I’ve been trading from the short vol side for 15 years. I only lost money in 3. And all those losses were less than 10percent. Short vol doesn’t blow you up. Leverage does.
87 had to be put selling...What else could it be??? VOL exploded to 200 plus and clearing firms forced traders to close short put positions in the hole as they had 10 bucks in their account... The opening fills to cover puts were so insanely priced,the exchanges tried to get market makers to adjust pricing well after the trade..if I remember correctly,days later
It's been, what, just over a week since SPX realized like 5% in one day with VIX implying well under 2% (<30 / 16) for the month??? How quickly people forget.
Try again. Think parity. Ironically, J P M pre-Bear Sterns ran the benchmarks. 87 was pre-Glass Steagall. So limited Institutional participation. The world evolved around the OEX. The funny part of this - the OCC was unable to risk calculate for options priced over $99. Their systems could not carry an option over $99. If you were a MM and sold an option for $3 and it last traded at $102 - it showed on your sheets (yes sheets back then) at a profit. What strategy lost the most money?
Still not sure where you are going..I traded OEX and XMI. I knowxhow much I sold puts for( long conversions) on the opening.Cant imagine anyone losing more money than naked put sellers..
less than 10%? That's like what? 9.95%?? That's still a lot. On a $100K portfolio let's say, you would've lost close to $10K, that's 6 months of mortgage payments for somebody. Remember we are talking about retail traders here not some big-shot institutions that have trillions of dollars of assets. Even if you shrink that portfolio to $10K, 10% is still $1K, that's still 5 weeks of grocery for a family. So basically one loss, that entire family doesn't get to eat for 5 weeks assuming the trader is playing with only $10K of their savings.
If you ever read Ron Insana's book he has some great stories about 87. He was in the CBOE classroom and when classes were canceled, he just roamed the floor for the week. "Trader's Tales." It may be hard to find.