Andy, I can't really give you hard numbers. He generally looks for about 10% on an IC. But when he goes out 7 weeks, i think he generally gets 6 to 7% on each side. Also, I believe that Gator also subscribes to his service and follows him more closely than I do. He can probably provide more information on Mike's success rate. I don't follow him as closely anymore because I lost a good chunk on a Google IC that he recommended over a year ago. It's that loss that precipitated my only doing credit spreads on indices (my personal preference now). Still, I don't think he has ever lost on an SPX trade in the 14 months that I've been watching, but I'm not 100% sure on that.
Hi Coach, I was away from this thread for months. Does someone remember when or where in this huge thread the VIX as hedging had started to be used or explained by Coach Also what kind of event is a black swan ? Thanks Denis
Here is where the VIX discussion started: http://www.elitetrader.com/vb/showthread.php?s=&threadid=49586&perpage=40&pagenumber=121 A Black Swan event (no clue where the dumb name came from) is an unexpected out of nowhere event which causes the market to crash very hard (9/11, October 1987, etc..).
Found here and with almost the same wording you used... http://en.wikipedia.org/wiki/Black_Swan_(disambiguation)
Coach, Were you aware that some of the subscribers to this thread were not attached to their computers 24/7 reading and replying to posts? I thought that was part of the rules of engagement! LOL Cody
Coach: Earlier today I posted and I included a question regarding your use of futures to hedge black swan. It seems like your general attitude towards the black swan is that you have futures that you can short and possibly the VIX hedge will turn into something as well. So this gives you a reasonable comfort level that you will be able to manage the black swan risk. But if a person doesn't trade futures and is unsure and inexperienced on how to use these during a black swan event, then should they feel as sanguine when the black swan event hits? Thanks.
Black swans by their nature are generally unhedgeable even in this 24 hour trading environment. Think about this for a minute- you are short gamma and an exogenous event happens at 10PM EST. What do you think the emini book is going to look like. I can tell you that there would probably be 1 lot bids every handle. In other words the gap risk is still there. Bottom line is position sizing or owning some teeny options as insurance.
GA: I don't understand what is meant by gap risk, particularly when you say there will be a bid at every handle. I'm a newbie to understanding this. Thanks.