70 handles and counting. PPT doesn't have enough capital to meet margin calls. Almost certain chance of 5 std dev week at this point.
nice to see finally a rebound happening. "Models can remain irrational longer than one can stay solvent." Shortie Maynard Keynes Out
Yeah, but who bought 1011 ish ? Very difficult to do in RT, imo, since the logic of the bounce there at this level was non-existant. That is why this game has to be played with lots of money. Whoever bought 1011ish doesn't care about 10 handles - that is completely meaningless to e.g. Fidelity. But to you and me...I might have risked 1003.50 ish, but 1011? No way. Too bad, because it was worth a relatively painless 15 handles on five units. One more note. If you use dynamic position sizing, this 1000 ish levelwith 50+ NFV edge would be, "take out he 37 ounce bat" size (unless we break key support, in wich case we take a stop loss). I strongly believe that SIFs should only be played by people that can do dynamic position sizing between 1 and 5 contracts, and multiples thereof. At 7 edge, we do 1 unit, and 14 edge we may do 2, at 24 we may do 3, and 40+ we do 4 or 5. We have our biggest position on when the edge is galactic. On top of that, you have to be able to withstand a move against you to the next support level given the number of contracts comprising your position such that a stop loss move does not exceed 1% of total equity. That means you need real money to trade 5 contracts, with the support levels as wide as they are now, at least $250,000 of risk capital. On the plus size, a high VIX tends to be the flip side of wide support levels, which means you can continuously be putting on and taking off positions from your core as the market roller coaster is fed by VIX energy. You might say, well, what if I just play with one contract? That is fine, but then you should go and study Fractional Kelly and it's proof.
Well that could work. Try looking at the B/A spread of ITM options (MMs need to be compensated for delta risk). Also, the less ITM they are, the more skew risk you have. Don't complicate your life unless you have to.