SPX Credit Spread Trader

Quote from LeonPhelps:

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Quote from domestic:

risk, in your opinion; can one over the longterm trade short options for substantial profits 3 sigma's out?
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How do you suppose this guy's doing it? :confused:

http://www.ljmfund.com/content/history.html
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Jeez, I dunno! The >46% drawdown in July of 2002 was a bit disconcerting.
 
Quote from riskarb:

Jeez, I dunno! The >46% drawdown in July of 2002 was a bit disconcerting.
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"When the market was tanking in the summer of 2002, Caine figured the market was oversold and allowed the program to move to a long bias. The stock index kept trading lower, however, and the program had it's worst drawdown of 46%...The program now maintains a completely market neutral position and uses less leverage than in 2002."
---Futures Magazine - March 2005

1) Sounds like he learned a lesson.
2) He now uses less margin.
3) Earlier in the article he states that his strategy is to sell strangles on the S&P 500, but that the key to his performance is how he manages his adjustments and risk.
4) Given the above, how the heck does he make up to 13% in one month and average 50% per year from 2003 to date net 2/20??

I guess he's Batman!
 
I've double 7-figures in a quarter. I am not grandstanding, as I've lost 7-figures under that time-frame as well. Niederhoffer has outperformed LJM while selling premium in his Matador fund, by a wide margin on similar AUM.

There is a little known hedge funder in Germany who has made 1100% in less than 18 months, with a tad > $10mm in starting capital, trading short gamma.
 
I remember reading an article about that guy. He's really a textbook case for the premium seller. Made good easy money for quite some time. Then got himself too close to the market, and when the market came after him, he got "deer in the headlights" and didn't close the trade when he should have. But he wasn't so over-leveraged that it blew out his whole account. Afterward, he kept his nose to the grindstone and made some more nice consistent profits.

Alot of traders have done alot worse :)

Quote from riskarb:

Jeez, I dunno! The >46% drawdown in July of 2002 was a bit disconcerting.
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Quote from riskarb:

There is a little known hedge funder in Germany who has made 1100% in less than 18 months, with a tad > $10mm in starting capital, trading short gamma.
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What's he trading - Hashish?
 
It would be interesting to reconstruct what this guy is doing just to study the risks involved. Selling strangles on ES/SP and pulling in 17% before fees in one month has to involve significant risks. And this is after he said he reduced his leverage! What "adjustment" would he make if the index moves against him? Convert to a fly? :D

Quote from jeffm:

I remember reading an article about that guy. He's really a textbook case for the premium seller. Made good easy money for quite some time. Then got himself too close to the market, and when the market came after him, he got "deer in the headlights" and didn't close the trade when he should have. But he wasn't so over-leveraged that it blew out his whole account. Afterward, he kept his nose to the grindstone and made some more nice consistent profits.

Alot of traders have done alot worse :)
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Quote from riskarb:

Niederhoffer has outperformed LJM while selling premium in his Matador fund, by a wide margin on similar AUM.
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No dis to Vic, but he shed 30% in May of this year. How's he done since then?
 
riskarb, do you have a link to the German guy's fund?


Quote from riskarb:

I've double 7-figures in a quarter. I am not grandstanding, as I've lost 7-figures under that time-frame as well. Niederhoffer has outperformed LJM while selling premium in his Matador fund, by a wide margin on similar AUM.

There is a little known hedge funder in Germany who has made 1100% in less than 18 months, with a tad > $10mm in starting capital, trading short gamma.
More...
 
Coach,

An observation: I seem to get filled much faster on trades that, over the course of the next 2 to 4 weeks after my fill, turn out to be directionally wrong. Conversely, it takes longer to get filled on trades which turn out to be directionally correct in the weeks to follow.

It's almost as if the MM knows the direction the market will take for the few weeks after my fill, and won't let me in easily if I'm directionally correct and will fill me quickly if I'm directionally wrong... Any thoughts?
 
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