Study Guide for Dest's Journal

[Sprout]

1) An index RR is down-skewed. OTM puts trade over OTM calls.

2) Puts are the revenue side of the RR. Short put -> long call -> dynamic hedge (short spot).

3) OTM calls trade under all vols below (-skew) so that when spreading the call spread is the revenue side of the RR.

4) Flies are the ideal skew measure.

5) Arrive at an integer skew measure in lieu of vol-line/vol-edge.

6) Basis of developing a SS-down; SD-up skew model.

View attachment 327531

lol, need an explanation for the explanation..
question is how dumbed down can dest go without getting frustrated and triggered

 

[destriero]

There is a level of material involving NDAs so I need to be somewhat vague beyond the lingo. The most efficient skew model is based upon spread premium; index cs/ps. It’s normed and is w/o peer in a modeling environment. Matrices run >10x faster (prob much more than using vols but not granular on time).

I have tick data skew modeling reflecing microstructure (<5% actionable) and persistent skew conditions which can be arbitraged. Once I had the skews it became possible lock skews/switch values (D1/D2 (duration)) that added buying power under PM and TIMS RBH. IOW, the haircut required to hold say, a 300-lot SPX position, can ADD as much as $10K in buying power. Almost always a lower initial req than a box.

Modeling skew in annualized vol-fig is 90’s era.

 

[TheDawn]

Heres the thing...By and large,to "keep it simple" you need to understand the complex topics..

You will argue it,but in 5 years you will thank me..

You need to quote my post twice to show how right I am? LOL The thing is everything no matter how complicated can be explained in simple, easy-to-understand terms and options and options trading is no exception. Sites like Investopedia.com is more than sufficient in making anybody understand options and how to trade them and the best thing is it's FREE!! Free is not always bad and paying is not always good or better or even necessary in many cases.

We retail traders are here to make money, not to be used as ATM machines especially for things that we can get for lot more cost-effective way.

 

[TheDawn]

I think the pre req of learning from Dest is to trade options for few years, and just get your experience trading all different strategies. I think Dest caters to experienced traders who know the lingo and can associate it with experience.

Not for us dummies who still trying to figure out that married put is basically a synthetic call.

It's like you're tyring to explain short selling, and they still trying to wrap their head around that they can sell stocks they don't own.

The terms are not important really. It's what you do with the terms that is important. Ok we understand now a married put is a synthetic call, also called a delta-hedged position, now what?

That's why I suggest just to read investopedia.com to understand the concepts and then demo trade to experiment with what you've learned and to develop a strategy and backtest and then trade live in super small position sizes to test out the strategy irl to see if the strategy works and then gradually increase position size.

 

[destriero]

Why is MsDawn replying to a thread concerning a dude he's blocked?

 

[taowave]

Yeah,thats bad even by Elite Trader standards

Why is MsDawn replying to a thread concerning a dude he's blocked? Wow, owned.

 

[Darc]

https://www.investopedia.com/terms/o/option.asp

 

[surfer25]

I advise this to every single person who wants to learn about options and how to trade them. All they need to do is go onto investopedia.com and search for "options" and read all of the pertaining webpage articles. These articles are the best educational material one can read to learn about options. They explain all of the concepts of options in clear, unambiguous and easy-to-understand manner. And then to put what these articles talk about in practice, all they need to do is open a demo account preferably with live options prices and just demo trade options until they are comfortable enough and have developed a profitable strategy, then they can go live to trade small positions to put their strategy into the test and then gradually increase the trade size with each successful trade.

Many ET members here said "Keep It Simple" and I agree with them.

Wouldn't it be nice to have the counterparties to all of your trades be people whose scope of knowledge was limited to what is available on Investopedia.

 

[taowave]

Are you allowed to trade against yourself??

Wouldn't it be nice to have the counterparties to all of your trades be people whose scope of knowledge was limited to what is available on Investopedia.

 

[destriero]

There is a level of material involving NDAs so I need to be somewhat vague beyond the lingo. The most efficient skew model is based upon spread premium; index cs/ps. It’s normed and is w/o peer in a modeling environment. Matrices run >10x faster (prob much more than using vols but not granular on time).

I have tick data skew modeling reflecting microstructure (<5% actionable) and persistent skew conditions which can be arbitraged. Once I had the skews it became possible to lock skew/switch values (D1/D2 (duration)) in complex 2-3 tenors that added buying power under PM and TIMS RBH. IOW, the haircut required to hold say, a 300-lot SPX position, can ADD as much as $10K in buying power. Almost always a lower initial req than a box.

Modeling skew in annualized vol-fig is 90’s era.

typo and content edit.