Yeah, no variation-margin on vola. Meaning no naked shorts. Mainly because it's too hard to monitor intraday haircut. Second, why not simply buy some garbage wings to keep to a debit requirement?
Will be doing more than short term premium selling. I am mainly interested in short strangles to counter my opponents butterfly plays and their potentially inherent statistical advantages. Basically I will be going for maximum theta decay with a directional bias and using a tight stop against my most "vulnerable" side. In addition, I will provide details on opening plays, day trades, and reversion to mean trades. A major component of this competition is for, hopefully, the benefit of ETers.
I thought of the garbage wings idea, but would run that by you. However, as I will be using a live account with real money, my objective would find a platform that would provide the accounting this competition deserves. I will contact Robert Morse for ideas on a good platform for this purpose.
Bro, any naked strangle that you put up will be beaten on nominal decay, simply by buying wings. Say you're in ABC 90/100 outside strangle from $4,000 haircut per contract. I can buy the 80/90/100/110 condor for say $700 in debit req. A three lot at $2,100 debit and my decay is twice yours. Not dissing you, but how do you not get this? Just buy penny wings.
Just open up an IB account. You get a debit card with it. $0.50 per contract and you buy penny wings. You're talking $5-$10 in additional cost.
You are paying theta decay on your long wings. The structure of my short strangles would be short 1 at the money and short 2 out of the money. I understand I will almost always be underwater for at least day or two with this strategy. Using money management and reasonable leverage, this trade type can be less risky than an outright position on one of the sides. I understand position sizing and risk management. Besides, IB tends to be conservative, not that I would get anywhere near using maximum leverage.
Don’t take this wrong, but a couple 0.02 wing strikes are not going to decay. You’re talking 5X the debit req so that you can sell naked. I cannot remotely monitor your intraday haircut.
Why don’t you already have an account? Why contact Morse on ideas on a good platform? You’re already spinning in circles, Bring in Handle123 off the injured reserve!
I'm talking about a dedicated account specifically for this and potentially future trading contests. My normal trading style is different to what I will be showing here. I want the ability to show actual account screenshots of all the trades done for this contest.
I get it, but just buy wings. Back in 2002 I posted the gains from the COMS RAES arbitrage here and the OCC had a paper copy of the post and used it against me in Discovery. I can understand not wanting to use your default account, but wings are literally a Big Mac meal.