Bobby, at the end of the day I suppose sharing your stuff and getting a discussion going is a useful contribution, so thanks for that.
The exaggerated hubris and trollish posts at times is a turn-off and may incite some of the reaction you get at times.
With the additional clarity on your strategy, I still think that it’s not helpful to run continuously on its own. But paying for downside convexity if it optimizes the rest of your book isn’t always a bad thing.
Without knowing the actual strikes, I think over the long haul you are going to have negative carry from the front strikes in excess of your short put. Near term gamma is expensive on $ even when it’s deep otm. I’ve carried a lot of this stuff at times and although the theta burn may seem small, it’s such a poor mean/variance that little numbers start to rack up quickly over months since you can usually never make it back on the gamma unless you are in an abnormal regime like this. If you are net long delta maybe that will help the carry since markets tend to drift up, but again some risk is then subsidizing the position.
If you were holding during Feb into March that will probably pay for years of negative returns going forward, so good job on the timing. This structure feels more like a bet that there’s going to be a hole in intermediate downside portion of the return distribution, since as stated previously a slow grind down is going to hurt this strategy because you will take it on the short put but it won’t be enough to explode your longs.
Impossible to fully convey with any strategy that isn’t completely automated is the intuitive portion of the decision making. If you’ve got a feel for sensing when turbulence is coming up, or some natural edge in squeezing a lot of juice out of long gamma when it’s really ripping that would make all the difference to the LT return.
The exaggerated hubris and trollish posts at times is a turn-off and may incite some of the reaction you get at times.
With the additional clarity on your strategy, I still think that it’s not helpful to run continuously on its own. But paying for downside convexity if it optimizes the rest of your book isn’t always a bad thing.
Without knowing the actual strikes, I think over the long haul you are going to have negative carry from the front strikes in excess of your short put. Near term gamma is expensive on $ even when it’s deep otm. I’ve carried a lot of this stuff at times and although the theta burn may seem small, it’s such a poor mean/variance that little numbers start to rack up quickly over months since you can usually never make it back on the gamma unless you are in an abnormal regime like this. If you are net long delta maybe that will help the carry since markets tend to drift up, but again some risk is then subsidizing the position.
If you were holding during Feb into March that will probably pay for years of negative returns going forward, so good job on the timing. This structure feels more like a bet that there’s going to be a hole in intermediate downside portion of the return distribution, since as stated previously a slow grind down is going to hurt this strategy because you will take it on the short put but it won’t be enough to explode your longs.
Impossible to fully convey with any strategy that isn’t completely automated is the intuitive portion of the decision making. If you’ve got a feel for sensing when turbulence is coming up, or some natural edge in squeezing a lot of juice out of long gamma when it’s really ripping that would make all the difference to the LT return.
It is also on my to do list.