Anyone selling premium only

[oldnemesis]

http://seekingalpha.com/article/528801-the-2-best-options-strategies-according-to-academia

http://www.cboe.com/micro/buywrite/Pap-AssetConsultingGroup-CBOE-Feb2012.pdf

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=873639

 

[froluis]

Oldtime,
I am not sure if your post is related to my question?
What I am asking is if there is more hedge in being short SPX put or short VIX futures.

 

[sle]

Quote from filthy:
selling index volatility is more profitable than selling single name volatility because you are taking on an extra risk. you can call it tail risk, correlation risk, macro risk or whatever.

Yeah, index vol is richer then single name vol because of its macro nature. If you'd speak in insurance terms, it's a global event risk that you can not diversify away. Inability to diversify that risk away is the reason why funds and banks try to stay away from that business - for them, a year that can wipe out 2-3 years of P&L is disastrous, while for a guy selling 10-delta SPYs from home it's a part of his business model.

 

[oldtime]

Quote from froluis:

Oldtime,
I am not sure if your post is related to my question?
What I am asking is if there is more hedge in being short SPX put or short VIX futures.

hey man, I don't know anything about options and don't pretend to. VIX, SPX, all the same to me. I know just a little itty bit about edge.

your life and mine would go better if you stopped using that word

If you want edge, buy a casino

 

[sle]

Quote from froluis:
What I am asking is if there is more edge in being short SPX put or short VIX futures.

They are very different - one is a risk of a large realized move, while the other is the risk of "risk perception".

 

[froluis]

Thanks Sle,
How can I compare the two risks historically? Is comparing the volatility of the PUT index vs the VIX would make sense?

 

[Lucrum]

Quote from rwk:

Option beginners like to sell premium because it is a "feel good" play with a high win rate. The problem is that the occasional losing trades can wipe out the traders' account....

That happened to me years ago - TWICE.

 

[optionbull]

Quote from Lucrum:

That happened to me years ago - TWICE.

hi could you explain, were you selling ATM > calls or puts, wereyou highly levered ?

everything eventually has its losses...

 

[filthy]

yeah, as sle said vix futures and spx puts are different. with vix futures you are betting that implied vol drops. with spx puts (hedged) you are betting that implied vol is above realized vol.

but vix options? those have a variance premium as well. so the implied vol of implied vol tends to be above the realized vol of implied vol.

 

[froluis]

But when I sell put naked and roll or short VIX futures and roll, I guess I am betting on the fact that SPX options are overpriced?