賣方困境今早終於有解!

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賣方常常是賺小錢，賠大錢的生意。不少人會問，沒有沒辦法賺小錢，也賠小錢，然候靠著前者發生的次數大於後者，來增加獲利的可能。我們不斷在提所謂的賣方優勢，但賣方優勢是什麼? 可能只有自己的表現可以說話。如果績效表現的很不正常，那一定沒有優勢，反之，如果連0206或1011都渡的過，那就勉強可能生存下來。至於要長期在風暴中安然為恙，就要有相當的紀律法寶，不是靠信這麼神可以疪祐的。
英文有一句話常常嘲笑賣方:

pick up pennies in front of a steamroller

今天早上看了美國的elitetrader.com論壇，一個人終於回答了如何解決賣方的困境:


be behind the streamroller, not in front of it.

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Pretty much all the sayings you hear about them are true:

Picking up pennies in front of a speeding train
It works until it doesn't
One loss cancels out months of gains

The problem with it (and all simple, high-probability, high-risk/low-reward option strategies) is it's addictive. You make profits for a few months and think you're a genius and forget what can happen. And you also imagine yourself making some great adjustment (rolling out, etc.) but the market keeps tanking and making things worse. