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Earnings journal
This looks like it's going to be a good one guys!! Did my homework on this one. Only regret is not sizing bigger but it's really a conviction test having all that extra risk on the down-side. I cap size on max loss so I wasn't allowed to go bigger. Wonder if we should be thinking how to... -
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Who needs the federal reserve?
I probably would. I’m finishing up F. Black’s Business Cycles & Equilibrium. He’s quite unimpressed with the idea of monetary policy in general. Says the market in aggregate is fairly efficient and constantly in macro-equilibrium, so while information disparity causes immediate disruptions... -
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Earnings journal
Buying into rising IV is usually a winning trade but just keep in mind that theta will still be eroding the position as time passes. If we realize vol far enough under the implied we bought it can still be a loser even if vol rises. And keep in mind that when IV goes up so does your short theta... -
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Earnings journal
Sooner buy than sell. Seems like it has a sizeable Jump pretty consistently, which is a good backstop to buy vol against. Try to disseminate some SEC filings and news and let us know if you find anything material. Has a few days left so the implied move might adjust a little in the coming week. -
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Earnings journal
We lost on IBM. ISRG was the big winner today. Picked up BLK, which wasn't in my previous post and that was decent as well. Could've held them each a bit longer though. Closed ISRG on the exact high. I think I'm starting to get a better feel for finessing the exits though; although still... -
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Earnings journal
Bought the 103 GPC straddle for 3.6! Easier to press the long vol side since we have an absolute bound to the losses and I size as % of a max loss figure currently. The short vol trades have edge if selected right but the chance of outlier moves caps my size. Bringing the wings closer eats... -
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Earnings journal
GPC brought it home for me! If IBM wasn’t a loser that would’ve been a perfect day. I was short AA, CCI, ADS, and NUE. Decent gains on all of them. Was sized bigger on the long vol so that dominated the PnL. Edit - Opened GPC earlier in the day so the afternoon selling helped me as well... -
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Earnings journal
With you on IBM for the long vol side. Almost pulled the trigger on EBAY as well but it didn’t look quite as good. I grabbed GPC but I was on the fence there too. Think we have a decent chance between the Jump and the move at clearing the premium though. Got a few shorts as well, let’s hope... -
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Earnings journal
Not a very good day for me either. CMA and ABT were the biggest losers. Still long TXT and a bit of BK so if they run a little I might close in better shape. But this morning looking at -3% on Net Liq averaged over everything. One thing to note on BK that kept me from sizing that big was... -
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Barbell strategy: anyone is using it?
He’s pretty active on Quora, sifting through there will yield a few gems. Got a few books and papers. I really enjoyed Red-Blooded Risk -
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Barbell strategy: anyone is using it?
To answer the original question then, I don't think you'll find anyone here holding treasuries and buying deep OTM options. Taleb's strategy sounds nice but he stops short of giving good guidance for realistic implementation. Using OTM options as the sub-in for convexity is going to give you a... -
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Barbell strategy: anyone is using it?
I don't think you really grasp what Taleb was trying to say, albeit it's been a while since I read his barbell writings so maybe I don't have it 100%. He is advocating the thin end of the bar to go into things that have the potential for convexity.. grow a stable base and chase tails with a... -
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Earnings journal
I only had like 40 mins of time to pull away today and try to go through this huge list of earnings. Running numbers quickly and trying to distill the best handful. I was checking the moves on everything a few mins ago and saw CSX. I was like oops did I short that? There were two C’s I... -
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Earnings journal
I only sold vol at 212.5 instead of ratio. Was quite busy this morning and just closed it blind just after open. Bought the day’s high or really close to it. Still a decent win but I would’ve been nice to be able to watch it. It’s turning into a near perfect trade. -
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Glad you found some inspiration! We aren’t robots, and managing emotions / mental capital is...
Glad you found some inspiration! We aren’t robots, and managing emotions / mental capital is necessary for consistency, at least for me. It gets hard sometimes to figure those less tangible aspects into the math and optimal decision making. But I’m not convinced ignoring them is the right answer.- Magic
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Earnings journal
The paper just says Day 0 is earnings announcement day. Are they just using calendar date? Unfortunately this would obfuscate a more precise conclusion since now we’re co-mingling days leading up to post-close announcement and days following pre-open announcement. The dynamics of earnings are... -
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Theta is NOT the P/L of an option
As Wheezoo said the time value of an option is the benefit the user will receive from realizing the amount of volatility that is implied. Volatility is profit for the gamma holder because of the options convexity. I don't get too far into the weeds of theory and academics, but I believe the... -
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Theta is NOT the P/L of an option
Theta is inverse of gamma is pretty straight forward. If you’re positive theta that means you’re short gamma. If you’re positive more theta that means you’re short more gamma. That’s the whole point, probably why Taleb says options are the same regardless of expiration. Theta is the fair... -
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Theta is NOT the P/L of an option
You’re selling vol regardless of expiration. Strip away vega changes and path dependency from imperfect hedging and you profit if you realize less vol than you sold short and vice versa. Theta is inverse of gamma; it’s like gamma in dollar terms. Profits will come faster via realizing less vol... -
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Earnings journal
Yeah, DAL was satisfying! Congrats on the 60 strike, depending when you got out that was nearly perfect. I ended up collecting $0.55 per