Non-recourse leverage

[qlai]

Damn it, I want that kind of leverage so bad but can’t quite figure out how to set it up. Sounds so simple (gamma scalping), but I am pretty sure I will be loosing money on long straddles.

Anyone has any suggestions on how to combine long straddle with premium writing in a complimentary way?

P.S. They mentioned owning “shoulders”. I know “wings”, same thing?

 

[Same Lazy Element]

Anyone has any suggestions on how to combine long straddle with premium writing in a complimentary way?

Very easy. Sell rich vol, buy cheap vol. I am gonna let you work out the details on your own

 

[Atikon]

Damn it, I want that kind of leverage so bad but can’t quite figure out how to set it up. Sounds so simple (gamma scalping), but I am pretty sure I will be loosing money on long straddles.

Anyone has any suggestions on how to combine long straddle with premium writing in a complimentary way?

P.S. They mentioned owning “shoulders”. I know “wings”, same thing?

From the things I've heard green and himmelstein are long vol only. They still fuck up sometimes. The election was costly for them. I still like greens mental process and himmelstein gives some great insights into quant trading on his appearances

 

[qlai]

P.S. They mentioned owning “shoulders”. I know “wings”, same thing?

Re-listening it answered the question - it’s above the guts but below the wings, dah.

 

[qlai]

From the things I've heard green and himmelstein are long vol only.

Yes, they don’t sell premium. But I doubt I can be as good as them, so I am thinking to combine premium selling on the longer time horizon with gamma scalping on shorter time frame. Just can’t put my finger on it yet

 

[BlueWaterSailor]

Damn it, I want that kind of leverage so bad but can’t quite figure out how to set it up. Sounds so simple (gamma scalping), but I am pretty sure I will be loosing money on long straddles.

You will. That's what long vol means: you're going to bleed, possibly for a long time, while waiting for an outlier event. Also, if you think that gamma scalping is "so simple", you may be missing a few things. Just for fun: pick a ticker, "buy" 100 straddles in it, then run a spreadsheet where you track your scalping entries.

Anyone has any suggestions on how to combine long straddle with premium writing in a complimentary way?

That sounds like "How do I make a neutral bet and a directional bet at the same time?" I suppose you could do it on different underlyings, but I don't think that's what you're asking.

 

[qlai]

You will. That's what long vol means: you're going to bleed, possibly for a long time, while waiting for an outlier event.

But but these guys do it. Maybe most of profits come from the dispersion trades they do.

suppose you could do it on different underlyings, but I don't think that's what you're asking.

So the best I came up with so far is to sell premium 30-60DTE and buy slightly OTM calls on down days and puts on up days with 7-14DTE. So my longs are more sensitive to relatively small moves, while my shorts are not sensitive but still bleed theta. I am afraid this will lead me down the unwanted path of day trading weeklies.

 

[BlueWaterSailor]

But but these guys do it. Maybe most of profits come from the dispersion trades they do.

That's one of the things you'll learn from running that paper trade - and why it's not as trivial as it seems. Seriously, I encourage you to do it; your choice of whether to hedge with the underlying or futures. (Also, just for fun: once you've done it enough to be comfortable with the process, model - oh, say, the past 30 days against it and see what happens. Try a run through last March, too.)

I'll also say this, which is generally pertinent but also applies here specifically: the broad strokes is never where the money is; if it was, you could learn to trade successfully in a couple of days and be done. Nominally, the default expectancy of any trade is zero - and it takes "that little something extra" beyond the basics to turn it positive. Gamma scalping in itself won't do anything for you - but it may be that drilling down on it and becoming an expert will expose some aspects that other people don't see, and that you can monetize.