1. profit by methods of high-quality α
2. collect premiums by selling out-of-the-money option: usually δ < 20
3. make 30-10 working days from expiration: in the first 2 delivery months
4. as regardless as possible of market direction
5. a short-term trend indicator is used to help reduce the probability of selling options against a negative trend
6. position sizing methods are employed to optimize risk-adjusted returns by balancing puts/calls exposure
7. adjustment protocol: dangerous side -> tight spreads + futures
8. penetration adjustment: buy ahead contract of original strike price
9. analysis performed on the prices of various options
9-1. in absolute terms in relation to their historic price level
9-2. in relative terms comparing the prices of puts to the similar calls
10. robust adjustment protocol result in a balanced strategy
11. positions are placed using proprietary strike level and ratio algorithms to achieve a strategy that can be profitable in flat or volatile market conditions
12. real-time monitoring of positions are the primary risk controls
13. use VIX, VVIX, and VVVIX as funnels to filter the breakouts coming from the price movements
發表於 2017-3-30 14:34:46
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發表於 2017-4-14 07:42:05
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