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本帖最後由 sec2100 於 2017-5-29 17:12 編輯
am not sure what "net seller" exactly means. If someone trades term structure only (calendars of some sorts), is he a net seller or a net buyer? Even saying "net sellers of risk premium" does not say enough, though it says more.
From what I have seen, the guys who do really well over time are guys who do both, intelligently sell and buy risk premium. This does not mean that you could not retire selling vol if you have started doing it in 2001, but if you have picked a random point in time and ran a book for 10 years, your "bootstrapped" performance would not have been stellar (read - you would have blown up).
My model has always been to sell rich risk premium and protect myself with the cheaper one. Or, if I can find cheap risk premium, it's all the better. I do think that for someone with a small account the balance should be more toward selling risk premium (it is much easier to find overpriced capacity-constrained vol), but for anyone trading reasonably sized book it's not true any more.
May 12, 2012
資料來源: SLE/elitetrader.com
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