Karen the Supertrader - TastyTrade Hybrid Experiment

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I must have seen a diferent vid. I watched all the TT vids through and I couldn't find stuff that I remember. I think she has done different interviews. She does say she goes to conferences, mbey she did one then.

There is a really long running thread over at futures.io which I've read some of, if your interested in this kind of strat then you should go check it out. Its called selling options on futures.

Happy Trading!
 
isotope said:
Hey Pekelo,
the VXST/VIX/VXV/VXMT clusters to watch the weather. So far, I manage to average 10-15% per month return on capital at risk.
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Isotope, can you share more about what you look for in the relationship. I mean obviously there is backwardation/contango in the vix futures market. But I have not found that to be a great predictor of continuing volatility movement. Is there anything for example in that relationship that threw up red flags for you on Aug 20 or 21st before that big vol spike?
 
coolraz said:
Isotope, can you share more about what you look for in the relationship. I mean obviously there is backwardation/contango in the vix futures market. But I have not found that to be a great predictor of continuing volatility movement. Is there anything for example in that relationship that threw up red flags for you on Aug 20 or 21st before that big vol spike?
More...
Coolraz, by the time the VIX is in full backwardation, it is probably too late for damage control. I try to watch for signs of weakness in the contango term structure. I use both a set of volatility cones of statistical vols and a graph plot of the VXST/VIX/VXV/VXMT to monitor their relative movements. e.g. In a normal/usual/healthy contango state, the VXST/VIX/VXV/VXMT line plots are widely spaced apart. When the market is very nervous, the spacing between the lines will diminish, the VXST will start a steep climb and cross over the VIX line. When the market is near a nervous break down, the VXST would cross over the VIX/VXV/VXMT, the VIX would cross over the VXV, and so forth. I hope you get the picture without the actual graphics. In my experience, the velocity of change is more telling than the change itself. When the market is in free fall, the backwardation term structure will look like VXMT/VXV/VIX/VXST. BTW, I also check these places frequently http://vixcentral.com/ ; http://vlab.stern.nyu.edu/analysis/VOL.SPX:IND-R.GAS-GARCH-T ; http://www.volx.us/volatilityconesgraphs4.shtml. Hope it helps.
 
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isotope said:
Coolraz, by the time the VIX is in full backwardation, it is probably too late for damage control. I try to watch for signs of weakness in the contango term structure. I use both a set of volatility cones of statistical vols and a graph plot of the VXST/VIX/VXV/VXMT to monitor their relative movements. e.g. In a normal/usual/healthy contango state, the VXST/VIX/VXV/VXMT line plots are widely spaced apart. When the market is very nervous, the spacing between the lines will diminish, the VXST will start a steep climb and cross over the VIX line. When the market is near a nervous break down, the VXST would cross over the VIX/VXV/VXMT, the VIX would cross over the VXV, and so forth. I hope you get the picture without the actual graphics. In my experience, the velocity of change is more telling than the change itself. When the market is in free fall, the backwardation term structure will look like VXMT/VXV/VIX/VXST. BTW, I also check these places frequently http://vixcentral.com/ ; http://vlab.stern.nyu.edu/analysis/VOL.SPX:IND-R.GAS-GARCH-T ; http://www.volx.us/volatilityconesgraphs4.shtml. Hope it helps.
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A wiser friend of mine, who by the way is also a better sailor than me, had taught me this. Never sell premium when the market (SPX/SPY) is below its 200-day-SMA. Never sell premium when VIX closed above its 30-day-SMA. Following his advice has kept me out of trouble so far. The logic behind his sage teaching is that when SPX/SPY is above its 200-day-SMA, the market is quite bullish. Statistically, the probability of a black swan fat tail event under such conditions is much less than in a bearish market (within the time horizon of 45-60 days which is the typical period of my risk exposure). And when VIX is above its 30-day-SMA, the market is very nervous, usually for a good reason. Of course, there are those who prefer to surf the waves in a storm. They will get their thrill of fat juicy premiums, and good luck to them. Both my wise friend and I are but old greedy cowards. We prefer to live longer. When we sell volatility risk premiums, we get paid to bear the unknown future volatility of the market. If we demand juicy premiums, we shall beget chunky volatility. Better safe than sorry -- don't bite more than you can chew.
 
