I would imagine the algos will hammer ES very quickly (up or down), a lot faster than a unexpected UK vote. They will be all over the news feeds for exit polls and things like that. I bet will be a nightmare to delta hedge through that
I would say the ex-ante odds of Brexit and Trump are pretty similar--same as an average MLB baseball player getting a hit in a given at bat. I'll wager $1 with you that the largest 15-minute body of a candle is no more than 30 points on election night.
the problem are the fakeout bars, there will be a period where no one knows shit but they will speculate based on headlines. you can short and then see ES rip your face in a rally
I don't disagree that there will be fake outs. However, one shouldn't delta hedge every tick. There's definitely a chance of whipsaw, but the premium cushion going into the event provides a buffer.
Because: 1. He has a vested interest in giving such advice (trade small, trade a lot). 2. He didn't make his millions by trading but by selling his company. 3. He doesn't have a positive P/L in his show trading options. So why would YOU take an advice from such a guy?
Last night was nothing short of amazing! Virtually all of my GTC calls closed at 50% profit. Today my greeks are out of line. So, what do I do. I start chipping away and sold a /ES 30 delta call with 37 DTE. My theta is 141.69 (very low), delta is +232, and vega is -583. My t/v ratio is .24. As of this moment, the experiment is up 41.5% since April 5. Happy Trading and congratulations to President-elect Trump!
Bobby I think it was better when you had your spreadsheet on page 1, everyone who's interested in your journal can view your trades.
I know not to mess with success, but I wonder: 1. Time decay is slower in the first 20-30 days of the 50 days expiry, so wouldn't it be more profitable to use 20-30 days to expiry, instead of 50? 2. Why close a winning trade at 50%, when it has actually just showed that the direction was right and there is a good and faster chance to reach the full 100%?