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My approach to selling puts.
As a deep value trade,it make no sense to roll puts,especially in highly illiquid names. Bad mix of an Option Weiner(me) breeding with a Value guy..Not going to breed well.. Buffet certainly sells puts,but he sells them to take delivery,except when selling Long Dated Index vol after... -
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My approach to selling puts.
Only if I want to outperform selling puts... Im returning this thread to Tony.... -
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My approach to selling puts.
Sell the 30 day put,and in 30 days when the dust settles,sell another..rinse ..repeat.. Same thing with the 1 year put..Hold till expiry..Dont take assignment.. you like to complicate things.... "Take assignment then as things return"????? Good luck with that :) -
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My approach to selling puts.
I would and do,and thats why Im not a billionaire....Not sure why,but I didnt think to tell Steve and Paul that they needed to skew if they wanted to be really successful :) I never said I trade assymetrical payouts,but at this vol,I better start thinking about it... -
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My approach to selling puts.
DB,I trade in a similar fashion to you as far as ratios along with Split strike flys.. I ran a backtest just now on the SPY,selling puts vs buying the SPY..I only looked at 25 Delta and 50 Delta. Start date was 1/2007...I sold 30 DTE options and rolled,and I also looked at 365 DTE puts and... -
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My approach to selling puts.
Nice that you are thinking of me.. Am I the fierce nerd or the competitive non nerd??? Or is that you?? Interesting read... -
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My approach to selling puts.
You are clearly the smartest guy in the room :) -
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My approach to selling puts.
Including div,conversion looks in line to me,give or take pennies.. -
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My approach to selling puts.
I'm way too lazy and way too tired to read everything,but did you account for the June dividend,assuming there is one?? Looks like a quarterly div is coming up,and it's about the same size as your "skew edge"... -
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My approach to selling puts.
You literally lost me with this responce.you bring up the skew differential on the 30 Delta put vs 30 Delta call,and then state that selling the 30 Delta put outperforms buy writing the 30 Delta call due to skew. Simply put,no pun intended,you are saying it's better to sell the 30 Delta put (or... -
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My approach to selling puts.
Oh boy.... Yes,Goldman/ Derman had a paper 20 plus years ago that showed selling ATM PUT,and rolling performed better on a risk adjusted basis.. That has not been the case for the last 15 years or so..Ill backtest later. When you say "selling Puts", are you saying sell 2 Delta .50 puts, or 4... -
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My approach to selling puts.
Great post...... When my sales guys brought in the likes of Tudor and Cohen,not once did they ever ask for a product/structure that capped their upside.. Assymetrical payout or go home -
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My approach to selling puts.
What you are saying is only true in a flat to down market... Run a backtest over the last 15 years and you will see that buying the underlying outperforms selling the put. Great stock traders do not sell puts in lieu of buying stock..Value guys do..Totally different game.. -
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My approach to selling puts.
"Disclosing"or not has nothing to do with confusing a simple what if risk scenario tool with a portfolio/option backtester that "could" help you immensely... From everything you have disclosed,your excess return was leverage.I wouldn't worry about running Sims and the developer reverse... -
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My approach to selling puts.
Do yourself a favor and take a trial to ORATS... -
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My approach to selling puts.
How did your book do from 8/2020 - 5/2021?? That's when you crushed it XLF = Finanial SPDR(sector fund).. Please know I am playing the role of ultimate hindsight analyst..Monday morning quarterback is a great job if you can get it -
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My approach to selling puts.
Here's the thing and Tony openly admits he knows nothing about options,nor does he care to.. year of the Covid was a very unusual year with very high levels of IV and a runaway bull. His strategy,most likely selling .30 ish put wings was levered 3x to 7x .. I agree with Tony that he's in it to...