the first time they provide actual capital curves. This is the third section and it includes basically your strategy selling strangles and managing and allocation of 25 %

    upload_2016-10-15_13-35-19.png

    So the good news is they outperform B+H. But look like in 2008 the curve stayed high even when SPY already was falling and then it dropped like a stone. And inbetween there are sharp downspikes too. I think its a positive strategy but still pretty volatile. Maybe it should be applied to different underlyings to flatten the curve.
     
    #916     Oct 15, 2016
  7. If you have read anything regarding my strategy, you realize that there is a relationship between the two - delta and vega. Unbelievable!
     
    #917     Oct 15, 2016
  8. Yes, this was a great study! Further validation that I'm on the right track.

    Bobby
     
    #918     Oct 15, 2016
  9. i960

    i960

    Of course there is a relationship - anyone who understands anything about option greeks already knows that. That doesn't change the fact that you're still way more short vol than anything else. All it'll take is one gap down open that doesn't come back to smoke you out.
     
    #919     Oct 15, 2016
  10. Keep talking old man.
     
    #920     Oct 15, 2016
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