Volatility trading

Don't breed, Kelowna.

Time to go long a bit of vol (IRA again). Bought the SPX Feb4/Mar1 2100 put spread at 5.80. 6% of portfolio

apUSnO2.png
 


Bought this (well, something similar, same delta pos under 1SD distro) at work in my personal account. It's 70.80 mid, paying 71.00. Taking advantage of the short deltas in the earlier put spread. 7% allocation.


pCbeV6O.png
 
Well, we got to 2117(.94) today. I think today was the high close for the week, and I am situated at work (and in IRAs) to benefit. I am delta-neutral (best-case) at SPX 2107 through the end of the week.

My vega exposure exceeds my gamma risk. Volatility is negatively-correlated to price, and I will gain more from volatility than I lose to gamma, if the SPX falls.

Exposures:

Short delta
Short gamma
Long vega
Stickiness -- I am long a bit (edge loss at neutral strikes due to skew) but the long vega is dominant.
 
Poopie, trolling and teaching at the same time ... mgrunin doesn't know when to quit, can't believe he is posting on this thread and his other epic one.

Nice Steyr Aug, guess you are on the Nevada side of the lake.

Since I am not a trader, can you give us your opinion on the market as a whole? It seems to me that the central banks *are* the market right now.
 
poopie said:
I will be heavily short index and SN on any touch of 2117 SPX. I don't know if we get there this week (as mentioned Friday), but that's my target for a weekly high (closing basis not to exceed).
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I am short a bit (6K index deltas at work), but it's in longer duration. I am not expecting a large move lower, but will be watching Greek debt and CDS. Greek rates dropped again today--may put in a bottom on rates tomorrow. In any event, looking for a reversal in rates back above 9% by end of the week.

I live in Incline. I have a bunch of stuff (MP5, SCAR, suppressed piston AR SBRs) and the AUG is really exceptional in terms of engineering (symmetric action). I've owned one since the early 90's (A1, A2, USR). Dual rails and springs. You can shoot 300 rds and the thing is completely clean. I prefer to shoot suppressed subsonic pistol calibers, so it doesn't see much use.
 
I'm guessing you have tried subsonic suppressed 300 blackout?

If you like the Aug, have you tried the Tavor?

I would love to long duration short the market, but knowing my luck the market would go a little south and the fed would announce QE4 and NIRP and the market would hit record highs.
 
alpaca said:
I'm guessing you have tried subsonic suppressed 300 blackout?

If you like the Aug, have you tried the Tavor?

I would love to long duration short the market, but knowing my luck the market would go a little south and the fed would announce QE4 and NIRP and the market would hit record highs.
Click to expand...

Yeah, I have a PWS 9.5" in 300BLK and an AAC 762-SDN-6. I use the same on the SCAR.

I don't like the Tavor at all. Just doesn't appeal to me.

Well we are at record highs, but I actually believe that the market would take QE4 negatively.
 
I'm not a trader and don't understand half the language mentioned.

But at one point you mentioned 'or fade me'.

As someone involved in gaming, I thought, now that speaks to me.

So I was curious, is there a trader measurement that is equivalent to Expected Value (EV)?

If so, what is your EV %?

Also, what is the minimum unit amount for having a bankroll? And how many units would one need based on your variance to follow your picks?

Last, how do you get your edge? I mean, I know your experience plays a big part. But access to information. What separates you from the ordinary loser trader?

Sorry for the n00b questions, but putting it in that language would help me understand. Truly am interested.
 
just kidding i don't know what the fuck is going on here, but I do enjoy poopie shitting all over grunin then rubbing his face in it
 
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greenleaves said:
I'm not a trader and don't understand half the language mentioned.

But at one point you mentioned 'or fade me'.

As someone involved in gaming, I thought, now that speaks to me.

So I was curious, is there a trader measurement that is equivalent to Expected Value (EV)?

If so, what is your EV %?

Also, what is the minimum unit amount for having a bankroll? And how many units would one need based on your variance to follow your picks?

Last, how do you get your edge? I mean, I know your experience plays a big part. But access to information. What separates you from the ordinary loser trader?

Sorry for the n00b questions, but putting it in that language would help me understand. Truly am interested.
Click to expand...

Sure, the most obvious measure is profit-factor. The issue relates to LoLN. I trade perhaps 200 positions/year at work. You would play 200 hands in a few hours of multitabling. I wouldn't have a job if I didn't possess a solid +EV.

Units relate to the risk under n-sigma within a practical-limit of 2 (sigmas, std devs). So we calculate Value at Risk and other measures (gamma, vanna, vomma) out to those limits under the curve. I occasionally use something similar to Kelly to arrive at my bet-variation, but w/o the benefit of conditional probability. You push with the nut straight, but we don't have that information available to us.
 
My man, Barman.

Long vol is marked to entry price. The 231 asym fly (also in SPX) is up 2-3 pts on marks. Positive drift to delta has me neutral to 2009, today. 2010 tomorrow. Drift at +1 per day (discrete strikes) to expiration. Nothing traded--will wait for tomorrow to update on marks. Ideally I will hold current positions thru Friday exp.
 
poopie said:
My man, Barman.

Long vol is marked to entry price. The 231 asym fly (also in SPX) is up 2-3 pts on marks. Positive drift to delta has me neutral to 2009, today. 2010 tomorrow. Drift at +1 per day (discrete strikes) to expiration. Nothing traded--will wait for tomorrow to update on marks. Ideally I will hold current positions thru Friday exp.
Click to expand...

Grunin you need to seriously step your game up. Are you even doing any trading right now?
 
Poopie, I just made a $1000 purchase and I'm instantly feeling buyers remorse. Just had a fit of emotions where I questioned my whole life.

Please give me a high volatility stock to gamble on. I want to lose quick or win quick. I'm in the mood to short.

will suck your dick for days if you pick me a winner

edit: putting $3k in
 
Jinxus said:
Poopie, I just made a $1000 purchase and I'm instantly feeling buyers remorse. Just had a fit of emotions where I questioned my whole life.

Please give me a high volatility stock to gamble on. I want to lose quick or win quick. I'm in the mood to short.

will suck your dick for days if you pick me a winner

edit: putting $3k in
Click to expand...

Long METH.
 
icestationzebra said:
Would you call yourself a trend follower poopie? how does your strategy differ?
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No, not at all. My average holding time in vanilla options (standard, listed-type options but in OTC mkt) is seven calendar days. My average holding period in exotic options is three months (standard term/duration). I trade short term volatility arbitrage and small directional moves. I will add hedges to positions that may extend duration, but generally I am looking for a move in volatility of 200bp (from say 24.00 to 26.00% on implied vola) or 1-2% on index (20-40 SPX pts). The convexity (shape of vol-curve) dictates duration.
 
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