Out at 838.5 on last add. Current position is a short at 814.25 + 65% hedge.
ES Journal Archive (2009 - 2010)
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Out at 838.5 on last add. Current position is a short at 814.25 + 65% hedge.
Quote from iloveoptions:
Nagelis,
Yes, you have it about 70% nailed down. However, this effective strategy and most importantly the execution of it is heavily dependent on volatility (the behavior and velocity of it) rather than limiting it to a certain percentage the market must move before adjusting. That's why my approach is much more successful than your typical text book vanilla method. However, unlike the typical delta neutral strategy that focuses on staying delta neutral as much as possible, I give mine a decent amount of bias and room to breath. I also do not engage in selling options majority of the time, opting to stay long gamma at all times. I also prefer to engage the market with options only rather than 1/2 cash, 1/2 options as you have mentioned, but because I like posting in this journal, I'm using futures with options. Over coming theta is not that difficult if you structure the strategy correctly, and your volatility timing and expectation is half way decent (but not necessarily perfect). It took me some 6 years to nearly master it in the trenches, so it's not as easy as it may look. It also requires a certain mindset not usually prevalent with your typical directional trader
Yup - I am with you. Great job. I used to trade this in FX... Haven't tried it in ES yet.
Very clever my friend - a great strategy! I agree it's harder than most assume, but very powerful and you can trade 2 dimensions (volatility long / short and directional/ delta neutral). You must have made a killing last year with this. Thanks and good luck Ilo!
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