OUCH premium sellers in AUG. http://www.ljmpartners.com/english/history.php 2011 Aug -32.66 The trading strategy for the Aggressive category will include short options (puts and calls) without hedging on the S&P500 futures index.
You should see the performance of FCI - Financial Commodity Investments. One of my associates [had] an account there, and lost approximately 48% in August. Everything lost. Short calls on Swissie, T-Bonds, Gold; puts on Crude oil. ...and they still added insult to injury, collecting a 0.167% monthly management fee.... Bad for them; good for us.
I have to get into a racket like this, where you can get people to put up money so you can gamble it away. Dream job.
You expected Aug to be a good month for them?... Of course they lost. They sell premium aggressively -- that's fully disclosed.
What I find amazing is that while they sell premium, their historic risk/reward seems to be good. They do lose money in sharp selloffs and highly volatile periods, but they seem to make the same amount of money in recoveries and quiet periods. They don't have the same risk profile of most premium sellers: it's more balanced. For the amount of theta that they sell to make returns in the quiet periods, they seem to do a decent job of tail hedging.
At $20 per spin, it's a broker's dream. Another option seller who blew up is Ace Investments out of Virginia. Pretty much any CTA promoted heavily by VISION FINANCIAL is going to be dog sh*t.
Flat or -skew on all. If you're going to sell index vol then don't do it via proxy. Get paid for the risk.
Ha. These guys won't blow up though. I think this is more family office and less client focused hedgefund. The founder is a tech guy who made a lot of money selling Spyglass to Apple (or something like that).