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Hmmm. I have not read a single book on that list :D

(1) primary risks are various volatility risks take outright - i.e. theta/gamma and/or vega. Delta trading is mostly taboo for MMs. (2) various cross-greeks, term-structure risks and interplay between various primary risks. E.g. a calendar trade is a play on richness/cheapness of gamma vs vega...

(1) usually, the whole point of puting on a delta-hedged positionis to enjoy the theta/gamma outright or against some other risk (e.g. calendar trades). If you can optimize the hedging, you can (hopefully), improve the expectation of the trade or, at the very least, lower the hedging costs. (2)...

Sharpe of ~1 vs ~0.5 for SPTR. Not too bad. Worst DD of 15% and crux ratio of 18-19 periods is as good as this sh*t should be.

Survey says... :D selling 1m 105% calls profit ratio 3.36 mean p&l 0.44% median p&l 0.38% worst trade -7.38% stdev 1.20% worst dd -8.07% crux ratio 18.49 sell 1m 95% puts profit ratio 2.11 mean p&l 0.49% median p&l 0.82% worst trade -8.18% stdev 1.91% worst dd -17.24%...

She is selling vol (or at least she claims too). Spreading would have her buying even richer vol/tails as a hedge. In terms of returns, if I had to guess, I'd recon that you reduce your expectation a lot by spreading and change the profile of the strategy in the process.

It's a trade that's been looking good for years... for a good reason :) So, in short - nope. You are better off doing some proxy dispersion on top-10 or (even better) take the path unwalked and do dispersion on DIA.

They did 3 yards of Nikkei/Stoxx/Spooz worst-of puts in 2007, I was there and got a T-shirt. Petty sure they could have lifted the street on 10bn of barriers if they wanted to. But I agree that selling puts was a pure insurance trade.

There where plenty of ways to sell vol in a limited downside way at the time - I bought ITM up and out calls, for example. PS. Buffer exploited a number of edges over the years, main one being AAA counterparty (sell long-dated puts, don't post, sit tight - that one worked out for him).

Well, then the reinsurer is taking that risk, right - somebody carries that catastrophe expsure at the end (unlike the mortaility risk, which is much more balanced, for example). Really, who cares what Karen does, she's been trading since 2009 (5 years) and trading 3-month options gives us a...

How is that different from selling hurricane insurance, for example? Analyze the potential loss and size your trades accordingly - you might not be able to make 50% per year but you will be reasonably compensated for the assymetric P&L profile. PS. I am pretty sure Karen is legit, but the...

I would only say that "adjustments" or closing before expiration do not change the overall expectation of the strategy. If anything, trading anything worsens your expectation unless it's an original part of the strategy (e.g. you delta-hedging). This one is no different then any actuarial...

Every option has an assymmetrical return profile - you play the fixed premium again a variable payout. In these terms, trading straddles into expiration is not different from any other option trades held to expiration (or any other event trades like earnings plays, for that matter). If the risk...

I'll call it. Have you actually tested if the pre-expiration optionality is mispriced in either direction?

No, it simply has to do with the fact that you can not have everyone exploit an opportunity, it will dissappear rather quickly. The real "edges" are well known, but you can't just exploit it from your seat - e.g. convertible bond call spreads are frequently priced (and laid off) at ridiculous...

No, why. Lets try to figure out why they elected to share their insight instead of making money for themselfs. Lets take Don Miller (yup, I just looked him up). He could have gone, raised a little capital and grew it at 800% in 5 years, making himself a serious player. Instead, he decided to...

In my book, edge is something that is unique to a seat. E.g. a market maker has client flow, that's his edge. Corporate derivatives trader has acess to financing and can take down size (layoff trades), that's an edge. Retail participant has no overbearing risk management regulations, that's an...

couple thoughts for all the friends of Karen in this thread -- it's hard to dispute that there is positive expectation in selling risk premium and the more assymetric the p&l profile, the bigger the premium. If you have the ability to stomach the assymmetric return, you have an advantage and...

For book management, you mostly want your regular Greeks and some sort of spot slides per underlying. If you have a large enough book, you also want all sorts of operational gimmics like roll/expiration delta report, early excersize reports etc. In some specific cases you actually want a...

Actually, at most times, you can trade serious size at mid at a pre-specified tie via a voice broker. Hell, I traded 500k of vega in the last 15 min of the day today - try doing that via screens. As an instututional market, SPX options market is very functional. If are a small-time player and...