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To say that the Greeks are useless altogether is a ridiculous statement. Yes, I'm sure there are people out there who trade very successfully without using them at all....and in fact, if you were really sophisticated, you might even discard the standard greeks for something better. At the end...

One of the biggest mistakes I ever made was trying to find strategies that worked all the time. It has literally taken me years to get over this way of thinking. I think I definitely am guilty of succumbing to a "framing bias" -- meaning I want to take something as complex as the option market...

I don't know about that. Buying straddles week in/week out is a bad idea, but there are absolutely times when vol is very cheap and a straddle might actually be a decent bet.

In reality, delta hedging once per day at the close is actually not that bad of a strategy. You get decent variance reduction relative to the unhedged case. Yes, there is still slippage, but that is unavoidable. Second, while there are many more sophisticated ways to empirically analyze...

The way I see it, there are many different opinions on delta hedging. After a lot of reading, live market implementation, and hundreds of mistakes, I've learned just how much of an art form this style of trading really is. The topic evokes a ton of questions which seem to have different...

I have never said a word about my returns. And it's not like you are beating the S&P.....based on your own statements you are currently tied in risk-adjusted terms.... Now go take some ulcer meds, strap yourself in and enjoy selling those juicy WMT straddles.....HACK!

So you want to go to individual tickers right? You want to ram you thick skull straight through the wall right? Ok, if you're doing individual stocks, we have to factor in DRAWDOWNS when you're wrong. Simply put, forget about it. Even with a crystal ball theres countless strategies with far...

Fair enough. "Always" was a poor word choice.

You don't use this strategy profitably. Sorry to say. Play out your scenario and analyze at each step. You sold ATM puts and did not hedge your delta. From the get-go you should have known that the price could have easily gone against you and you would begin showing losses. Now, the stock...

Depends.....what vol did you use to calculate your delta? If you bought the straddle because you felt IV was cheap and you were proven right once it popped up 5%, then you have to form some opinion as to what the future vol might look like over the remainder of the option's life. If you think...

Don't ever do this if there is negative IV skew and the upside calls are dirt cheap. Overselling a bunch of cheap vol to finance the purchase of an expensive put is ALWAYS a bad idea.

The reason it is not unlimited risk is because your max/min net delta is capped. Say you are long one straddle. Then in the right tail, your delta is 1. In the left tail, your delta is -1. So your delta hedge will always be somewhere between [-1,1], and if it is at either end of the...

I delta hedge precisely because I am non-committal on direction and am trying to realize the implied/realized vol spread. I DO NOT delta hedge to take a directional view. The important thing for you to understand is that when you trade delta neutral, puts and calls of the same strike are...

Yes, you are absolutely right. By shorting 11 shares you are locally flat. It is the convexity of options that results in your delta changing (due to time passing, changes in implied vol, and movement of the underlying). So yes, good eye, from a global perspective your position looks a lot...

"Thought I would share this trade with you guys. I expect GOOGL to have a pre-earnings rally." Why?

How are you arriving at your stop-loss and upside px targets?

You are living/trading in a fantasy world. You keep saying that all that matters is the underlying. That would only be true in a deterministic vol world. Take a look at the VIX. Vol is clearly stochastic....it moves around. The P&L of your option portfolio now carries significant risk in...

Think of it this way.....increases in implied vol mean those wings are more likely to soon become at-the-money as you realize vol and the underlying moves out into the wings. The market is making the wings more sensitive to shifts in IV. Moreover, you don't really realize volatility, you...

Dude I'm officially done with this thread. You are just a straight up bizarre individual who is for whatever reason quite smug and cozy in whatever fantasy world it is that you're living in. You DO NOT understand the words you are saying and the concepts you are talking about. You may have...

What lack of understanding have I demonstrated? What hole have I dug? All you've done is state nonsense like Black-Scholes is a "basis" of an "efficient" and "predictable" market. I don't even have to argue with you....the market speaks for itself. The fact that there is a volatility smile...