A Non-Correlated Strategy Trading Journal That Shows Profit

[ironchef]

I am not sure I understand what you are doing and that it is worth the trouble. But thanks for your postings (and others, e.g. @destriero) as food for thought.

With zero commissions and tight bid/ask, if I have a profitable option position, does it make sense to hedge the profit with the underlying (delta neutral)?

 

[destriero]

Took me 18 seconds. $407 req. Will beat his return on req. No reason to trade it but it's not irredeemably stupid.

View attachment 212670

Four day hold. Open $4.07; $4.93 last. 17% gain on req. The condor low mark was 3.82. Earned > 3x risk.

 

[raVar]

I am not sure I understand what you are doing and that it is worth the trouble. But thanks for your postings (and others, e.g. @destriero) as food for thought.

With zero commissions and tight bid/ask, if I have a profitable option position, does it make sense to hedge the profit with the underlying (delta neutral)?

There are so many variables to that question mate ... it's dizzying to contemplate them all.

Could one?

Yes.

Should one?

That would all depend on the mandate you're under, your risk objective, what you're trying to peg, volatility of returns you are aiming for, the capital available, etc.

 

[destriero]

I am not sure I understand what you are doing and that it is worth the trouble. But thanks for your postings (and others, e.g. @destriero) as food for thought.

With zero commissions and tight bid/ask, if I have a profitable option position, does it make sense to hedge the profit with the underlying (delta neutral)?

He is one of these clueless short IC retail guys. He didn’t want to be short the puts, so he bought some SPY. He wanted to seem exotic so he shorted a call spread in QQQ. The problem is that it’s 1), stupid and 2) $22 in premium.

Any of the following made infinitely more sense:

The asym-condor
Buy 50 SPY and short one SPY call (short half a synthetic straddle)
Buy 12 shares or whatever and short the deep OTM one strike wide vert and solve for the terminal risk.
Any form of dynamic buy-write.


He wasn’t even down anything significant and the guy rolls it.

There are no rolls. There are no repair strategies. It’s not “non correlated.” SPY is in fact highly corr to QQQ.

NOBODY talks in terms of a 7-day bimodal (delta) position as uncorrelated to the market. It’s moronic.

 

[raVar]

I am not sure I understand what you are doing and that it is worth the trouble. But thanks for your postings (and others, e.g. @destriero) as food for thought.

With zero commissions and tight bid/ask, if I have a profitable option position, does it make sense to hedge the profit with the underlying (delta neutral)?

As far as that other moron? I blocked him a while back, and would be wary of anything he has to say.

Takes a special sort of numnut to try to get into a thread, that he didn't start, isn't welcome to, and didn't know what was going on from the outset ...

 

[destriero]

Retail Bro, it's numbnut.

 

[ironchef]

Any of the following made infinitely more sense:

The asym-condor
Buy 50 SPY and short one SPY call (short half a synthetic straddle)
Buy 12 shares or whatever and short the deep OTM one strike wide vert and solve for the terminal risk.
Any form of dynamic buy-write.

OK, now I understand what is asym-condor. Thanks.

Another dumb question from a retail: How do I solve for the terminal risk?

 

[destriero]

OK, now I understand what is asym-condor. Thanks.

Another dumb question from a retail: How do I solve for the terminal risk?

So you're this clown and you buy shares of SPY at 309. You short the Dec6 315/316 call spread at 0.23. Risk is $77 per contract on the vertical. 316-309=7. 77/7=11. 11 shares bought to full hedge the terminal risk. Obviously, I would not place this trade as I would do it locally in vol, not shares.

OTM call verts are the revenue side on index, but...

This example is shit... and his was shit as well. He had less than two handles hedged on SPY.

 

[raVar]

OK, now I understand what is asym-condor. Thanks.

Another dumb question from a retail: How do I solve for the terminal risk?

Haven't really addressed delta asymmetrical Condors yet, so I'm not sure the source of that question. Was intentionally meaning not to get to that stuff until much, much later for folks who are new.

Sort of wondering why you're already jumping ahead to VaR issues?

Unless that other moron is completely sabotaging my efforts to take things slowly for the new folks

 

[raVar]

OK, now I understand what is asym-condor. Thanks.

Another dumb question from a retail: How do I solve for the terminal risk?

Though the short answer from this thread? Would be to:

1) Become more Capital Efficient in the Strat by decreasing BP needs, which would require changing the strat completely

2) My favorite, and in keeping with the theme of the thread: Add another non-correlated Strat. Possibly either in STIRs (using the inverse and at times, non-correlation of STIR's to the Equities Strat) or in the Ags with the increased Capital Efficiency