Recent content by Herkfsu

I have a general understanding of how margin works and have historically just focused on my excess liquidity and SMA balances to make sure I am in the black. But can someone help me understand a couple of things? In the example below I have ~$20k in short box spreads and about half of my assets...

I guess another question would be, would my broker automatically label it a wash sale? I am not sure if they do that for individuals who do flips of VOO and SPY for example. Maybe its all up to the individual for identifying "substantially identical" securities.

Does anyone have any strong opinions on here as to whether these two ETFs are considered "Substancially Identical" for tax purposes(wash sales)? One is short(SVXY) and the other is long(UVXY). One is .5x levered and the other is 1.5x levered. They track the same index, but in different ways...

Tao, thanks for posting this research. Goldman laid it out nicely. I would be curious to know how much of those returns come from the interest on 1m treasuries that the collateral is being invested in. If selling 20D puts only resulted in a 5% return, when t 1m was ~4% for at least half of this...

If I wanted to compare IV skew of OTM calls and OTM puts, what would be a fair comparison in regards to moneyness? Given BSM deals only with log returns, simply comparing a 5% OTM call with a 5% OTM put would not be correct. So I am guessing it would be one of the two... 1. 30D Put vs 30D Call...

So institutions don't hit bids far OTM to take advantage of the IV skew because the gap risk is simply too high?

Thanks for the reply! All this is great info for me. I am really just trying to find the most efficient way to "sell insurance" as part of my portfolio. If I come across as trying to find the holy grail of option trades, I am not. I believe markets are extremely efficient, but with that comes...

tbh I am going off academic work on the volatility risk premium, which is why I have not done any back testing. Any advice on the best way to back test ideas?

Because I am looking at returns over the long term. I understand on any given day, month, year things could get really bad. This sort of a strategy would be a very small part of my account.

If I am understanding you, you are just saying there ends up being more potential convexity in your vega position as you go farther OTM, right? Which is why they are more richly priced. As with any other insurance selling, I would assume though that the sellers are being MORE than compensated...

Very interesting. I realize as prices fall vol will rise and the option sellers need to be compensated for this risk. Is this what you are saying? So if one were to systematically sell 50 delta puts and 10 delta puts, the 10 delta puts wouldn't be more profitable despite nearly always being...

Can you elaborate? My initial point was asking why market makers wouldn't sell vol far OTM to capture higher IV. If they are hedging delta I don't understand why you would want to sell at lower IVs(selling options ATM). Is flow entirely dictated by large buyers and not large sellers?