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I wonder how many barriers were impacted by this. For the experts out there, how big of a market are the exotics?

However, I don't believe Bobby's numbers takes into account buying back positions and the $49k is just the gross premium sold. I could be wrong on that though. On the second point, ignore the return on account for a moment. The study is just saying that the strategy can expect to retain 25%...

Bobby--I've mentioned it previously, but their study indicates capturing 25% of theta--not premium. So if your daily theta is 0.2%, the study suggests theta capture of 0.2% x 365 x 25% = 18.25% https://www.tastytrade.com/tt/shows/market-measures/episodes/how-much-theta-is-captured-09-07-2016

Out -bought back the puts for 0.48 -bought back stock for $87.35

Entered into an earnings trade near the close on YUM. Hovering between $86-87 after hours. I should be fine if YUM opens in this range in the morning. -sold Oct 7 87 puts @ 0.87 x 10 -sold YUM @ $88.55 x 300

Para 89: This would suggest realized gains of $6 / 0.2 = $30 million Para 22 and 23: Para 9: So back-of-the-envelope math suggests losses of $57 - 30 = $27 million (NAV) for the November 2014 to March 2016 period. I don't argue she suffered losses during this period, but it remains...

Aren't these points one in the same? Agree the HDB fund's fee were based on NAV. Interestingly, the sole investor in HDB just transferred into the HI fund rather than liquidate.

I also don't think she's a fraud by definition. I think her investors are idiots to agree to compensation based on realized gains as opposed to net liq or NAV. I think she just gamed the agreement. Were her alleged actions counter to the spirit of the compensation mechanism? I would say yes...

What claims about her performance? Isn't that what we're trying to reconcile? Everyone is saying her fund blew up, but I don't think that's necessarily the case.

Because she was paid based on realized profits in excess of the HWM. The SEC claims she rolled unrealized losses, but the fund could still be profitable overall from the individual investors' standpoint.

I just read the SEC's claims. It's not clear if Karen's method was profitable or unprofitable during the tenure of her fund. In fact, it's very possible she was still profitable otherwise I'm sure there would have been reference to overall fund losses in the claim. The primary claim is that...

The segment references theta, not premium collected. So if your theta is 0.2% of net liq, their numbers suggest you should return 0.2% x 365 x 25% = 18%

Also, does the 25% retention from the Tastytrade research reference the premium or theta? 25% premium retention seems high if you're exiting at 50% of initial credit.

Great month, Bobby! At first glance, $49k in premium seems like a lot. I wonder if it would be useful to keep a daily log of your theta within your net liq chart/table. This could provide a view of portfolio risk relative to its size.

No doubt this is something that I wrestle with myself. But rest assured, carrying negative delta does NOT eliminate crash risk. I like to think my options portfolio is my personal hedge fund. I'm plenty long. So carrying negative delta reduces the correlation with the rest of my portfolio.

My rationale for carrying negative delta--after considering vega, being delta negative makes the position essentially flat. I'm also wondering if the US will experience the same thing Japan has seen over the past two decades.

I don't agree with this. I wouldn't exit any short premium positions outright when volatility expands. Those are the opportunities that short vol traders have to take advantage of. Again, this is why it's important to maintain negative delta so you don't get hit by both the delta and vega bus...

I don't agree with the 2x stop rule. I think this is more for isolated positions. I just care about the net effect of the Greeks on my various positions in a particular underlying. I do agree with rolling up and down positions to adjust delta which keeps you in the position and able to take...

Agreed, but even this is not too bad a scenario. This is why Bobby carries a 1:2 delta:vega ratio. I think you have to hedge to the extent of at least flattening delta. If you get whipsawed, at least vol will come in.

A 50% drop is not the problem. In fact, it may even be welcome. 1% down moves for 50 days would be bliss. The problem is the velocity of the move and whether or not the premium seller can make adjustments along the way.