LJM shorted index puts. I'd be down 7% if I'd taken the opposing positions (excluding ES loss), but TT would take issue with buying vol because he doesn't know what he's talking about, and he'll never respond to questions. The fallacy that "short gamma" = ruin. I trade long gamma all the time, but as OTM positions in single names. This isn't a hedging thread; it's an active trading thread. I still spread any long vol position. I have plenty of long singles in puts in my trading accounts. The question stands: what is the difference in terminal risk on the following IC? Addressed to truetype. Short or long the 90/100P 110/120C condor from 5.00.
You're kicking a dead horse. My point is it's better for the spectators to see a clear test of market directional trading. Your point is you believe you can predict vol also and don't want to cede that advantage. It's not even a disagreement between us.
Better how? How has it worked for vanzandt? He's holding 33% in one loser. Did you learn anything from his trading? Posting calls on the ES thread would provide nothing. I predicted vol in every trade--you suggest that it's an advantage because time = synthetic vol and I have an edge from decay. Of course you're wrong. The debit on the position is analogous to the moneyline in sports or casino gaming (don't pass on craps). The moneyline in the BA trade was 24/16; 3/2; -150. The -150 odds is the debit is premium (over even odds) you pay for probability. You'll never get it but there is no inherent edge in short gamma. The edge is in the discount on the moneyline. I took the -150 wager in BA because I determined the wager to be fairly-valued at -200.
Simple question destriero if you have the time, but feel free to expand on the nuances if you see reason to do so. If you couldn't trade these fancy options spreads, if you had to simply take a position, long or short, in either a stock or a future, how would your PnL differ from your results thus far? How different would your win rate be? What type of risk to reward ratio would you use or find works for you (ie. 1:1, 1:2, etc)? Would you ultimately still trade in this manner or would you say your edge is greatly diminished buy having to pick a direction and go with it, having only a stop and profit target? As I've said before, the trades you put on are quite complex, to the average ET viewer at least. I read from some thread a while back that you're a psychics major and hence mathematically inclined. So does this extra complexity allow you to have a much better win rate than if you had to trade as suggested above? Would you say that these exotic options spreads allow you to lessen the risk and increase the win rate? Of course there are many people with your skill set (once you're in a circle of high level math guys), so I'm sure the competition at your level is still quite strong, so what makes what you do different than what others could accomplish if they had a deep understanding of what you do? (I doubt most math guys are pulling in what you're pulling in) Sorry, guess it didn't end up being such a simple question, but if you could comment in any way, that would be great!
Think about it in terms of sport-futures. Pats vs/ Eagles with a opening quote of 60/100 (24/40; debit paid/terminal value).
You cannot compare an outright delta1 long/short to what I am doing. I can replicate the PNL of any futures position better in vola. Sure, I cannot scalp intraday in the vola outside of trading singles and I am willing to do that. It's not the complexity but the area under the curve (stat vol/varswap payoff). Say that you think Boeing rallies but with volatility under what is implied by the BA options. Where do you think you'll make more money? Buying Boeing shares at 333 or paying 60/100 in the options? "Math guys" on the sell-side are making markets in vol. Buy side guys are price takers and take outright bets in varswaps as it's a perfected play on stat-vol. The issue with what I do is capacity if you're trading single-names (index components). I am somewhere in between as I have worked (work) as a PM. Is there an advantage in a neutral fly paying 40/100 *if* implied = realized vol? Yes. Is there is a statistical-advantage to buying the BA fly at 60/100? Not if I was wrong on vol. None of this stuff is complex. There are instantaneous markets in everything that I trade via the complex order book (COB).
Last comment about the Boeing trade. Was there any opportunity, outside of any complex option position, to earn 30% in a single trade in Boeing this week?
Why do I trade so many asymmetric flies? Because I look for scenarios that fit the payoff. So in that sense it's the tail the wags the dog.