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

ironchef said:
Being there done that. Net negative profit after a year selling calls and puts. Small cumulative profits could not cover a few surprises. Rolling sometimes helped but mostly didn't.

After reading Maverick74's posts on short DOTM calls and puts, I now mostly avoid them.


Was he selling a 1100-1300 credit puts spread? But if so it is also short gamma? I am confused.
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Selling the 1100-1300 strikes put naked .
 
isotope said:
Does https://en.wikipedia.org/wiki/Basel_III stand corrected? It claims that Basel III won't be implemented until 2019. I raise this question only out of skepticism of Wikipedia's quality of information.
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It's being "phased in" voluntarily. A lot of capital adequacy rules imposed by local regulators are loosely based on Basel III guidelines. Some of the product that has hit this particular fan is still airborne while some has already landed.
 
tradelosses said:
the deltas are the same but the gamma is less because the duration is 170 days, not 30. As the market falls, these puts don't budge as much as the 30 day ones
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You are paying for lower convexity by being short more vega. What level of vol are you selling?
 
The IV on these is very high...something like 50

According to the simulator I use, The low was 40 a couple weeks ago. the high was 60 in august
 
tradelosses said:
The IV on these is very high...something like 50

According to the simulator I use, The low was 40 a couple weeks ago. the high was 60 in august
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And what's the point in selling 5 month vol? The difference between 40 vol and 50 vol is pennies fwiw. Are you really going to hold these for 5 months? And if not, you'll be giving those pennies back on the way out. I just don't understand these trades.
 
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