What is your Sharpe?
- Thread starter TraDaToR
- Start date
Robert Morse
Sponsor
He does not typically trade before the open. He mostly trades during US normal equity trading hours. He was only using 35% of margin that night. His nearest short put was that friday's 1900 put. He only goes out one week at most.
Last edited:
I highly doubt this. I don't think there is a case that involves "everyone". Everything is much less absolute. I hear things on this forum often about "nobody" wins at X or "everybody" thinks this or Z is impossible and only C works.
I could be wrong but I tend to believe it's much more of an everything can work for some of the time and some of the people and nothing can work for some of the time and some of the people.
It is not about options. It is all about portfolio performance/risk. On the contrary oftentimes it is difficult to properly calculate sharpe ration for options portfolio because they are non linear.
I have no idea what a Sharpe ratio is, or any of the other options terminology.
I kind of treat trading as part art, part science...but more on the art side.
I'm not an options investor or seller...so for me, my style of trading, those are kind of irrelevant.
What is your % return though
Wow so he's really going way deep out of the money with short term expiration stuff, interesting and it also means the premium is probably tiny so he's got to load up in order to make a decent return. (I have a minimum knowledge of options so I'm making some assumptions there).
Sortino is considered a better measure for options trading.
Robert Morse
Sponsor
I agree. Not right for everyone. I traded professionally for 25 years and selling cheap OTM options was not my thing. I have 4 CTAs that have an allocation from me, 2 trade options in ES. One sells naked options but not low priced options and one sells credit spreads . They are up 28%(12 months) and 12% (10 months) respectively. Not the same CTA as above.
Not trying to sell you on this. I can tell you that I understand the risk, as well as anyone. I'm willing to take that risk with what they do for those returns.
Robert Morse
Sponsor
In my experience, much of the risk comes from liquidity risk during the event. In August 2015, option market in ES and SPX were very wide and thin. If you get a call during this event, you will lose a lot of money.
Agreed, but not just for options trading but in any trading. Sharpe is somewhat punitive to portfolios with a higher upside sigma.
That is an enviable Sharpe - nice!
I trade a lot of strategies, some have not produced a high Sharpe. But the smoothest one I have has a Sharpe of about 3.5 - that is computed from daily returns. It is a short term stock trading strategy where I hold less than 1 day. It typically does about 10 to 20 transactions daily.
What is the nature of what you are doing to produce such a high Sharpe?