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

[Dolemite]

[/QUOTE] 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.[/QUOTE]

Thanks, I have been looking at VIX for some options as well. I am trying to see if there is something with VIX vs. the shorter term VXST or the longer VXV . My thinking is that if they get out of whack there could be a trade in VIX somewhere.

 

[TskTsk]

Thanks, I have been looking at VIX for some options as well. I am trying to see if there is something with VIX vs. the shorter term VXST or the longer VXV . My thinking is that if they get out of whack there could be a trade in VIX somewhere.

Honestly VXST sucks for now, B/A spreads are way too large. I dont know how CBOE expects us to trade under such conditions, it's no wonder their products fail...

Theres' probably plenty of opportunities in VIX. I'm more systemic, looking at broad historical data to see if I can find anything, then trading long-term. So far it's worked good for me, but I always admired people who can filter out one trade out of thousand potential ones and say "this one has the most edge" then trade it and know exactly when to enter/exit etc. I still dont know how to do that. I was never such a trader, just a schmuck trying to manage the wealth he has been blessed with the best way possible. A Wall Street sheep...

 

[stock777]

Let's take a different example... If you are selling hurricane insurance, does selling drought insurance make you "hedged"?

lol

phuck no, but it makes you twice as much if the weathers fine.

 

[stock777]

As were the Madoff investors who were convinced he traded split strike conversions.

Secret is, if you give something a name, they will believe anything.

Christ, they gave a name to a string of 0's and 1's and fools paid upwards of $1200 US for it.

 

[Martinghoul]

Why do you disagree?

Because there is a liquidity premium component in options. If you're selling options, therefore, your risk adjusted returns will be better than straight equities. This liquidity premium isn't an element of CAPM, or any other such model, which means that your argument about the efficient frontier doesn't apply.

 

[Vix-Trader]

I think most people do understand the concept. Yes it happens sometimes, so does a 3 SD move, a 4 SD move, and so on. Under the right conditions, anything is possible. But if you think like that you should just put your risk capital under a mattress.

All I was showing was that "IF" she had sold just outside of the SPX making a 2 SD move, she would have had no losers in the last 14 years (maybe longer, that is all I verified). I don't think anyone is saying it will never happen, just that it hasn't happened.

So knowing that, is that a good bet or not? I personally would always hedge in some manner to keep me in the game if things go horribly wrong.

2 SD moves happen several times a year. Again, it wouldn't be called a 2 SD move if it didn't happen a statistically significant amount of the time. As in, 10 really REALLY bad days a year, and another 30-40 that although not breaching 2 SD, would also be really REALLY bad days for a lady with no hedges up.

When you are short premium with no hedges up, it doesn't matter whether the underlying "expires" outside 2 SD or just touches outside 2 SD, you're fucked anyway.

Unless of course the comedy of your comments will continue and you will actually suggest she keeps her positions open and employs the extremely effective strategy of crossing fingers and praying to god that it swings back?

I'm sorry but only a paper trader talks about, oh but it didn't actually "expire" outside 2SD. If you have real dollars on the line you'll quickly realise how little it matters about the technicality of expiring vs approaching...


And Peleko or whatever, you do realise this is a thread based on that show right? Why not try actually watching the show before attempting to flame people? The 2011 returns of 56% (ok on memory I was off by a bit) It's 53%. They said it right there on the show the rest of us watched and are talking about...

 

[sle]

As in, 10 really REALLY bad days a year, and another 30-40 that although not breaching 2 SD, would also be really REALLY bad days for a lady with no hedges up.

I don't think that's right. If you were trading daily options, it would be 6 "2-SD move days" (6 = ND(-2) * 252) indeed. However, she's trading longer dated X-delta options - means that she has bad expirations at that threshold.

In any case, most of her risk (as with any leveraged tail selling) is path dependent, not terminal. If she got the size conservative enough, she could have gotten by on a wing and a prayer, though her returns would not be nearly as attractive in that case.

 

[drownpruf]

Say she's short 300 at 6-delta and take in 1/4 mil in premium. 1,800 initial delta long or 36 futures. Spot moves to the strike and she's long 15,000 deltas or 300 futures to get flat. Spot moves 17 point against and she's lost the premium to the hedge You could model the sticky-delta but the initial vol-edge won't matter as the entire curve will rally 20bp (well beyond stick-strike would allude, or SABR).

Ansbacher doesn't short passively and he lost 40% in a month. Vic N sold the par puts in the big S&P and lost $135MM.

And please stop responding to this idiot. He started a thread bitching that he couldn't close a condor in TWS.

 

[Pekelo]

Atti is right, I shouldn't respond to you, but I will give you a last chance. The reason I am flaming you is because you blatantly misrepresent whatever she is saying in the interview...

The 2011 returns of 56% (ok on memory I was off by a bit) It's 53%. They said it right there on the show the rest of us watched and are talking about...

OK, simple challenge: Link the particular interview with a time stamp where she is stating that. If you are right I will apologize to you and won't post in this thread again. I still say that her best result was when she was still trading her own 100K in 2007. There was no 50+% return once her AUM grew into millions... (I wrote several summaries on her interviews and I usually write down numbers when she mentions them...)*

One of us is wrong, so prove that it isn't you...

*Quote from my earlier post: "Summary: She has 2 different funds, 190 mill, and 105 mill of it is profit. I think the period is 3+years..."

See there you are, that is a 3 years gain, not just for 2011.

 

[jamesbp]

Atti is right, I shouldn't respond to you, but I will give you a last chance. The reason I am flaming you is because you blatantly misrepresent whatever she is saying in the interview...

Peckers

Pot and Kettle ... you have not exactly nailed the facts yourself from her interviews ..

- see posts # 81, 82, 83
- see posts # 112, 115, 118, 122

As you have challenged other, maybe you could give us a Time stamp where she tells us what her returns were in 2008?