One of my evil GTC orders kicked in today closing one of my trades at a 50% profit:
15 JUL 16 225C(3)/184P(2) I was only in this trade for 5 days.
I then sold the SPX 8 JUL 16 2250C(2)/1930P(1) ratio strangle for a $8.00 credit. As I was placing my two closing GTC orders, I made a mistake and placed the second order as a limit order instead of a stop limit order and it immediately closed this trade for a $4.00 profit. I'm a newbie and I don't know what I'm doing. Let's just be nice and call this a scalp and not an ID-10-t error. (Idiot)

So, then I sold the 8 JUL 16 2250C(2)/1930P(1) ratio strangle for $7.80.
Then I traded something new! I sold the ESU6 JUL 16 (Wk3) 2245C(2)/1905P(1) with 51 DTE at $8.60.

Now, here's where I need your help to understand why I received a credit of $4.30 when I sold it for $8.60. I have zero experience with futures options and I hope some of you can help me understand why the credit is half.

The experiment is down $8 for the day. I added an "Automatic Close Date" column to my spreadsheet which tells me the date to automatically exit the trade regardless of P/L. This will make it much easier to manage the portfolio.

Here's a link to my updated spreadsheet:

Happy Trading!

Bobby
 
I find even delta 4-5 options move to much to underlying movement. Selling delta 2 puts seems better. Calls give too little to woth selling, and every time I have sold calls I haad to exit early to aovid potential very bifg losses. If karen is selling 14-day calls this probably would have been a very bad week. Maybe also sell NDX puts
 
On May 23, I sold 5 SPX 22JUL 1800 PUTs @6.88. If I remember correctly, they were about 0.055 delta (i.e. your 5 delta). They are doing quite well now. I am contemplating closing the position soon when I reach the 50% max profit target. On the other hand, it is tempting to sell some calls against this position when the over bought condition subsides, hopefully very soon. Always torn between fear and greed.
 
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I sold the SPY 15 JUL 16 225C(1)/191P(2) ratio . The experiment is up $362 for the day. Theta is 110, delta is -52, and vega is -778.

Happy trading!

Bobby
 
isotope said:
Coolraz, by the time the VIX is in full backwardation, it is probably too late for damage control. I try to watch for signs of weakness in the contango term structure. I use both a set of volatility cones of statistical vols and a graph plot of the VXST/VIX/VXV/VXMT to monitor their relative movements. e.g. In a normal/usual/healthy contango state, the VXST/VIX/VXV/VXMT line plots are widely spaced apart. When the market is very nervous, the spacing between the lines will diminish, the VXST will start a steep climb and cross over the VIX line. When the market is near a nervous break down, the VXST would cross over the VIX/VXV/VXMT, the VIX would cross over the VXV, and so forth. I hope you get the picture without the actual graphics. In my experience, the velocity of change is more telling than the change itself. When the market is in free fall, the backwardation term structure will look like VXMT/VXV/VIX/VXST. BTW, I also check these places frequently http://vixcentral.com/ ; http://vlab.stern.nyu.edu/analysis/VOL.SPX:IND-R.GAS-GARCH-T ; http://www.volx.us/volatilityconesgraphs4.shtml. Hope it helps.
More...
isotope said:
A wiser friend of mine, who by the way is also a better sailor than me, had taught me this. Never sell premium when the market (SPX/SPY) is below its 200-day-SMA. Never sell premium when VIX closed above its 30-day-SMA. Following his advice has kept me out of trouble so far. The logic behind his sage teaching is that when SPX/SPY is above its 200-day-SMA, the market is quite bullish. Statistically, the probability of a black swan fat tail event under such conditions is much less than in a bearish market (within the time horizon of 45-60 days which is the typical period of my risk exposure). And when VIX is above its 30-day-SMA, the market is very nervous, usually for a good reason. Of course, there are those who prefer to surf the waves in a storm. They will get their thrill of fat juicy premiums, and good luck to them. Both my wise friend and I are but old greedy cowards. We prefer to live longer. When we sell volatility risk premiums, we get paid to bear the unknown future volatility of the market. If we demand juicy premiums, we shall beget chunky volatility. Better safe than sorry -- don't bite more than you can chew.
More...

I forgot to mention that I also monitor the VIX/VXV ratio and the CBOE-SKEW index. https://docs.google.com/viewer?url=...icro/skew/documents/skewwhitepaperjan2011.pdf
 
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