Ending the year at 114% ($226K -> $485K) trading options

[guru]

The OCC for end of day values for their TIMS calculations (PM Requirements) do similar smoothing. They did not for years creating horrible values for OTM puts where some were $0.00/$0.50 and some were $0.00/$0.05 on either side of the wider market.

I see. No wonder a few years ago I was able to actually arb stuff with instant profit, when I first started smoothing options and realized how badly they were priced. Here are just some of my diagonal arbs there were going through, even on liquid names - the profit was showing up instantly, nearly 100% win rate, and no margin used up:

 

[Quanto]

The OCC for end of day values for their TIMS calculations (PM Requirements) do similar smoothing. They did not for years creating horrible values for OTM puts where some were $0.00/$0.50 and some were $0.00/$0.05 on either side of the wider market.

It's caused by some "illegal" Bid/Ask prices set by the MMs, especially with Puts.
And b/c of that, then also IV and MidPrice are wrong! These are of course very important numbers.

For example an Ask price of $5 for a Put with strike $2 Only MMs can set such "illegaly high" prices, nobody else.
Of course the mathematically MaxPossiblePremium of a Put is the Strike price, ie. here $2...

I have developed some simple formula to fix the mess.
But afterwards one needs to calculate the IV anew (and that's timeconsuming when processing/scanning mass data)...

Ie. one cannot take the originalBid, originalAsk, originalIV, rather one has to "fix" them before using them in own trade decisions, and other cases (like when creating an IV list etc).
Of course, also the important MidPrice has to be calculated anew.

If anybody is interested, I could look up in my codebase. It's been a while since I worked on it. But it autom. gets applied when I read options data from my local database.

 

[qlai]

You're a fraud.

That’s sad to hear if true. He is/was one of few guys who seemed to work hard to get where he is. I don’t really understand why he is a scammer even if he’s making his trades look better than they are. Are you saying he’s taking much more risk than he’s claiming? Or are you saying that his results are impossible to achieve using his strategies?

 

[destriero]

That’s sad to hear if true. He is/was one of few guys who seemed to work hard to get where he is. I don’t really understand why he is a scammer even if he’s making his trades look better than they are. Are you saying he’s taking much more risk than he’s claiming? Or are you saying that his results are impossible to achieve using his strategies?

I was basing it on a fintwit tweet. We've since chatted. Well, the stresses have an incorrect fwd-value so they are not arbs, but it's not a huge issue.

 

[lwlee]

I was basing it on a fintwit tweet. We've since chatted. Well, the stresses have an incorrect fwd-value so they are not arbs, but it's not a huge issue.

So after all that, is the dude a scammer or not? I usually go by what they are selling. Scammer gotta earn so they will eventually hit you with their "winning" course.

 

[destriero]

So after all that, is the dude a scammer or not? I usually go by what they are selling. Scammer gotta earn so they will eventually hit you with their "winning" course.

No, he's not scamming anyone. I've already explained why I'd blocked him on Twitter. He cannot recall the actual trade and I don't think he was intentionally misleading anyone. There is a problem with the modeling in the images but I'm not going to discuss it here.

 

[qlai]

I usually go by what they are selling. Scammer gotta earn so they will eventually hit you with their "winning" course.

Sometimes it's not about selling anything to retail but rather getting noticed in order to attract initial/additional capital.

@destriero, do you think his edge has enough capacity to attract family office money for example? Just curious. I assume he can't double his account in perpetuity

 

[destriero]

Sometimes it's not about selling anything to retail but rather getting noticed in order to attract initial/additional capital.

@destriero, do you think his edge has enough capacity to attract family office money for example? Just curious. I assume he can't double his account in perpetuity

I am not disputing the performance. The structure stress is inaccurate (stress pics).

I have no idea (general perf) but if it's limited to index and it's persistent then why not? The only vol-guys who get funded are those taking inter-mkt arbs and delta in vol.

 

[destriero]

I see. No wonder a few years ago I was able to actually arb stuff with instant profit, when I first started smoothing options and realized how badly they were priced. Here are just some of my diagonal arbs there were going through, even on liquid names - the profit was showing up instantly, nearly 100% win rate, and no margin used up:

View attachment 330860

View attachment 330859

View attachment 330857

These positions in SN would not attract capital as it's constrained on liquidity (ticker).

 

[ironchef]

No, he's not scamming anyone.

Sign of a good trader also showed good character. Willing to admit a wrong judgement and change your position. You have my respect.