What does Karen the Supertrader and her results say about volatility? Oversold?

trade2live said:
OK then that's already one of the inaccuracies of the story (on youtube), it said of the 190 Mln, 110 were profits. In that case since she certainly did not start off with 80 Mln, she would have made out- of- this- world returns.

But the fact that she has 190 Mln AUM sounds in itself rather implausible. If so what's the name of the firm ? There aren't so many Commodity Trading Advisors with that kind of AUM, it's really tough to go over 10 Mln that 's for NFA registered advisors with credentials etc. And this Mom at home attracted 190 Mln which makes her as big as some very old firms ? ( JW Henry Co closed last year because it had only 100 Mln AUM !, just to tell you the environment). A t that level, it also means institutional money ( going to a Mom at home ?) Why don't ' we hear anything about her firm ? Only that she is a genius trader . btw I don't think it's possible to manage that kind of money in th eUS without being a registered firm.
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There are CTAs with over $200m selling naked options. I have money with one.

1245
 
drownpruf said:
She is not registered. I think that is the point. why would you pay 2 & 20 to sell wings when you can do it yourself?
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Some people have jobs or don't understand how to do it. It's not done randomly by those that are successful at it.

1245
 
TskTsk said:
That is true, but short calls basically give unlimited upside risk. And short puts limited downside, also if the equity is trending up long-term wouldn't then short puts be better?

I mean, I guess short equity short vol make sense since they are inversely correlated and vol outperforms, but for me at least it's hard to quantify this in terms of R/R, potential profits etc. I'm not confident selling naked or deltahedging and it's unpredictable. I just sell downside spreads, use some of the money to buy ATM puts (no wings on this) so that I'm long delta and always @ net credit. Then diversify in time and space (dont open all at once and use a vast array of indices). If it goes down to my spread I will actually roll it up to the callside, to try and make back losses, that way I dont get caught martingaling in a trend...this seems to work amazingly well for me at least.
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Just curious, when you say selling downside spreads, are you referring to otm put verticals? I am trying to figure out what you mean by rolling it up to the call side.

Thanks!
 
Dolemite said:
Just curious, when you say selling downside spreads, are you referring to otm put verticals? I am trying to figure out what you mean by rolling it up to the call side.

Thanks!
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Yes, bull put spreads...if it goes down to my short option in the spread i'll either take the hit or roll it into a bear call spread to the upside, getting enough credit to try and make back losses. if it continues down i'm good, if it goes up and hits my bull call spread I'll roll it to a bull put spread on the downside again. Usually this never happens... I don't let it go ITM, always roll on touch and don't let total losses get more than 100% of the margin on the spread, in which case I'll abandon it and move on. No issues.

Basically have access to all mkts in IB (Dax, EOE, FTSE, CAC, nikkei blabla) so distribute the money as much as possible, accross term structure and time as well. The vol risk premia & persistent contango is well documented on nearly all mkts so it's all good. And yes I'm fully aware that global mkts go into heavy correlation on crashes.

There's probably plenty of better ways to trade short vol than this, but honestly I'm not good with strctures. I know calendars on index have backvol which can kill you due to nature of term structure & it's roll-down, same issue with diagonals, wide butterflies / straddle is an option but must be deltahedged IMO which I hate because of unpredictable R/R and P&L profiles, naked straddle have too much margin, a complete condor has upside risk which I dont like in indices.

Also utilized, ATM ratio calendars (gamma neutral) are cool for hedging vol on spesific maturities, almost like a VIX contract, little gamma/theta change w/ UL change...and of course VIX which I use a lot, I have VIX tick-data back to 2004 and the profit-curve from selling front-month VIX if VIX<1st month and buying if VIX>1st month updated on a 30-minute basis is absolutely amazing. Basically I tried replicating the study posted previously but using intraday updates, which gives a super-nice equity curve. Unsurprisingly, it's sensitive to transaction costs, although it still has good edge.

I'm still a noob though and have no formal education in any of this. I rely on historical data like an idiot and try my best to limit risk with my high school math...so I dont trade money I cant afford to lose, if I blew out tomorrow I wouldn't jump out any windows, theres enough for me to fall back on. Like alcohol, cocaine and black tar heroin to drown my sorrows...
 
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