Search results

I sometimes buy 1 delta SPX puts to protect my butterflies when the SKEW index is very high. I sell them off when SKEW comes down again. SPX puts are typically more cost effective than VIX calls. For longer term protection, I hedge my portfolio with long SPY diagonals. e.g. BOT +30...

Today the market opened down. I usually don't sell iron condors. But since I can't get my safer butterflies filled for days, I broke my own rules and put on these two trades this morning as encouragement of your experiment. SOLD -2 VERTICAL SPX 100 (Weeklys) 10 JUN 16 2115/2120 CALL @1.10 SOLD...

I take a different angle and embrace the "dumber" players, especially in the futures and options markets. Without their enthusiastic support, the markets would become ultra competitive and possibly much less efficient (lower volume and wider bid/ask spreads). Trading profit margin, if there...

Very well said again. I fully support your learning spirit. Keep up with your good work. I brought up the Bittman strategy the other day because I thought it would give you extra perspectives to the intriguing problem of selling volatility risk premium. When it comes to trade sizing and...

When I sell options premium, I in essence enter into a volatility or variance swap contract with my customer (the counter party). The very reason I choose to enter into such an agreement is that I think market is going to be calmer than expected. The very reason my counter party chooses to...

And if you don't trust astrologists and Feng Shui masters, take a look at this

I never met my sister's Feng Shui master in person. But you can catch a glimpse of another psychic astrologist showing off his craft in the Philippines.

Several years ago, James Bittman of CBOE proposed his 2-step strategy. The backbone of the strategy is based on the following probabilities:- +------------------------------------------------------+ Prob of touching 1 Std Dev* (up or down) 54% Prob of touch 1/2 Std Dev* (up or down) 99% Touch...

There are lots of money to be made. All you need is finding wealthy people who don't think straight. http://www.latimes.com/local/lanow/la-me-ln-nancy-reagan-astrology-20160306-story.html

If you have the gall for a gamble, here is some food for thought. BUY +1 VERTICAL SPX 100 (Weeklys) 15 JUN 16 2150/2025 PUT @52.15 LMT Since the IV for this series is at 13%, it is still near the low end. A debit spread with a +ve theta of nearly $35 per day is a tempting proposition. The...

OK, just bought back my puts @3.30 Gross profit = $1790; round trip brokerage fees = $10; I want to wait and see before deciding on next trade. The SKEW index is at 129.28. It is probably safer not to do anything over the long week end. The market makers are not very friendly today. They are...

I forgot to mention that I also monitor the VIX/VXV ratio and the CBOE-SKEW index. https://docs.google.com/viewer?url=http://www.cboe.com/micro/skew/documents/skewwhitepaperjan2011.pdf

On May 23, I sold 5 SPX 22JUL 1800 PUTs @6.88. If I remember correctly, they were about 0.055 delta (i.e. your 5 delta). They are doing quite well now. I am contemplating closing the position soon when I reach the 50% max profit target. On the other hand, it is tempting to sell some calls...

From the tidbits which I gathered from my sister, her Feng Shui master apparently has developed a superior business model. First of all, this guy only generates three discrete (non-analog) signals or indicators 1) take no action; 2) buy; 3) sell. There is no degree or amplitude involved in...

My sister never reads charts and she steadfastly refuses to learn. She had made a lot of money between 2003 and 2007 by consulting a Chinese fortune teller (more precisely an astrologist and Feng Shui master). Every time my sister needed to make a significant decision with respect to the...

A wiser friend of mine, who by the way is also a better sailor than me, had taught me this. Never sell premium when the market (SPX/SPY) is below its 200-day-SMA. Never sell premium when VIX closed above its 30-day-SMA. Following his advice has kept me out of trouble so far. The logic behind...

Coolraz, by the time the VIX is in full backwardation, it is probably too late for damage control. I try to watch for signs of weakness in the contango term structure. I use both a set of volatility cones of statistical vols and a graph plot of the VXST/VIX/VXV/VXMT to monitor their relative...

I think she sells delta 5, 7, 10 puts depending on IV level. I had tried diagonal spreads on LEAPS. Slippage due to low liquidity is the main issue. My staple diet in recent time is broken wing butterflies -- delta, gamma neutral, moderate long theta, and considerable short vega. So far the high...

My superficial understanding of Karen's method is that she sells far few calls than puts. Furthermore, her calls are mostly 14DTE while her puts are mostly 56DTE. My take is that she scalps on the calls sales and harvest more theta on her puts sales. Calls sales are difficult to play due to...

Hey Pekelo, I short vega and long theta on SPX, using a combination of credit spreads. I use stochastic-RSI, two-line MACD and the VXST/VIX/VXV/VXMT clusters to watch the weather. So far, I manage to average 10-15% per month return on capital at risk. The StochasticRSI and MACD give me some...