選擇權賣方無法活過20年?!

sec2100

Risk management applies to naked calls as well! What you do is buy a higher strike OTM call in adverse cases like this. That way, you limit your losses. I say limit because you will still suffer huge losses but, not blow up your account. I lost thousands trying to sell calls but, I had the sense to protect myself. I did not blow up my account. Now, I just buy calls and puts where the worst case scenario is the lost of the total premiums paid and not a penny more! Upside is multiples of the premium if the trade works.

sec2100

Decades. For example, Max Ansbacher has been around for 40 years or something like that. He sells equity vol in various shapes and forms, mostly vanilla OTM puts. Used to veer into light exotics (like he used to sell WoPs when correlations where attractive) too. I think he buys back the wings, but I am not sure.

Couple people I know that sell vol for a living all size positions very conservatively, have a reasonably good model of when the wings are rich and try to cover the extreme scenarios, sometimes by proxy. Indeed, the ones that got greedy, blew up at one point or another.

sec2100

The only risk management that you can apply here is conservative sizing. At the extreme, if you are selling puts that are cash-secured, you'd never blow up but your return on capital is not going to be stellar.

sec2100

sle出來說話了，確實有活的很好的賣方


Not my preferred strategy, but that's not really true. Institutional finance (especially sell-side) is not a good indicator since most of these guys would get their risk cut at the bottom of the drawdown and could never recover. There are several options sellers who've been around for years and years, like Max Ansbacher.

sec2100

原物料賣Call非常危險，因為原物料的事件往往會促發它飛漲，而非下跌。

但股價指數賣Call比較不會有正的事件風險。我說比較不會有，但2009年4月底就出現一次。

sec2100

I've seen this for 23 years and have followed these guys to see how long they could hold on. We're naked natural gas and crude oil without any problems and have never had an account blown up no matter what we traded through. They drifted from the most basic money management rules...it's that simple! Fear & Greed - they get you every time...