The Beauty of Options - Portfolio Insurance at a Discount

[ironchef]

Fundamentally (for you) no difference as you're not edging the swap.

There is (almost) NO edge in structuring (unless you're me).

What do you mean by a swap?

As for your second statement, don't be so sure.

 

[destriero]

He partially paid for his long puts with shorter duration puts. What if either he sells more puts to balance out the cost of the longs or goes lower long put strike so that the costs net out to zero?

Like a free lunch.

bc gamma?

bc he's "long" a bunch of 5:1 ratio (where it hurts) condors?

bc everything looks ok now, but his local long gamma turns into Coachella with COVID and Herpes as we drop?

bc he's short the back month vol in puts?

 

[destriero]

What do you mean by a swap?

As for your second statement, don't be so sure.

Swap = switch. The voldiff and net-exposures between the long and short months. There is ZERO utility in diagonalizing as he's done other than to reduce cost. IOW it wasn't done to take a position on the switch. It's a negative in this case.

You ppl would have to know what you're talking about to even know when/if you have an edge.

If a tree falls in the forest...

 

[ironchef]

I have not. What did you find?

Will let you know after I look things over to make sure my VBA codes have no bugs.

 

[destriero]

https://www.tumblr.com/widgets/shar...F+-+Monkey+Pissed+Mad+-+Discover+&+Share+GIFs

 

[destriero]

TF do you embed GIFs here? TF. How is this NOT in an ET tutorial?

https://media.giphy.com/media/l41lVsYDBC0UVQJCE/giphy.gif

 

[ironchef]

Swap = switch. The voldiff and net-exposures between the long and short months. There is ZERO utility in diagonalizing as he's done other than to reduce cost. IOW it wasn't done to take a position on the switch. It's a negative in this case.

You ppl would have to know what you're talking about to even know when/if you have an edge.

If a tree falls in the forest...

First level thinking by us amateur retails is that since all things being equal, premium grows as SQRT(time), selling 6 monthly 1 month would more than pay for buying a 6 month. But of course you MM and pros are not dumb, it is generally priced in.

My only edge is I placed one big macro bet since 2010, betting that this bull has legs and would last a long time. Therefore, no special skills needed to make money.

But I think it is ending, perhaps after the election, the punch bowel will be taken away?

Have a good day. We appreciate your coaching sir.

 

[destriero]

Dunning Kruger. The only thing that keeps me from spouting expletives is my eventual run for office. It's good that you're trying. It gives ppl hope.

 

[destriero]

The diff between your local gamma position and terminal risk? Speed.

The diff between your local vega and terminal risk? Volga.

He's up the Volga without a paddle.

 

[taowave]

IC, Unless the market craters,this will be a learning experience for Sweetness..

There is zero edge to this strategy,there is no strategy that "fits all sizes",irregardless of market conditions...

Selling more puts to balance out the cost of the longs removes Bobby's lucky chip....

No disrespect,but hes not ready for prime time,and IMHO he should be nailing the basics before doing backspread diagnols..

He partially paid for his long puts with shorter duration puts. What if either he sells more puts to balance out the cost of the longs or goes lower long put strike so that the costs net out to zero?

Like a free lunch.