Long-scalping equity options against time decay and market drift

One update for the week and then I will take my leave until the cover.

 

it's fine. I just meant in this thread, not a perma exit. all good.

 

Yeah, this thread's been a gem but it's getting a bit long in the tooth now.

 

Running PNL on vol-arb. 11% on net liq. 40% return on haircut. In two days.

 

That's not enough, Destriheart. We want MEAT!

 

Thanks for reminding me that this metric is more interesting than people tend to think!

 

My BP is about 5x the account equity right now... how much room you think there is for improvement there? That is, without taking advantage of any glitchs in PM/TIMS

 

There are a lot of efficiencies to be had. For example, under both TIMS and SPAN, trading a combo-fly improves haircut by roughly 2/3rds over a natural put or call fly (vertical). It always pays to run the combo/vertical. There are others as well.

 

Dollars mean nothing only percent

 

Obviously you've yet to harness the "layers" sim-edge. Pfft to %-return.