Do you manage Aggregate PL

xandman

xandman

I was looking thru IBKR's Risk Navigator. I noticed that my aggregate PL, looking much like a short straddle, was sharply sloped on the downside meaning I would have lost more had the market tanked.

So, I threw in a couple of backspreads and so the slopes are more balanced now.

I would like to hear from you guys if you manage aggregate PL this way. Do you get fancy with having a bi-modal, tri-modal PL curves?

How should we part-timers do it? Should I go crazy with long gamma positions and flatten it out or at least make money within 99.5% confidence? Thanks.
 
Personally, I manage my risks and my P/L based on various SD (standard deviation) moves in the underlying market.

Although we all know that markets don't follow a true normal distribution but rather have fat tails (leptokurtic), I find using standard deviation as a useful guideline in making my trading decisions.

For instance, I may examine my P/L based on how much money I can make or lose if the market moved 2 - 3 SD on multiple time frames ( daily / weekly / monthly basis) And make adjustments if I don't feel comfortable with the overall risk / reward of my portfolio.

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xandman said:
I was looking thru IBKR's Risk Navigator. I noticed that my aggregate PL, looking much like a short straddle, was sharply sloped on the downside meaning I would have lost more had the market tanked.

So, I threw in a couple of backspreads and so the slopes are more balanced now.

I would like to hear from you guys if you manage aggregate PL this way. Do you get fancy with having a bi-modal, tri-modal PL curves?

How should we part-timers do it? Should I go crazy with long gamma positions and flatten it out or at least make money within 99.5% confidence? Thanks.
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Since I don't use IB I'm not very helpful but am curious..over Fri-Mon I assume your aggregate PL looked different...did having the back spreads help? Did you adjust again? I look at my aggregate delta's to decide if I need to buy a put or call. I prefer a slight negative...so prior to Fri-Mon I was neg 100ish now I'm flat so kinda looking to get short.
 
Delta becomes more insufficient as you do more volatility centric trades.

Back Spreads definitely did help. It stacked on delta really quick during sudden moves downward. However, I decided to take profit very early because I didn't want to lean too bearish as the market would probably bounce. Perhaps, I would have been better off gamma hedging/scalping, but that's making it complicated.

For a real bear market, however, I am not sure of doing non-stop ratios. Bear rallies are very viscious and I don't like the sudden loss from delta and IV in tandem.
 
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