Free left tail convexity. Am I kidding myself?

[dorietrading]

Added profit taking when vix > 60.
On 12 March 2020 the following were closed:
945: closing week: maxCloseDate:2020-03-31: result:957% resultAmount:10630,00
945: closing week: maxCloseDate:2020-04-30: result:1767% resultAmount:20675,00
945: closing week: maxCloseDate:2020-06-30: result:2624% resultAmount:65995,00
945: closing week: maxCloseDate:2020-07-31: result:-1080% resultAmount:-32915,00

At that moment there were 10 long positions and 3 short positions..

 

[dorietrading]

In the last 20 years there were 2 events where vix > 60.
5 oct 2008
12 march 2020

 

[dorietrading]

But this strategy takes almost no time to manage, and once the first months have run without incidents (there is the risk) will cost you no margin..

 

[tman]

we don’t know his other other holdings or how he has scaled this relative to those. It may not even be a hedge.

It is intended to hedge a constellation of broken wing put butterfies of various tenors that are managed to be delta negative and obviously theta positive. This 3SD put structure allows me to maintain no PNR is my TOS account while carrying enough BWBs to have a "theoretical" daily theta > .1% of net liq. (Tho that's not a target!)
This "factory" get stronger and weaker at various times. (now being on the weaker side). This can kinda be visualized in the excel link I previously posted. During time of "factory weakness" I allow the other structures to accumulate more negative deltas (ie: not monetizing the charm and vanna). I'll also scale the BWBs down to maintain no PNR in the account.

TLDR; the "factory strength" dictates the size of the profit generating structures.

 

[jtrader33]

It is intended to hedge a constellation of broken wing put butterfies of various tenors that are managed to be delta negative and obviously theta positive. This 3SD put structure allows me to maintain no PNR is my TOS account while carrying enough BWBs to have a "theoretical" daily theta > .1% of net liq. (Tho that's not a target!)
This "factory" get stronger and weaker at various times. (now being on the weaker side). This can kinda be visualized in the excel link I previously posted. During time of "factory weakness" I allow the other structures to accumulate more negative deltas (ie: not monetizing the charm and vanna). I'll also scale the BWBs down to maintain no PNR in the account.

TLDR; the "factory strength" dictates the size of the profit generating structures.

Sorry, what’s PNR?

 

[tman]

Sorry, what’s PNR?

Point of No Return. It's a risk measure that TOS uses to assess risk. So if the downside PNR is 30, that means that theoretically, the account goes to zero at that point.

 

[Windlesham1]

Gentlemen- I am delighted to see some positivity and some great thinking. I only trade UK, but index options are a no brainer. No early exercise and the entire index will not all get caught groping young ladies in lifts(elevators). Has anyone done stats on disgraced CEOs? Good luck to people who trade equity options, not my game. Anyway bloody well done everyone. May we all continue to be profitable, and healthy.

 

[newwurldmn]

Gentlemen- I am delighted to see some positivity and some great thinking. I only trade UK, but index options are a no brainer. No early exercise and the entire index will not all get caught groping young ladies in lifts(elevators). Has anyone done stats on disgraced CEOs? Good luck to people who trade equity options, not my game. Anyway bloody well done everyone. May we all continue to be profitable, and healthy.

I agree. This has been an interesting thread.