Recent content by Jerkstore

Huh? No. If the puts are 50 points itm they will be auto exercised given capital and risk permission limits. If his limits do not permit exercise? Then what? Thats the relevant question

Short vol funds like LJM are exclusively short vol. I evaluated a few funds who never buy an option unless forced to. Neither will they trade other product classes. Just short wide strangles, often weeklies. One of the firms I looked at had maxed out their size w the cme group selling hundreds...

Amazing how consistent the condor value is to the straddle. This sounds a bit skewed though. What expiration you looking at?

Expected value of random risk is zero minus costs. Good thing I don't sell it randomly, but rather into favorable market conditions.

Yes my methods are more complicated than 1 liner buckets. I'm simply pointing the crowd in the right direction. We have enough data to know we don't want to be short vol into high vol environments , yes. I'll share a story. I was in Mexico City years ago at some conference and met the CEO of...

Not sure what you're asking. Take any atm straddle (aka 1 st st deviation of an expiration). From the atm sell the 1 straddle difference out strangle and buy the 2 straddle difference out strangle . If the straddle is $10, you will probably see a midpoint value of $1.25 in the put spread and $1...

learn the basics, then come back

Lol, $10 div into a $100 stock? Why do you think the American call is worth $9.96 more? This is options 101. P/C parity always holds .

"No way to this consistently" is exactly what I am challenging with my data. Feb 5th was a Monday, in which the week before saw the vix almost double. Many support levels crushed along w follow through outside moves should tell a trader to flaten out and wait. Holdinga short position through...

https://www.reuters.com/article/us-usa-fund-volatility/exclusive-ljm-partners-shutting-its-doors-after-vol-mageddon-losses-in-u-s-stocks-idUSKCN1GC29H LJM was one of the more famous short vol funds. I told my HNW client these guys were "100% guaranteed to blowup" back in 2016. How did I know...

Definitely are large funds dedicated to short vol. They are unsophisticated, IMHO. I once went around the country analyzing a handful of the better short vol funds for a HNW client. I wasn't impressed, but I'm a dickhead so take it as you will.

Here is a piece of a research report I did. May be tough to decipher BUT basically this chart shows how short vol is FAR more profitable in low vol environments than in high vol environments. I compared profitability of a 1stdv to 2stdv put spread sale VS selling the straddle in various 30 day...

Sort of, yes = why IMO most short vol funds fail. The market is leptokurtotic, and volatility is clumpy. While in general I am not a big fan of mean reversion , mean reversion can work if done within the same market environment. The problem is vol sellers be selling vol :). Short vol sellers...

He didn't lose. You didn't understand his very accurate, informative response. I suggest you try reading what he wrote again and digest it this time. You are getting cute w words. Most likely saying the same thing. P/C parity always holds. I won't be jumping into your hypothetical as your...

Right before 9-11 I was working on a desk that sold thousands of puts to some lucky (wink wink) trader. Remember the boss man teaching the entire desk about skew and how good this trade was, ya know cause LOOK AT THAT SKEW LEVEL! Apparently noone cared about that either.