I've got a pretty fun little experiment going on right now. I'm trading a $35k account for a friend and I intended to use Robert Lichello's AIM method. But as usual, I can't help but tweaking the formulas to suit my needs. It is way too early to draw any conclusions, but my "Hot Hand" strategy is kicking the S&P 500's butt since March 29, 2021. I'm up 11.8% compared to the S&P only portfolio at 5.23%. Basically I'm using Ultra proshare ETF's for the core trades, and I'm allocating more funds to the ones who are outperforming and taking cash from the underperformers. Then, I'm balancing the Greeks using various options strategies. I'm realigning the ETF's every Thursday. Happy Trading! Dr. Sweet Bobby
The low volatility environment is a challenge for option sellers, but I’m currently being paid for my existing positions that were placed in higher volatility times. It’s no time to be a buyer of options, in my opinion, so I will continue to be a seller and just keep my position size smaller. Happy trading, all!
Nice to see you still around! You put up a good fight against Destriero, and although I kind of understood why people were shitting on your strategy (options are over my head), I still thought that you did a great job of standing up for yourself and winning the bet!
Sometimes calendars can be a good stand-in during low volatility environments since they're positive Vega. That is, assuming you expect IV to rebound.
Ron Bertino had some interesting opinions on calendar spreads. I’ve done a few. Have you found them to be successful?
One of my strategies switches between iron condors and calendars depending on the volatility regime so I end up using calendars about 1/3 of the time when vol is low, like right now. I open the spreads anywhere between 45 and 75 days out and I never hold less than 30 days to expiration so the profit/loss model between calendars and iron condors ends up being quite similar. The model for iron condors versus calendars at expiration, which is what you usually see when people compare the two, isn't really relevant since most traders don't hold that long. The only real difference for me other than iron condors being negative vega and calendars being positive vega is calendars are a lot more capital efficient so my mental stops are a bit tighter to make the trades comparable. My long equity trend following strategies suffered a bit in 2022 but my premium selling with the iron condors and calendars had one of its best years.