The Beauty of Options - Portfolio Insurance at a Discount

taowave said:
You have a mishmash of a backspread and a calender..Nothing specialhere
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That is a good way to describe the strategy. But it works for @Sweet Bobby, so more power to him.

Here are some general results of my "analysis" of SPY from 1993 to 2019. I won't claim they are correct since no one checked my codes for errors.

I use historical open, high, low and close, calculate HV and use HV as IV in BSM, made some assumption on risk free rate and dividend rate. Here, I am talking about applying the same strategy consistently for 25 years and looked at the cum profits after 25 years:

1. In general, mechanically selling monthly puts once a month yielded profitable results. However, the results are nothing to crow about. That is because of the cash secured part was part of the cost base.

2. I could get great results if I sell naked and had unlimited capitals. However, if I had limited capitals, I got wipe out in 2000-03 and 2008-9.

3. Buying puts on a regular basis yielded a loss no matter the maturity even though I printed money during the two black swan periods. The 20 years of bleeding money overwhelmed the two black swans.

4. I supposed I could find a combination of #2 & #3 and yield good result without being killed by a black swan.

That is probably what @Sweet Bobby was doing for the past xxx years and get good results. However, if you just regularly and blindly applying 2 & 3, you won't get any cigar.

There is a reason @destriero prints money trading butterflies while I am the idiot that funds his butterflies. He knows when, how and what to do and I don't have a clue.

Best to you.
 
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ironchef said:
That is a good way to describe the strategy. But it works for @Sweet Bobby, so more power to him.

Here are some general results of my "analysis" of SPY from 1993 to 2019. I won't claim they are correct since no one checked my codes for errors.

I use historical open, high, low and close, calculate HV and use HV as IV in BSM, made some assumption on risk free rate and dividend rate. Here, I am talking about applying the same strategy consistently for 25 years and looked at the cum profits after 25 years:

1. In general, mechanically selling monthly puts once a month yielded profitable results. However, the results are nothing to crow about. That is because of the cash secured part was part of the cost base.

2. I could get great results if I sell naked and had unlimited capitals. However, if I had limited capitals, I got wipe out in 2000-03 and 2008-9.

3. Buying puts on a regular basis yielded a loss no matter the maturity even though I printed money during the two black swan periods. The 20 years of bleeding money overwhelmed the two black swans.

4. I supposed I could find a combination of #2 & #3 and yield good result without being killed by a black swan.

That is probably what @Sweet Bobby was doing for the past xxx years and get good results. However, if you just regularly and blindly applying 2 & 3, you won't get any cigar.

There is a reason @destriero print money trading butterflies while I am the idiot that funded his butterflies. He knew when, how and what to do and I didn't have a clue.

Best to you.
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don't beat yourself up too much, plenty of ppl here who drew lines (TA) during an unprecedented pandemic. Yeah there are some ppl here who have way more expierience than you and me, try to learn from them and don't get cocky when things work out. I'm still working on knowledge ppl dropped 2 months ago.
 
Chef,one thing you left out regarding Des is hes a really good trader...

He understands risk reward,and typically puts himself in a position where he can make alot more that he loses(jump right in Des)..

"Guy like you" dont fund guys like Des...Its not like the condor market is 2 bid at 3.50 and you are smacking bids...

IMHO,when Des is right he knocks the cover off the ball..You arent doing that selling puts..Max Ansbacher has been doing that for 30 years and probably returns 12% per year


Learn verticals inside and out.....Its a good place to start












ironchef said:
That is a good way to describe the strategy. But it works for @Sweet Bobby, so more power to him.

Here are some general results of my "analysis" of SPY from 1993 to 2019. I won't claim they are correct since no one checked my codes for errors.

I use historical open, high, low and close, calculate HV and use HV as IV in BSM, made some assumption on risk free rate and dividend rate. Here, I am talking about applying the same strategy consistently for 25 years and looked at the cum profits after 25 years:

1. In general, mechanically selling monthly puts once a month yielded profitable results. However, the results are nothing to crow about. That is because of the cash secured part was part of the cost base.

2. I could get great results if I sell naked and had unlimited capitals. However, if I had limited capitals, I got wipe out in 2000-03 and 2008-9.

3. Buying puts on a regular basis yielded a loss no matter the maturity even though I printed money during the two black swan periods. The 20 years of bleeding money overwhelmed the two black swans.

4. I supposed I could find a combination of #2 & #3 and yield good result without being killed by a black swan.

That is probably what @Sweet Bobby was doing for the past xxx years and get good results. However, if you just regularly and blindly applying 2 & 3, you won't get any cigar.

There is a reason @destriero prints money trading butterflies while I am the idiot that funds his butterflies. He knows when, how and what to do and I don't have a clue.

Best to you.
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Sweet Bobby said:
And yet it is I who is up 208% on the year! Want to make a $1,000 wager on that? I will show you the proof if you’d like? I eagerly await your reply.
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You doubled a $4K account, is that what you're referring to? Your larger account ($36K) is admittedly down on the year (as you told me in Zoom), so what exactly are you claiming?

My point is that the accounting is arbitrary as the $4K account was what, 15% of your primary account? The fact that it's an account that your doubled is immaterial. The return on your net liq, or overall net worth, is all that matters.

I'll be happy to bet you that I am up, for the year, 100X the net liq on your $36K account (+/-$50K on my end).

$10K wager?
 
Sweet Bobby said:
And yet it is I who is up 208% on the year! Want to make a $1,000 wager on that? I will show you the proof if you’d like? I eagerly await your reply.
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Your account was absolutely OBLITERATED this week, right? I told you that you cannot hedge skew LOCALLY.
 
destriero said:
Your account was absolutely OBLITERATED this week, right? I told you that you cannot hedge skew LOCALLY.
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Des, you are incorrect! You predicted the account would be down $1,500 for the week but yet it is up! And, I'm carrying $250 in negative theta?

Let's do a $20,000 wager on it! Ready? I'll send the zoom link!
 
Sweet Bobby said:
Des, you are incorrect! You predicted the account would be down $1,500 for the week but yet it is up! And, I'm carrying $250 in negative theta?

Let's do a $20,000 wager on it! Ready? I'll send the zoom link!
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This goes to prove that you do not fully understand theta for far out of the money puts that are far out in time. Study up, Des! You'll get there one day.
 
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