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In order to prove something doesn't work, you have to first assume it does work. Bobby is assuming that the short premium strategy works which is the null hypothesis. Unfortunately, this experiment will take some time to play out and the null hypothesis will never be rejected until/if his...

I thought it was a great post. The ability to take the time and focus on one thing for more than five minutes is a lost trait these days. Thanks for starting this, GAT!

This is my general setup. I'm short the underlying and short the equivalent puts. I may be short additional puts but only on a cash secured basis. I may cover my upside exposure with OTM calls.* This is generally cheaper than the other way around because of skew. *I think my biggest fear in...

You're right--my head is in straddle/strangle mode. But gamma will decrease once it breaches the strike. I'm not thinking about hedging at all. But I totally agree there is gap risk. OK--we can agree to disagree that it's a proxy to measure risk.

I think that thread is mis-titled and is referring to the speed of gamma or d(gamma)/dS. In any event, it doesn't matter because gamma itself is decreasing. You keep saying gamma increases if things don't go your way--that's not the case. However, I will say that the gamma curve flattens as...

I was just pointing out that gamma (acceleration) is decreasing--not increasing. I am certainly not arguing that delta (speed) is increasing.

Gamma is also at its highest when ATM. This makes sense given its relationship to theta. Therefore, ATM straddles would have higher theta/gamma than equidistant strangles. Like Sle mentioned a few posts back (#732), if your theta is in a comfortable range, the gamma risk will take care of...

Vol is only one consideration. Delta can make up for the difference. I was short vol yesterday but still was ahead for the day.

Most of my holdings (>95%) are essentially perpetual holdings. I've had BRK.A since the 5-digit days and have GOOG and GOOGL from the split. I have 4 of the 5 major Canadian banks (all but CM). No intention of selling. I don't even sell covered calls on anything. I generally don't pay...

That would be my worse case scenario as well. What happened to volatility during the melt-up? Did it go up? Today was one of those weird days where I thought my P/L would be greener given the negative deltas I carry, but the bump in VIX cut into my pi(e). Same thing happen to you, Bobby?

Fair enough. I don't disagree. >95% of my portfolio are straight long-term longs while the rest is my options play money. I'll likely increase my play money allocation, but that's another thread.

Out of curiosity, is your entire portfolio cash secured with zero leverage?

Do the math then. 1.084^n = 1.091^n x (1 - t), where t is the tax rate and n is time. At what value of n is the RS > LS? EDIT: I guess Bobby's clarification makes my question irrelevant now.

^ Because returns on the Nasdaq are tax free? LOL.

A wipeout number is meaningless. Let's say the number is 40%. What are you supposed to do with this number? Stressing as Bobby is doing with 15-20% moves seems more appropriate.

Opened this trade on September 1 with IV at around 37%. After three weeks of fermentation and IV slightly lower at 35%, I bought these back at $16.00.

I should note I was selective with my words, "I'm going to adjust my position...". I was actually a net buyer in the afternoon. I just delayed adjusting my positions by allowing the deltas to get larger than I normally would allow before finally adding some positive delta.

Not the greatest but still managed to scratch out a small winner with the vol crush. I'll take it considering I was carrying negative deltas all day which I'll continue to carry heading into tomorrow.

I think the first 10 minutes is going to be a head fake. I'm going to adjust my position assuming a reversal after that.

I don't necessarily agree with this. On my TSLA short straddle, for the first week I was wrong on underlying direction and vol but still was a small winner. The position has turned around nicely now that vol has come in and the underlying is pinning the strike.