Enjoying a little beach time with the family this week. The experiment is doing well, up 20.9% so far.
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.
Thank you for your reply. Let me take a careful look to try understand the strategy and its implications. Regards,
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!
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 % 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.
If you have read anything regarding my strategy, you realize that there is a relationship between the two - delta and vega. Unbelievable!
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.