poopy's competition journal

Covered shorts, long a bit of delta but will gain more from volcorr than lost on delts. Just shy of 4% gain on the week.

 

my curves basis ES.

 

The tailz fund is now flat, three shorts and three losses. Portfolio down 1.31% for the week. Was anticipating a change in market trend that never came, and didn't have the gutz to put on more longs.

The good - losses kept small

The bad - three swingz and misses, struck out

Such is the life of a directional trader. The strat just goes out of sync at times and you gotta cut size / activity down.

Congrats to the king! This comp isn't over, but the trend is obvious!

 

Some pointers on structuring index as primary or as hedge in RV (relative value) (or skew locks).

RR -> bear puts (OTM) are revenue side (25D puts - calls >1) -> (all) bull verts (OTM) revenue side -> OTM index bear spreads (all) trade under market -> benefit from volcorr -> structure SN up -> index down due to vert revenue figure. You are generally a buyer of upside calls, seller of cs; seller of puts, buyer of ps.

Take the above and model sticky/volcorr. IOW, will skew modality flip (dynamic) exceed loss to volcorr (upside)?

Vol-edge in complex positions or rel-value can be ranked by initial delta position and normed by dgamma/ds and dvega/dv.

 

I'm sure that makes sense, but I literally can't even. Thanks for sharing.

May as well throw my methods out there, since I'm going to lose and no one is going to copy this.

Range trading within trends, stocks pulled from the screener >100% last 12 months, momo still intact on weekly, moving average position sets the colors, and anything in bold is worth looking at tomorrow.

So simple even Mr. me-like could handle it!

 

I think dumbing it down Poops means sell expensive vol, buy cheap vol.

 

Markets sitting around like a cat on a fence, testing the water with small long position, .52% portfolio risk.

For the sake of this comp I believe the OP intended <5% dd for open or closed positions so if I get lucky and have any open profits, they will be on a leash! Old pros at this type of trading would let them fluctuate back to break even at times, depending on the system.

 

Not what I am getting at, but ofc, it's the basis of relative value. If the swap (SN/index or index/index) is large enough you can have all areas of the curve above x. Say you're structuring relative value with structures netting to terminal gains into the right tail (bull). High vol bullish, low vol bearish, edge expressed by the net delta on the pair due to the vol-diff.

Low vol bearish in index is revenue side if traded as a vert (any/all verts). The edge in SN is due to the micro-risk, not skew. SN vol high -> index vol low -> bear verts at edge. Generically, I am not buying put spreads in index. These are COB 3-legs and term-structure(d).

(unrelated) there are local edges due to skew (ATM cs/ps>1) that can add 100 beeps in edge to complex arbs (skew locks, etc.) while awaiting skew to flip.

 

I am up 4.5% from inception. Peak to trough (PTT) draw down of 0.8% closing basis. 5.5x risk.

 

(skew to flip) index price trading above the position's primary strike. Either the index rallies past my strike and modality flips or the index trades lower and I earn on Vega.