So you are paying for long vol/theta with your short term short Vol trades? Or do you look for cheap gamma to scalp too?
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Guru's pursuit of the Holy Grail
- Thread starter guru
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I don't use Greeks and don't operate in those terms, so wouldn't have a proper answer, but I do continually balance "everything" in such way that someone looking at the Greeks may see both long and short vol and long and short theta across my positions. I did implement Greeks into my system in the past, but they were useless since they continually change. My system produces more stable output where my variables don't change as much. I still can use Greeks to measure things, but don't find a need to.
IB has some feature that only shows my portfolio's Theta & Vega, as follows:
(not sure if those are correct, due to lots of OTM positions/combos that are illiquid for now and difficult to price - I often see invalid pricing on some, fluctuating between days even when nothing changes)
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How far out did you buy the puts? Do you do Spreads or naked? You mentioned you go for index puts correct? Have you considered buying puts in single names with a high beta to e. G. Spx when IV is cheap on those?
I have puts all over the place
My system looks for holes at different expirys that may need to be covered, so it tells me which ones to buy. It’s a mix of naked/short and long puts, at different quantities. So depending on which ones you choose to look at, you may see a mix of ratios and back ratios, calendars, diagonals, etc. Or Swiss cheese Though the same goes for calls, maybe less so on SPX, but I also have lots of calls on UVXY, with some short calls, but more of the long ones, just trying to balance them across strikes and expiries.
And I do have some puts on single names. As well as calls, strangles, calendars, diagonals, ratios and the likes. Not measuring Beta, just trading them opportunistically while not all of them provide good hedges even when correlated to the market. Last March I was testing some put combos before the market crashed and made 1500% on some of them (on single names) but couldn’t squeeze much profit out of similar put combos on AAPL, for example. Also, single names may drop on their own merit and may need to be hedged on their own. While SPX puts and VIX/UVXY calls seem best for the market overall.
Both. Sometimes I chase after the price, though most of the time have resting orders that wait for underlying price movement to get filled. Recently I set my Smart router settings to MaxRebate and got a few rebates/negative commissions, but rarely.
Actually, thinking about this further, I trade mostly option combos and I'm unable to find other traders who need the same exact options on all my legs, so I'm usually the one depending on liquidity from MMs. Even when I have resting orders, they're rarely matched against other traders, until underlying's price moves so much that I get filled by MMs. That's why I also rarely get rebates.
The solution may be a bit of market making and generally trading individual options, but that's not my priority since my priority is to make sure all my combo legs get filled at specific total price.
So I'm closing my stock trading account to move some funds to my options trading account, and I took a screenshot of how that stock trading account did for the past 12 months:
I'm actually surprised how fairly steady it looks, without too large drawdowns. That's probably due to quite small trade sizing on stocks, penny stocks and some experimental option trades. A mix of everything. I probably could do better, but didn't want to abuse my margin (esp for penny stocks).
I may also start showing account balance on my options trading account after shuffling funds around. Just don't want to start now and later include transfers between accounts, so will finalize those first.
I'm actually surprised how fairly steady it looks, without too large drawdowns. That's probably due to quite small trade sizing on stocks, penny stocks and some experimental option trades. A mix of everything. I probably could do better, but didn't want to abuse my margin (esp for penny stocks).
I may also start showing account balance on my options trading account after shuffling funds around. Just don't want to start now and later include transfers between accounts, so will finalize those first.
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Nice curves, man! WTG!