@robertSt @Magic @destriero I paid -0.32 for mar05/mar19 24put/19put 1×2. Is this a valid way of structuring robertSt's trade?? Flame me down please, Thks in advance. My thinking is that Gap Risk is the biggest hindrance to this strategy, so the 1x2 gets you long some vol in that scenario, at cost of premium.
FWIW, closed above at evens. Ive have PLTR and FUBO diagonals on, they are both at potential swing-lows from sell offs, Long PLTR Mar19 22.5/Mar05 25 Put Diag @ -0.15 Long FUBO Mar19 34/Mar05 38 Put Diag @ -0.07
CBOE PUT index: https://www.cboe.com/us/indices/dashboard/PUT/ There you can get a feel for performance expectation.
This is pure gold.. Let my try to fully understand it, so you Destrieroed your way into a LONG put diagonal 25/20 Mar05/Apr16 for a credit instead of paying a debit?. Or you sold that diagonal and flipped to debit that fast?.
That was the sentence that changed everything for me. And he does mean it flipped to debit from credit the same day.
This in an interesting tidbit, thanks for the heads up!. You have any idea on the logic of this? from the broker or MMer perspective I can't grasp where's the reduction in risk (besides the small amount of Delta offset). I have a long time with IBKR and never noticed that (never sell naked upside anyways). I would have thought that buying a down put is the real way to free margin.
I think IB's risk management most likely looks at the current + expected change in gamma of your net positions around option margin requirements. I always noticed the farther away from the biggest gamma slope, the lower margin requirement gets. maybe I'm wrong, just a personal observation.
Hi all, about a year since my last post. I see there's a bit to catch up on in this thread, seemingly some interesting posts to read in more detail. I've not been trading as actively of late or as at my last post, as I started a new job some time ago, it's been keeping me pretty busy. I'm still here though, and long run return remains roughly about the same as before. Some people were wanting Sharpe and Sortino. My long run Sharpe is currently about 0.55, Sortino about 0.89 (FundSeeder's Sortino/sqrt(2) = 0.63). I have some quibbles with Sharpe and Sortino blindly applied, it can get torpedoed by what is actually meaningless volatility and the actual value of Sharpe also vary a lot over time depending on periods employed. Meaning if you look at e.g. shorter run rolling average Sharpe then it is between 1 and 4 for example relatively regularly. Yet this is of course invisible when just looking at the long run Sharpe. An additional pertinent example, I was subject to some pricing anomaly on something I held on 14/04/2020, some peanuts long options (don't quite remember what it was) but in any case that for whatever reason was priced at some silly amount but with no liquidity so not realizable, this showed up as a massive bogus spike in my account valuation and was of course corrected the next trading session when the market repriced/corrected etc. The consequence of this was however that I ended up with this seeming massive equity curve spike in the data and consequent drop in Sharpe, with being "underwater" since then, because hey, for a brief moment my account equity was at some allegedly really high value so of course I'm now underwater etc. Bogus nonsense. Further digression, about a decade ago I experimented and used Sharpe, Sortino and friends quite extensively doing my own trading research/models on directional strategies and using these measures as sole or part of evaluation/fitness functions. I mention this only to say I'm not a complete neophyte re Sharpe, and have quite a bit of hands on experience and feel for Sharpe and other quant measures. Sharpe is not some silver bullet and only one of many potentially useful measures. A really high Sharp for example looks really good when you see it, and seems to, by its very definition, imply safety and wonderfully higher returns for the risk taken. But in practice it can very easily merely mean the risk is not reflected properly/seen/quantified. E.g. I get suspicious of really high Sharpe ratios, in my experience that can actually be a warning sign and end with some massive blowout out of the seeming blue. E.g. it's much better to have a slightly lower "noisy" Sharpe implies the punches the market throws at you are therefore "seen" and accounted for regularly enough in the data that you can actually more or less trust it not to be too optimistic, rather than with the really high Sharpe ratios where there's "hidden" rare extinction events that is interspersed by super long periods of "all is well", so to speak... Sorry I'm rambling apologies if that doesn't make sense.
Too lazy to go thru the thread,but it appears that Magic bought the Apr 16 20 puts and sold the 3/5 25 for a .70 credit?? Thats a pretty bullish trade,sweet spot at 25 on expiry If he let it go to expiry on the 5th,stock closed at 23.95,,Short put =1.05...Vol was super pumped in early March, IV 30 close to 100,so his long put was worth apx 1.50 plus...Today,the same 20 put trades at .27 as they crushed vol.... With any luck,he got out for a credit