Selling delta 3-5 ES Puts with 40-57 days left

[ironchef]

But the whole point of creating models IS in fact to predict price movement. You said yourself you have a model that helps you understand volatility.

Interesting you said that. I don't know what Maverick does, I created my model not to predict price movement but looking at sensitivity of my trade to various parameters of which volatility is one.

By the way how accurate is your model predicting price movement? Mine is not that good if I use it in that fashion.

Appreciate your response.

Regards,

 

[sonoma]

...In that case if I buy options, going OTM or ITM should be better as it is the mirror image of selling and gamma should work for me?

In the context of this thread and depending on your needs, yes.

For instance, you can buy (not sell) the tails, scalp those units when the market gives you the chance (even if only infrequently), and assume additional risk near spot because the wings will explode when the underlying tanks.

 

[trilogic]

Is Maverick as good or better than Bill Gross, does he have a track record like him is his AUM and performance recorded ?

 

[OptionGuru]

Is Maverick as good or better than Bill Gross, does he have a track record like him is his AUM and performance recorded ?

Which Maverick? There are two that are currently active on ET.

• Maverickz
• Maverick74

 

[tradelosses]

relevant: https://www.reddit.com/r/options/comments/4kq9al/option_strategy_review_global_sigma/


they sell delta 5 weeklies.

 

[Maverick74]

relevant: https://www.reddit.com/r/options/comments/4kq9al/option_strategy_review_global_sigma/


they sell delta 5 weeklies.

Their numbers completely match those of the S&P 500 over the period and they conveniently started "after" the credit crisis and even more conveniently got a slight edge on the S&P 500 by starting in Oct of 2009 after the ES had already ripped 20% off the lows. In other words, back that data in and they underperformed the index from 2009 to present. Nothing new here. Long only risk assets "does" work nicely in bull markets. Nobody is debating that.

 

[newwurldmn]

Their numbers completely match those of the S&P 500 over the period and they conveniently started "after" the credit crisis and even more conveniently got a slight edge on the S&P 500 by starting in Oct of 2009 after the ES had already ripped 20% off the lows. In other words, back that data in and they underperformed the index from 2009 to present. Nothing new here. Long only risk assets "does" work nicely in bull markets. Nobody is debating that.

A few things. He did it with a monthly sharpe of like 6. He avoided 2010 and 2011 which were some of the worst vol spikes of the last 15 years. He was with sac before starting the fund: his comp in 2007 was reportedly 20mm (100mm pnl on a 5mm stop).

So while the strategy is nothing new, his risk management and vol models are.

 

[Maverick74]

A few things. He did it with a monthly sharpe of like 6. He avoided 2010 and 2011 which were some of the worst vol spikes of the last 15 years. He was with sac before starting the fund: his comp in 2007 was reportedly 20mm (100mm pnl on a 5mm stop).

So while the strategy is nothing new, his risk management and vol models are.

Story time. So my market making firm back in 2007 started an internal fund. The goal was to poach some of the better market makers in the industry to bring them into our fold and create a fund that made markets with a little more appetite for risk. So we got this guy from Peak6 who was one of the best and brightest super stars there who had 6 consecutive years of no down months. He was going to be the flagship trader of this new fund. He blew the fund into 10,000 pieces within 60 days of his start being short gamma. It turns out all this superstar did for 6 years was sell gamma in a declining vol tape. Needless to say, we didn't start any more funds. I'm sure that trader did though. Story time over...

 

[tradelosses]

Their numbers completely match those of the S&P 500 over the period and they conveniently started "after" the credit crisis and even more conveniently got a slight edge on the S&P 500 by starting in Oct of 2009 after the ES had already ripped 20% off the lows. In other words, back that data in and they underperformed the index from 2009 to present. Nothing new here. Long only risk assets "does" work nicely in bull markets. Nobody is debating that.

yeah they are taking huge potential risk to get a high sharpe. One problem with sharpe is that is not not take into account path dependence. You can have 95-100% winning trades but still have big losses in the interim .

 

[newwurldmn]

Story time. So my market making firm back in 2007 started an internal fund. The goal was to poach some of the better market makers in the industry to bring them into our fold and create a fund that made markets with a little more appetite for risk. So we got this guy from Peak6 who was one of the best and brightest super stars there who had 6 consecutive years of no down months. He was going to be the flagship trader of this new fund. He blew the fund into 10,000 pieces within 60 days of his start being short gamma. It turns out all this superstar did for 6 years was sell gamma in a declining vol tape. Needless to say, we didn't start any more funds. I'm sure that trader did though. Story time over...

That's a great story. But you know as well as I that if one guy sucks at trading a strategy, it doesn't mean all guys suck at it.

This guy has survived several vol spikes. The record is clean, audited, and post fees. Will he have a drawdown at some point? Probably. All traders do (again you know this).

I would dismiss him just like I wouldn't dismiss universa as just premium buyers who bleed money. Fwiw one track record is public and another is released as PR.