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It seems like you've had derivatives of this discussion several times now. Not a criticism mind you; but I'm trying to think of another way to explain the underlying concepts. You can't just lever a 40/60 into the same Sharpe as a 10/90. Because your leverage will boost the returns and the...

Your view comes across as one-dimensional. Inflation has been quite well-controlled in the US... it's easy to complain but not so easy to understand the true depth of an issue and come up with an alternative solution. If you stop printing, money will slowly leave circulation and there will be...

Thanks! Much appreciated, I will have to digest this in light of the current ideas I have to work with. As of late it’s been getting easier to work out the minutiae once I have an idea of the right way to think about things.

It’s hard to find good discussion about hedging and risk management. I do things un-hedged for the most part but scale size to a level I feel I can absorb risk including tail risk. But tails are so far away from the usual distribution of outcomes that the idea of hedging them away so I can...

You’d think so, wouldn’t you? But backtest a continuous front month short strangle for example over the past dozen years and check out what VIX levels it suffered the highest drawdowns and what levels it has the most attractive return metrics and I think you’ll be surprised. Short vol is a...

What works? Getting paid risk premium. No harm in spending time looking for a pronounced edge meanwhile, but really everything obvious has already been priced pretty fairly for the nature of it. To find a deal you’re going to need additional information the rest of the world doesn’t already...

Interesting stuff. Almost a risk parity-esqe style. FWIW A business partner and I opened a portfolio in June and have been levered between 3 - 4.5x all year. I like the idea of finding the asset mix you like best and levering it up to a risk target. If you're holding risks for the long-term...

I'd agree that they're largely equivalent; since you can essentially just lever up the SPY 2x and get the same result. Now if it's an equivalent risk adj strategy to SPY yet uncorrelated to it now we're talking; since you can combine the two and produce an aggregate return superior to either by...

@ironchef & @TheBigShort , great discussion! I've been thinking about the advantages we have as retail traders recently; I made a thread about it a while ago. I think a commonality all trading efforts have is at the end of the day, we are engaged in trying to optimize the risks we hold, like...

Depends on the instrument.. but regardless you’re going to bleed the difference between the implied vol you’re buying and the realized vol. Backtest buying 10d SPX calls over the long haul and get back to us with your results.. it won’t be pretty. ITM calls are going to be expensive relative...

I have heard capacity constraints mentioned several times as a retail advantage. Makes sense that good expectancy would continue to exist in certain spots that are comparatively insignificant for larger pools of capital to spend time and effort on. Do you have any suggestions on a thread to...

You’re completely missing the point. Futures add leverage... no inherent increase in expectancy. Sure you’re able to withstand drawdowns easily with a variety of strategies with 1-2 contracts, but so what? Return on total capital / risk absorbed dictates how efficiently you can grow your...

What do you guys think are some of the best low-hanging fruits for retail traders to capitalize on? Let’s assume we have portfolio margin but less than $1mm in size. Short of building a proprietary strategy with clear edge what are some refinements your intelligent retail trader can take...

Just listen to the advice. Everyone telling you not to trade VIX has got your best interests at heart. It’s abundantky clear from your posts you have a lot more research to do before getting remotely close to operating a successful strategy here. Or just go your own way and short VIX at that...

At the end of the day the market is a sandbox and you can develop your view of it as you please. Volatility is seen as a common proxy for risk. But it’s not static.. and arguably we as a collective market can’t avoid understating risk of extreme outliers in order for everything to run somewhat...

Still watching how a 271.5 Nov 16 straddle would be doing since 11-2. With hedging band around ~30 deltas looks like we'd add about 45 deltas yesterday. And a few more today. Straddle went from $875 extrinsic to $125. About -$220 on the straddle but +$120 offset from the hedge. Been very...

Wow, that is an interesting concept! I wouldn’t have thought of that myself but I think this is my favorite one yet. If I’m understanding correctly I’d more or less watch very closely when it’s right at one of my bounds, then hedge something small like 10 deltas of UL at a time until the...

Hey! Thanks for the in depth response. You’ve given me a few things to think about. Like closing positions entirely when the gamma is gone. That’s another set of costs to close and reset your position to keep the trade you want on. But buying back options without meaningful gamma component...

Alright, I’m still at the conceptual stages with this subject--hoping to get some pragmatic input from smallish retail guys who are well-practiced with hedging away deltas to keep a vega position relatively clean. Maybe @TheBigShort can weigh in? You seem to be one of the most recent serious...

Interested to hear opinions from guys that have long term expirence in this realm, like @sle or @rallymode (@destriero if you want to weigh in?). What returns do you guys think are realistic and sustainable for an intelligent retail trader staying at relatively small size (say 500k - 1MM)...