Long-scalping equity options against time decay and market drift

[destriero]

So. Do you insist on your retardation?

Do you understand the word "dynamic" payoff? A programmatically changing scenario, depending on the underlying?

Of course, you don't. Because you do not even have the slightest idea what programming is and you reason in terms of idiotic "fixed" bets.

Look, I am tired of giving free information and consulting to an arrogant and ignorant a retard like you.

Go study and learn programming. Maybe in 30+ years, you will get it.

I do not care if you think I have no edge. Continue to think so if it makes you feel better.

As I said, you are less important than a fart to me. Really.

I care only about the investors who are with me and their results.

Gaps? Suppose that China has a bank run and they declare martial law. PICK a scenario. How are you "programmatically" going to hedge a 70 vol-figure with our market opening 15% lower (if it opens/curbs). Man, you're fucking dull AF.

You're short 9 garbage puts for every one you're long. At one point you were short 15X in your sim-shit.

You're showing your terminal payoff, above.

You're woefully out of your depth.

 

[destriero]

Nobody on the buy side can sell a strategy that is net-short index puts. You're underwriting hurricane insurance at $30/contract. On what level can you justify that abject stupidity?

I copied your terminal payoff. There is no "programmatic" hedge that avails you.

A gap of 10% would be life-ending for you. You would be debit at 70-vol and unable to hedge as you'd be on call and even if you were stupid enough to throw sim-monies at it you'd be buying a 70-swap figure.

You are a danger to yourself and your "donors" if any real money is involved. From the pic of your house I can assume not.

 

[fullautotrading]

Note that our scenario is never static as the bot changes continuously the positions to hedge. Do not make the noob mistake to think in terms of fixed bets.

Clearly, a naive or noob trader, or not an expert in algorithmic trading may not be able to understand (unless he is bright) that because he reasons in terms of a "fixed bet", and not algorithmically, as it is required to create an edge.

You will never be consistently profitable with fixed bets. No matter what you do. That is by the "design" of the market.

Similarly, you will never be consistently profitable by chasing signals using "disjoint trades". No matter what you do. The concept itself of "trade" is actually harmful to the quest for an edge, as it needs to be replaced by the more useful notion of continuous order flow.

For instance the last few days we had a significant drop in ES:

However, this does not result in any significant or catastrophic drawdown, because the platform changes the respective positions on all layers.

For instance, look at this layer:

here we have represented 2 rollovers:

Transfer: ES FOP 20230616 2000 P CME 50 → ES FOP 20231020 2600 P CME 50
Transfer: ES FOP 20231020 2600 P CME 50 → ES FOP 20240328 3000 P CME 50

Note that the bot immediately stops the "bleeding" (blue circle denoting buys), thus changing the overall scenario. And through rollovers (information transfers) that buy will be later "recovered", thus removing its bad influence on the average buy price. This is the algorithmic "stop-recovery mechanism", which contributes a lot to our edge, in addition to the bilateral scalping activity

This happens obviously on all layers.

At the same time, more long legs are added by extending the profitable zone to very small (practically impossible) values of the underlying.

In the worst scenario, if we are able to put in additional capital to ride the market drift we can make an exceptional extra return on top of the ordinary return. Warren Buffet style

Note that this trading session is 564 days and we have accumulated 650K profits starting from 2MM. With a maximum of 670K. DD less than 5%. Portfolio margin account. All LMT orders, buy at ASK, sell at BID (note that blue and red lines represent ask and bid real-time prices respectively).

While the broker (IB) reports officially this situation:

AccruedCash 6049.66 USD
AccruedDividend 0.00 USD
BuyingPower 10319092.27 USD
FullAvailableFunds 1547863.84 USD
FullExcessLiquidity 1718557.31 USD
FullInitMarginReq 1209105.43 USD
FullMaintMarginReq 1038411.96 USD
NetLiquidation 2756969.27 USD

 

[destriero]

By fixed bets you must be referring to something that does not require a dynamic-hedge? I've never heard of that term used outside of digitals.

 

[fullautotrading]

By fixed bets you must be referring to something that does not require a dynamic-hedge? I've never heard of that term used outside of digitals.

Why do you not make your own threads instead of continuously trying to attract attention in my journals and threads with posts that are always and without exceptions either defamatory and/or plainly retarded? Is your world actually so ugly that you see everything in black and you need to shit on anything that you are unable to grasp?

Do not you see you are the only one on this site behaving in this antisocial way? I understand you have a severe narcissistic personality disorder, so bad as to bring even your poor dead mother without any real necessity into a discussion to try to attract sympathy (as you have already proven in your previous posts), but please go break the balls to someone else. Will you? You are really more fastidious than a mosquito and more smelly than a fart.

I suggest some titles for your threads:

"Rants by the notorious cowardly retard"
"The anonymous professional retarded defamer teaches you how to become rich with no risk"
"How to become rich with the famous no-drawdown-trade method from the retarded coward without a name"

or something similar.

