So you're saying no alpha can exist otherwise someone would instantly harvest it and then it would be gone? Sounds like the story about the EMH...
Less a few caveats; your expected PnL over a long time horizon is going to be the difference between the implied volatility you sold and what the...
Should you get excited? Don't make emotional decisions outside of your trading process, but otherwise unequivocally yes. The REAL value of your...
The difficulty of this trade is the rate at which your gamma can gear up if the stock gets local to your strike. Retail can’t dynamically hedge...
Yes, I will fit a worst case scenario to my trades. Usually options cap my max risk somewhere and the position size limiter comes from somewhere...
In your personal trading how much leverage do you use? This is something I think about regularly. The three constraints I come across are...
Okay, thanks. That pretty much answers my question. Interesting that the backtest didn’t produce any noticeable difference between instruments....
@globalarbtrader Rob, are you able to call up your realized sharpe ratio over the lifetime of running your system for each individual...
Guys, not everything daytona said is wrong; but a large part of the skew outside of disrupted markets is fair value, not an artifact of excess...
Yeah, long the stock would earn more at lower levels of notional leverage. The detriment of this strategy is obviously the huge fat tail. You...
You take the expected value of the trade, the maximum risk of the trade, and your account value and you can calculate the size which will give you...
From what I've seen in SN over the past few years, I think edge loss is highest on otm wings going into expiry. Especially with recent rise in...
Where is @Wheezooo when you need him :) daytona, have you backtested the performance of index puts vs calls when you actually hedge them to...
It's good to see discussion about alternative strategies. First and foremost thanks for sharing. My concerns are similar to taowave. Do you...
@qlai When you lever up a strategy, discretionary or otherwise, beyond what the edge can mathematically support, you are widening your short-term...
I agree, harder to know where to put margin capital once markets calm down. A lot of vol has come out of the system. Any particular trades...
Good question to ponder. I don’t think there’s any silver bullet in the SPX/VIX complex though. Any attempt to reduce carrying cost on the hedge...
@robertSt if you pay attention to what these guys are saying you can really make some improvements here. If your risk adj return is better then...
Garachen, really grateful for your contributions in years past. I got into trading on the wrong path (TA, useless stuff). But shifted gears after...
How do you decide position sizing for unlimited risk structures like 1x3’s? Also what annual avg returns on net liq do you think are a reasonable...
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