Free left tail convexity. Am I kidding myself?

[mervyn]

0.025, around 2700 2800 spx for 120days

My experience has been not worth the effort, while profitable, started trading 3-5 SPX 8-12 delta on weekly and monthly since 2018, one or two bad trades will knock you out cold.

That's why I swiched to futures.

 

[dorietrading]

Is it a -3 +2 turnover on your transactions?
I thought it was sell x3 buy x5?

edit: ops... I think I understand now, is it buy 5 so what I see is the +2 net?

Correct, first the 3 open transactions are closed and 2 new longs are openend..

 

[dorietrading]

I'll take these results at face value given that I'd be much more concerned about cherry-picking and over-fitting. Let's face it, 3 years isn't exactly a long time. That's just little ol' me though... I'm quite a risk averse person.

Its a 5 year period. And longer is not needed, what matters is that you see positive P&L days on down days!

 

[dorietrading]

My experience has been not worth the effort, while profitable, started trading 3-5 SPX 8-12 delta on weekly and monthly since 2018, one or two bad trades will knock you out cold.

That's why I swiched to futures.

Shorting low delta options is all about risk management. This is an side strategy, hedging negative delta/ positive theta strategies..

 

[mervyn]

Shorting low delta options is all about risk management. This is an side strategy, hedging negative delta/ positive theta strategies..

Not if pocketing premiums is the objective of the game.

If just for protection, why 2.5 delta, not 10-15 delta. When was the last time SPX at 2800?

 

[newwurldmn]

My experience has been not worth the effort, while profitable, started trading 3-5 SPX 8-12 delta on weekly and monthly since 2018, one or two bad trades will knock you out cold.

That's why I swiched to futures.

he's net long these tiny options.

 

[mervyn]

he's net long these tiny options.

still he is paying next to nothing for things that’s unlikely to happen and also not much gains even if it happened. that’s not a rolling structure in my mind. 2800 is too low a bar to protect.

 

[newwurldmn]

still he is paying next to nothing for things that’s unlikely to happen and also not much gains even if it happened. that’s not a rolling structure in my mind. 2800 is too low a bar to protect.

they earn on the MTM. If the market sells off 10percent, the likelihood of a 20percent correction goes up and that brings the whole skew up…. so the theory goes. In 2020 it paid off, in 2022 not so much.

 

[mervyn]

they earn on the MTM. If the market sells off 10percent, the likelihood of a 20percent correction goes up and that brings the whole skew up…. so the theory goes. In 2020 it paid off, in 2022 not so much.

Yes but what would happen to his other holdings, kumbaya, 50% off.

 

[spy]

The exercise strikes me as impractical and theoretically questionable. IMHO I wouldn't be racing to submit the idea to any peer-reviewed academic journals yet. Just my 2 cents; no offense intended to OP.