Search results

Any strategy can blow out. It's not as simple as "short vol is bad", because there are so many ways to be "short vol", wrt your risk management, positions etc. If you're short calls and the market collapses, it's not a huge problem vs. being short puts, despite both being "short vol".

Most papers I've read tend to favor short vol strategies over long, which shows the market actually overstate "rare events" rather than understate them. Obviously it's impossible to correctly price this since we can't really know the probs or impact of all black swan events, so the risk premia...

Just do like the banks and lever yourself 60 times. It's the only way.

It's possible. but a pain in the ass to manage. much rather have a remote database to test on. i'd pay someone a decent sum of money for that.

When delta hedging I use 0.5*gamma*S^2 which gives loss per rehedge. Solve for risk tolerance. Sometimes I use 1sd move (dont remember exact formula) as rehedge points. I buy both options and underlyer to rehedge (it varies). The primary concern when determining wheter a premium is good or...

A married put just reduces your downside deltas. You migth as well trade smaller position size in forex and you'd get the same end result, with less transaction costs / slippage / etc. And yes delta hedging in forex is pretty simple...but IV / realized relationships in forex arent that great...

Future options are available in Excel from IB via DDE link...all instruments available in TWS are available in Excel....why cant you get them into Hoadley? proprietary stuff?

Globex has higher volume than XDE. Plus it's open longer. Not sure what you mean by using options as a hedge rather than getting stopped. This would essentially require a delta neutral hedge, and thus you'd be trading vega, gamma, theta etc. instead. Is that what you mean?

I trade them on Globex. Spreads might seem large but you often get fills at midpoint. Same for all globex products. If you're just looking to dip your feet I'd recommend paper trading. It's senseless to start throwing money at the market without a good, sound plan first.

What kind of software doesnt do that?

Doesnt everyone here make a living doing directional? Not just ul direction but vola. Systemic alpha where you do the same thing over and over again and make money is hard to come by...most money is made picking direction in a discretionary manner. Am I wrong?

Are there any remote databases you can run analysis on? I know livevol has ability to run live scans on their databases, not sure about historical data. Would be much more practical than keeping terrabytes of local data. Anyone knows?

IB has historical data for options, not sure how far back it goes though. Also, if you have historical UL data you can price breakeven vol and thus breakeven vol surface from realized vol on UL, not sure if that's useful for you though.

Seems once it gets to these levels it always pops up again. I'll start initiating some long positions if it goes a bit lower.

Selling puts still has less risk than outright shares. That being said, all trades have a total annihilation risk in them. If managed properly selling puts can be a good strategy. If you get put, write calls against the shares. I know at least two people who do this successfully, but they...

They are insurance. Many buy them to hedge tail risk.

Long-term trading options is perfectly fine. Usually longer term have more vola weight while short term are more gamma/delta plays. There is no one answer here (as always) As for spesific strategies, yes I believe most people have some system. I know I do. But most arent willing to share.

Just messing around. I got them all for free as well, didnt want to post links though cause im not sure how the elite admins feel about it.

Im reporting this to the FBI. Copyright infringement is no joke. Enjoy being water boarded...

Yeah, tbh I didn't look into all the strategies he talked about. Just a couple of them. I probably should spend more time analysing his strats but not sure if it'll be worth it, as my first impression wasn't great. As for net buyer vs seller, I agree with you, the rule seems to be net buyers...