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In a place like SPX though, there’s a risk premium associated with selling the down & out vol [^even with delta aside] akin to how long shares have positive drift. Regimes where the options aren’t priced ‘properly’ occur fairly regularly. Single names may differ, I haven’t been through that...

Nothing wrong with that. A lot of trading questions are based off personal utility functions. Really pressing an advantage should lead to a good mean outcome for your distribution of possible outcomes. But that will also introduce some pretty poor outcomes in the left tail. In theory, with...

Yeah, options and options on futures. And you're absolutely right to take it with a big grain of salt. The more esoteric something is the more inherently unstable it is, unless you're got a high confidence arb going on. Which is the main caution I wanted to issue to OP. Going into a...

First and foremost alpha is a syntax debate lol. But imo alpha source is something that gives a significantly superior return profile vs. an easily replicated benchmark. And when enough people know about an alpha source it's eroded into a realistic risk premium for the risk factors...

Borrow on margin and slowly slide futures in as capital permits. And I'm all for levering a more efficient portfolio, but I wouldn't go so far as to call it alpha. Choosing allocation by copying the best performing assets in the most recent block of time is going to likely lead to...

Would be nice to see a rolling sharpe on here; and maybe a conservative fwd estimate? Unless you've got a really large amount of capital and/or take income from the portfolio, I'm surprised you're not running more risk. Stressing for 4 sigma+ and only ending up with 14% DD seems like leaving a...

I skimmed your post, are you aware you can just cut to the chase and put mean return / sigma^2 to get a leverage figure for optimal leverage for maximizing logarithmic growth? Optimal sizing for maximizing logarithmic growth is technically going to be a function of worst singular loss.. size...

Yeah, this is painful to read. Agree that diversification is good but will put my own humble word of caution in for any new guys reading beyond that for insights. Short dated otm index calls are the cheapest vol you can find in a normal market regime. Furthest thing from a sucker’s bet imo...

My apology. I felt the topics were pretty related and personally find broader discourse is useful when trying to grasp a new concept. Best of luck to you.

@newwurldmn , @Wheezooo ; While we're on the subject of hedging / dealing with pure vol, I have a question. If there's sufficient premium I'll usually have net short index vol. In a normal contango TS I'll go maybe 1-2 months out. Higher vegas are pretty straight-forward to me. If I want to...

Dense stuff guys!! Sounds like progress is being made :) Don’t have much to contribute via the modeling, but my first thought when you started discussing Hi-Lo ranges was that it might be an easy factor to pick up for the vol gauge. I try to think if a new metric would already be captured in...

That would put spot around $15-$20. So say from day 7 to day 6 you have no vol, the option is going to decay by 0.08 or something on no vol for the day. If the implied stays bid and even rises because an event is in the expiration, the decay will be set against the rise in absolute IV and you...

I've heard the term squeeze used for both directions. But maybe I have it wrong. Just wanted to convey that I expected the opening move was exacerbated because of the uncertainty around the stock and had a good chance of stabilizing instead of continuing into the 90's. But even a 10% chance...

Did not have the conviction to hold 0 day puts short with that kind of action in the first 10 mins. A bit of a let down paying more comms and passing on the rapid decay of the final day, knowing the spike is probably just a squeeze. But the loss projections on the off-chance it keeps going...

The options's IV will rise but we will be realizing less than the current implied figure each day leading into earnings, since event vol is blended into the IV figure but realized vol is still relatively normal until the announcement. If things are priced fairly the loss from increasing IV *...

Sorry, the spreads went off at different prices in the $1.30's. x was intended as single digit integer, not a multiplier. My avg credit was something like $135. Options are 100 shares yeah but I only shorted 20 shares for each spread I sold. Outlook is that when liquidity dries up the...

Sold some sept put verts -97/+75 on ROKU for ~1.3x, -20 shares per. Will update with terminal PnL.

Yeah!! Was worried a bit about KMX pre-market. But the open was beautiful. Got out of AZO @ 64 when it started to move. Short was from 76.35. Sometimes I wonder how much of a tailwind declining vol / favorable circumstances in the index help our trades. Seems like when conditions in the...

Yeah, I’ve been trying to get my mind around different parts of the surface recently. On one hand wings are unsustainable from the vol figures. But on the other, they can’t dislocate too much from the rest of the surface. So in a long enough series they may very well be underpriced. But it...

Huh, here's my data. And yeah the price is high, was on the fence. Had a good day today though so the house money bias got me. Also we seem to be on the same page.. not with earnings yet but another strategy I just started running calc for best risk control to cost over various diagonals...