Simplicity

I have a couple of strategies I trade daily, and I guess I would give myself an A+ when it comes to risk control on both. But I would give myself a B+ on my mean reversion strat, and honestly a C- on the consolidation breakout strat, when it comes to allowing my profit targets to get hit.

I can't go into details because of help others have given me on this site, but the mean reversion strat is based on math, so, as the son of an engineer, it just seems natural to let the math work for me. It feels good, so I allow it to happen. The risk parameters are super wide, but probs are high, and it is very disciplined. It just makes sense.

The other is a bitch. It is profitable, but it is getting less and less profitable. The batting avg is low, so it's hard for me to not take profits early when I get a hit. That's the rub. That's where I know exactly what you are saying when you say you would love to have a disciplined person run your strat. I feel your pain, dude.

But to be honest, I am thinking of abandoning this second strat completely, because I think it is honestly affecting my health. It is a f...ing grind. I think my criteria are too specific, so I only get a few trades per day, and the sniper thing is a young guy's game if you're not automated. It gets tiring, so I'm honestly starting to suck at it, probably because it's not enjoyable anymore.

But the math based stuff? It just feels right. And it works so far. If you were to watch me trade you would probably think I'm very disciplined. Perhaps, but I just let it work, that's all. And I know I can always adjust the math to current conditions. Volatility, earnings, etc... so that gives me confidence as well.

Damn, that was long, but I think you get my point.
 
Quote from sle:

Well, was I flat or not and why did I have that position?
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m2c - as far as most are concerned the position can probably be considered flatish.

SPY and SPX are two different products, so there are differences. Off hand you'd have differences in expiration, so "Sep 12" is not the same expiry for each product (also american vs. euro but assuming there is no arb there). Additionally, depending on the expiry of the underlying spx future, you'd probably also have some dividend risk. Presumably you'd put on the position given a view on forward dividends/vol and rates.

Am I close or way off base?
 
In my experience, trading a 120 SPY option is quite different from trading the SPX 1200's. Not being a smart ass. I just don't know why you would want to trade them against each other. Really no reason to.
 
Quote from sle:


(e) Frequently, when you see somebody elses positions that do not make sense, first you should doubt your own perception before assuming that the other guy is an idiot. E.g. (a real position) if I had
-10000 SPY Sep12 125 calls
+1000 SPX Sep12 1260 calls (PM expiration)
was I really flat?
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I guess I should finally answer your question. No. On the surface it looks like a straight forward debit spread. Am I wrong?
 
Quote from jnbadger:

I guess I should finally answer your question. No. On the surface it looks like a straight forward debit spread. Am I wrong?
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Quote from Soon2Bgreat:
Off hand you'd have differences in expiration, so "Sep 12" is not the same expiry for each product (also american vs. euro but assuming there is no arb there).
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Actually, it's about American vs European indeed. The two options were roughly the same distance from the ATM forward, but one is American (SPY) the other is European (SPX). So, I was short an American call and long a European call on the same proportional strike - the idea is that some people might forget to exercise their SPY calls the night before expiration and I would collect a windfall 82c. Don't forget that this was a PM expiration, so there is no expiration mismatch, however, I'd covered both during the day to avoid the physical vs. cash mismatch.

PS. Usually, I don't play these games, this truly was a oneoff - the 125 SPY call was a leftover from another position and I figured that I'd cover it in the index options instead (which panned out well that particular time).
 
Quote from sle:

Actually, it's about American vs European indeed. The two options were roughly the same distance from the ATM forward, but one is American (SPY) the other is European (SPX). So, I was short an American call and long a European call on the same proportional strike - the idea is that some people might forget to exercise their SPY calls the night before expiration and I would collect a windfall 82c. Don't forget that this was a PM expiration, so there is no expiration mismatch, however, I'd covered both during the day to avoid the physical vs. cash mismatch.

PS. Usually, I don't play these games, this truly was a oneoff - the 125 SPY call was a leftover from another position and I figured that I'd cover it in the index options instead (which panned out well that particular time).
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Oh man, I failed that one miserably. Forgot all about American vs Euro. Reminds me of the story in Cottle's book when the guy forgot to exercise and had to shut down his operation. Ouch.
 
Quote from jnbadger:

Oh man, I failed that one miserably. Forgot all about American vs Euro. Reminds me of the story in Cottle's book when the guy forgot to exercise and had to shut down his operation. Ouch.
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In SPYs on average 8% of all positions that should be early ex-d are forgotten. In Sep, coincidentally, there was a big f*ck-up in ML so it' was more like 20%. However, the allocation of that windfall is random.
 
8 percent!? I trust your number, but that is scary. If the mean reversion thing doesn't work out, i may have to become an advisor just to help prevent that type of thing.
 
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