Long-scalping equity options against time decay and market drift

Discussion in 'Journals' started by fullautotrading, Jan 31, 2022.

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  1. exactly.
     
    #331     Dec 2, 2022
  2. spy

    spy

    Oh, as in "beta".... gotcha.
     
    #332     Dec 2, 2022
  3. lol no no - the very fact he thinks you're someone else is disproven by you not having a clue who I was referring to. :)
     
    #333     Dec 2, 2022
    cesfx and spy like this.
  4. spy

    spy

    Ahahah... ok, I see, that I have 2+ accounts. No, that's crazy.
     
    #334     Dec 2, 2022
  5. Great "proof".
    I am going to submit it for consideration to be published in the "Annals of Mathematics".
    Wait for the referee report :)
     
    #335     Dec 2, 2022
    spy likes this.
  6. While the kids play joyfully in the kindergarten, let's take a look at the market:

    upload_2022-12-2_22-41-24.png

    ES FUT 202303 CME 50 E-mini S&P 500 [ESH3, 495512572, mult: 50]

    ES is still up at 4101 and this means more losses and decay for our long legs (layers in "red"): -17K, -27K and -39K.


    upload_2022-12-2_22-42-14.png

    However, we need a "protection mechanism" for our gains, even if costly.
    Also, we are building up a specific payoff configuration.
     
    Last edited: Dec 2, 2022
    #336     Dec 2, 2022
  7. dude, you're just fulfilling every checkpoint that they're claiming against you. this feigned arrogance is tiresome and easily observed by anyone with an IQ north of 100. you have nothing. if you had something you sure as f*ck wouldn't be soliciting to manage for others. you'd keep it all to yourself. spare us all the altruism.
     
    #337     Dec 2, 2022
    spy likes this.
  8. My poor friend.

    You would be surprised to know how many people appreciate my "altruism". LOL!
     
    Last edited: Dec 2, 2022
    #338     Dec 2, 2022
  9. mmmkay. and no, i'm not your friend. good luck with your endeavors.
     
    #339     Dec 2, 2022
    fullautotrading likes this.
  10. The leg inflicting the largest loss is this one, with around -40K (and we have other 2 of those losing legs):

    upload_2022-12-2_23-4-21.png

    ES FOP 20230818 4000 P CME 50 E-mini S&P 500 [EW3Q3 P4000, 574680266, mult: 50]

    Could we have avoided it? Yes but in that case, we would rely only on the long scalping activity of the automated layers, in order to hedge, like for instance shown here:

    upload_2022-12-2_23-8-51.png


    Transfer: ES FOP 20220531 2400 P GLOBEX 50 → ES FOP 20220826 2750 P GLOBEX 50
    Transfer: ES FOP 20220826 2750 P GLOBEX 50 → ES FOP 20220916 2870 P GLOBEX 50
    Transfer: ES FOP 20220916 2870 P GLOBEX 50 → ES FOP 20221114 2800 P GLOBEX 50
    Transfer: ES FOP 20221114 2800 P GLOBEX 50 → ES FOP 20221230 2600 P GLOBEX 50
    Transfer: ES FOP 20221230 2600 P CME 50 → ES FOP 20230120 2800 P CME 50


    I much prefer this folio configuration, because most of the time we end up "eating the protection" too, as often we can turn it into a profit. We will see ...

    Note that we started this trading session without any "protective structure", but only relied on long scalping. This is the period of the war news that has caused a 5% DD.

    Certainly not so bad, considering we had only naked shorts. But in that case, the "protection" would have spared a lot of it.
     
    Last edited: Dec 2, 2022
    #340     Dec 2, 2022
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