Options PnL

Discussion in 'Risk Management' started by Hunnusunnu, Jun 28, 2018.

  1. drcha

    drcha

    Averaged 5.2% per month over the last couple of years trading RUT. Some trades bullish, some neutral.

    But only using 4.5% of my account for options. Options trades can go to zero. Need to stay small with these things.
     
    #11     Jul 20, 2018
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  2. ironchef

    ironchef

    Great returns! Have you calculated your Sharpe and Kelly?

    Since 2013, my aggregated trades returned better than SPY but Sharpe is the same, so the reality is I have no skill, it was just leverage and luck? :(
     
    #12     Jul 21, 2018
    Hunnusunnu likes this.
  3. drcha

    drcha

    I have not calculated Sharpe yet. Kelly says I should use 8% of my account but I have no intention of doing that.
     
    #13     Jul 22, 2018
  4. ironchef

    ironchef

    So you use ~ 1/2 Kelly, consistent with what Ed Thorp said, used 1/4 to 1/2 Kelly to significantly reduce risk of ruin without significant reduction in gains. :thumbsup:
     
    #14     Jul 22, 2018
  5. drcha

    drcha

    I just set it to the sleeping point, and I guess that comes out to about half Kelly ;)
     
    #15     Jul 22, 2018
  6. You seem to have a distinct strategy. Can you please elaborate on "sell vertical spreads on stocks you like" ?

    You are selling 5-10 spreads on average. What is your average selling price?

    When do you enter the trade? Timing is important.

    Also Why ATM? Why not OTM?
     
    #16     Jul 24, 2018
  7. sle

    sle

    If you are net long, that would be indeed so. Someone who is market neutral should not compare themselves to the broad market for risk adjusted returns.
     
    #17     Aug 4, 2018
  8. ironchef

    ironchef

    Yes, basically net long, no big hidden edge, simply use options as leverage.

    I have been trying to trade market (delta?) neutral (volatility, spreads...), so far :thumbsdown::thumbsdown::thumbsdown:. Any advice for me?
     
    #18     Aug 4, 2018
  9. I want to believe you but I don't believe you. How do your neutral trades lead to this much return?
     
    #19     Aug 7, 2018
  10. ironchef

    ironchef

    But you believe Darcymac who only made one post?
     
    #20     Aug 8, 2018