If you write some posts that are actually understandable, show your algorithmic trading platform in full transparency with all explanations, as I do, instead of using that weird invented language you made up to convey the impression to the poor noobs that you really understand something, perhaps you may get some views.

It's no use for you to just envy my success: I work hard for it every day (even coding 16+ hours straight every day), and you will never gain anything in your life by shitting on successful people.

 

[destriero]

Why do you not make your own threads instead of continuously trying to attract attention in my journals and threads with posts that are always and without exceptions either defamatory and/or plainly retarded? Is your world actually so ugly that you see everything in black and you need to shit on anything that you are unable to grasp?

Do not you see you are the only one on this site behaving in this antisocial way? I understand you have a severe narcissistic personality disorder, so bad as to bring even your poor dead mother without any real necessity into a discussion to try to attract sympathy (as you have already proven in your previous posts), but please go break the balls to someone else. Will you? You are really more fastidious than a mosquito and more smelly than a fart.

I suggest some titles for your threads:

"Rants by the notorious cowardly retard"
"The anonymous professional retarded defamer teaches you how to become rich with no risk"
"How to become rich with the famous no-drawdown-trade method from the retarded coward without a name"

or something similar.

If you write some posts that are actually understandable, show your algorithmic trading platform in full transparency with all explanations, as I do, instead of using that weird invented language you made up to convey the impression to the poor noobs that you really understand something, perhaps you may get some views.

It's no use for you to just envy my success: I work hard for it every day (even coding 16+ hours straight every day), and you will never gain anything in your life by shitting on successful people.

You don't understand the question? They are your words (fixed bets).

Views. I have the most followers of anyone on this site.

 

[destriero]

You will never be consistently profitable with fixed bets. No matter what you do. That is by the "design" of the market

The only constant in dynamic-hedging is friction and microstructure issues. Why do you consider dynamic positions inherently "the only way" v "fixed bets"

 

[destriero]

So. Do you insist on your expressions of retardation?

Do you understand the word "dynamic" payoff? A programmatically changing scenario, depending on the underlying?

Of course, you don't. Because you do not even have the slightest idea what programming is and you reason in terms of idiotic "fixed" bets.

Look, I am tired of giving free information and consulting to an arrogant and ignorant retard like you.

Go study and learn programming before attempting to talk to me. Maybe in 30+ years, you will get it.

I do not care if you think I have no edge. Continue to think so if it makes you feel better.

As I said, you are less important than a fart to me. Really.

I care only about the investors who are with me and their results.

Hedging short g/v is always inferior to "fixed bets" (uhhh).

Friction/microstructure and comms. Futures as delta1 is the least offensive, but you constantly have to get flat which increases edge loss. You short a skew figure but lose to vol-corr as all of your hedges are into bear risk.

Makes it virtually impossible with short gamma with optionality. You're always averaging into long vol as higher prints which will more than negate your opening edge on vol-skew (in shorting teenies).

Gaps. You have no answer to a discontinuous market. Imagine you're a trader of cash vol (no futures access) and take a look at the SPX cash chart.

You really don't know WTF you're doing.

 

[fullautotrading]

Hedging short g/v is always inferior to "fixed bets" (uhhh).

Friction/microstructure and comms. Futures as delta1 is the least offensive, but you constantly have to get flat which increases edge loss. You short a skew figure but lose to vol-corr as all of your hedges are into bear risk.

Makes it virtually impossible with short gamma with optionality. You're always averaging into long vol as higher prints which will more than negate your opening edge on vol-skew (in shorting teenies).

Gaps. You have no answer to a discontinuous market. Imagine you're a trader of cash vol (no futures access) and take a look at the SPX cash chart.

You really don't know WTF you're doing.

Fuck off from my journal, cowardly retard hiding comfortably in anonymity, shivering behind your keyboard, while the real people do the actual tough work and print actual $$$.

You despicable coward who does not even have the courage to identify himself while taking time to attempt to defame real people who have spent entire lives in research.

Make your own threads and journals to spread your incomprehensible farts around. Go learn how to code, you ignorant freak of nature. You would not last the first 10 seconds of any of my exams.

How many times do I need to repeat it? Do you not really understand English? Do you not really understand when you are out of line?

Do not make me repeat it.

 

[destriero]

The mirror is gamma-trading (long gamma/vega) which also has the edge loss associated with friction/microstructure and commissions, but you're trading contra to the move and ostensibly earning from vol-corr. In index you're necessarily short skew, but vol-corr will more than make up for it.

Your thing simply cannot be hedged into event risk. A former MD at Nomura(head of eq-exotics) and P72 said today that, "you cannot sell tail strategies" and the same can be said for short tail strategies.

You would think that you would have learned after the sim-challenge before you went dark.

See, my TG-chat (owner) has 32 pros in it! Oh well. Talk soon.