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Depends what you mean when you say options trader; I am sure some D1 traders would buy calls to pack more notional $$ into the trade for the margin required. But now you are on a timer for the move to occur. If you are trying to trade the vol, delta neutral, now you need an opinion on whether...

Upside volatility in TSLA is fairly bid from all the S&P inclusion rallying and the calls are skewed. Short interest is low compared to historic averages in this name, and no new potential catalysts upcoming in the near future AFAIK. One idea is to short some distant upside verticals in Jan or...

Again, there is no set and forget with leverage. Your leverage ratio will change as your equity fluctuates. Even 1.5x leverage will put you over 2x on a 35% decline and over 3x if index DD ever approaches 50%+. At some point you will be way overleveraged in a chaotic market trying to decide...

Zoomer, you can't set and forget with leverage. Fluctuations in equity will change your leverage ratio. If you hold 200% US Equities and the market goes down 10% what are you holding now? So, you have to continually keep your leverage in check. And now you run into the problem with trying...

How will you exit? Absent any additional macro shocks I think you will definitely see a gain on the vol sooner or later. Selling so close to spot might shorten the lifespan of the trade though. Unless you're equally okay with being short the 20d put synthetic if it rallies for a few months...

There's no contradiction. As volatility increases, your leveraged return is going to experience an increasing amount of drag until it finally goes negative; while volatility still increases in a linear fashion. If selling ATM puts earns the same 0.65 Sharpe as your backtest and you lever it...

I think "The Kelly Capital Growth Investment Criterion" is a great resource. One of the editors is Ed Thorpe who was one of the pioneers of this research and also a very successful practitioner for many years. It's just a huge compilation of research papers on bet sizing and capital growth all...

FWIW I risk over 10% max theoretical loss on some trades for sure. Anyone who is even unleveraged long on the market is risking more than 10% over a single time-step. If you are trying to compound your capital; the variance of your PnL distribution is going to create a drag on your geometric...

Well, that was a cool start to the morning.

Yeah, if we are going to use IB we have to deal with their known weaknesses. Although it is annoying sometimes. Today some Aug21 TSLA verticals with a max loss of $5,000 each got up to $19,500 margin req. each. At least once you know this stuff can happen you will be able to improve at...

Movement is irrelevant in the direct sense. Your delta1 position can be whatever you want it to be with shares. But it is relevant in how you think it will affect the vol dynamics. Also whatever just happened shouldn’t affect your strategy going forward imo. You always have your exposures...

I trade diagonals all the time. What exactly are you asking about them? If there's a vol differential I like I will buy the diagonal and use shares to manage the residual deltas. If you expect vol to drop soon then I think a fly or vertical makes more sense. If vol is bulging buying the...

Bobby, at the end of the day I suppose sharing your stuff and getting a discussion going is a useful contribution, so thanks for that. The exaggerated hubris and trollish posts at times is a turn-off and may incite some of the reaction you get at times. With the additional clarity on your...

Yeah, interesting stuff. I started buying otm calls in 2019 when I realized the deltas I had against them could take off some downside jump risk for me and the position hardly cost anything to have on. And also I made an annoying mistake in March, loading up on long deltas at SPX ~2400 against...

Hi rally, Do you trade VIX futures almost exclusively to express your views on index vol and especially to short it? Or do you trade SPX options as well? Wondering if there is a difference between the two in overall edge to be captured or in capital intensivity.

VST, When you do things like this, do you find capital is better utilized holding positions as short on time as possible while the skew dynamics you’re trading are intact? So the PnL is collected from the gamma? Or further back looking for a shift in vol to occur?

If you do something blindly for long enough you will be pushed toward the average outcome. Like playing one million hands of blackjack at a constant bet size, almost impossible to be ahead. But sure you can have a hot streak in one session. And if you can forecast those sessions you can have...

Yeah, sounds like hell for a long-term strategy, especially ratio’d higher on the front, and on the index. Bad strategy imo unless you are really good at predicting crashes. Also important to note that unless you have some edge trading relative value on term structure it’s probably a coin flip...

Picked up some wide asym for SPX, June01 expiry. Think the slight bid on vol from o/n action and opening down will dissipate over the long weekend. Scattershot of other SPX flies and verts where I think there's value. Mainly positioned for some stability / steepening of contango. Some W and...

You won't believe this but I got 15 diags off on BYND for -0.34 earlier this week. Retirement funded! I'm even closing down my mentoring business. Killin' it!