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To expand more on your point about synthetics, it might actually make sense to dump the stock, trade the LEAPS diagonals, and use the money to pay down mortgage debt. The call would allow him to borrow money at 2.7% and pay down debt at 5% or more.

I agree, but I think amooseman wants to trend-follow the SPY position and use the put diagonal to hedge against brief, moderately sized down moves. Replacing buy-and-hold SPY with a call and selling OTM calls (equivalent to a diagonal collar) does have favorable risk-reward characteristics...

Yes, I think it's a good idea to add negatively correlated strategies. Selling strangles would help reduce the problem with whipsaws but comes with its own set of problems (increased leverage and the possibility of margin calls). Even though I have several different types of hedges on at the...

That's a workable plan. Keep in mind that (by design) your delta exposure will change over time, and (perhaps not by design) that your margin requirements will change over time because the short put will not always be completely covered by the LEAPS put. If you're doing this in a taxable...

As short vol traders, we are always risking getting wiped out. A hedge with zero or positive alpha is more helpful to us than than it would be to protect, say, a 60/40 portfolio. (Should that be called "crisis beta?") Trend-following is one way to get that exposure; another is to buy options...

Yes - shorting volatility in a risk-defined way and adding additional gamma when and where it's cheap to do so works pretty well. It's also a great complement to trend-following, as the latter won't catch short-lived pops in volatility (Feb, Jun 2018).

It's a wheel almost no one uses even when it's placed on the table with glowing lights and presents under it. I recently had a conversation with a VP and senior investment adviser of a major bank where he poo-poo'd trend-following and VIX term structure trades as market timing. I asked him what...

I have specified formerly *fuzzy* 'intentions' to be increasingly light in markets where IV≤HV, and now have gone further, by specifying a trend/momentum regime for long/short underlying trades -- and then using that regime to inform whether/by-how-much to take short option spread positions on...

Trend following can be set up to mitigate specific risks. For example, a moving average can be used as a stop loss. It can also be used a signal to go enter a position that is expected to be negatively correlated with something else in your portfolio that is less liquid. (Wes Gray's Alpha...

I'm generally short index volatility at the front end of the term structure and hedge it off with longer-dated stock and index options when implied volatility is cheap. Some of those hedges become earnings trades as time goes by, so I end up having to manage positions that way.

I'd be interested as well. (I made an account just so I could say that!)