I gave up $8K on the fill by going to the market on the open and now the close, but I stated that I would do so to make it worst-case on microstructure. Netted >$38K on $35K in haircut. Shorted one ES against the position and close it as well. Net gain for the week was $38,517.50 on $125K in net liq. I never utilized more than $35K in haircut on vol. I shorted one ES against the position (which was a loser). 31% return on net liq in four days. I just wanted to show what is possible if you actually have some knowledge and experience in vol. The OP has none.
You know des, I'm not saying I don't believe you... because I do 100%. But with all due respect, it would really help if you gave precise details of the exact trade and its thesis. After all, I'm a covert agent, and I need to bring something back to my clandestine organization. Otherwise... I'm going to be exiled to Siberia!
My hat off to your magic. If I understood correctly, it was substantially long theta and long vega... Small long delta on low gamma, ES maybe to hedge delta... Very complex stuff lol I guess you wouldn't elaborate further on how to get those greeks at inception
Post source code if you can! Lol You know, like I do. Hell... you can copy and paste my content directly! We actually have to think about what you're doing and take wild, barely educated, guesses
Yeah, I know it looks nuts, but there are 4-5 guys on here that saw the trade and are privy to it from my TG vol-group. They signed an NDA and it would be self-defeating for any of them to divulge the methodology. I can show more detail on the summary page to show that everything was done at market. Obv it's super low-freq with only two trades for the week. It was well timed, no doubt. I only posted it to show how absolutely amateurish it is to promote the OP's put-short method.
It's margined as a rates-arb (box/roll/conversion). The only arb with more rho IS a pure rates arb. Under SPAN and TIMS I can add SPX 8-10 lots with no added haircut. At a point the concentration input kicks in and it starts asking for added req. I try not to trade these as COB-orders as I don't want ppl mining the book. I once had $100K vega in an SPX trade that required $70K under TIMS.
No one's questioning your veracity. We're just looking for a "free lunch" Seriously... kudos to you! Enjoy the proprietary IP you've created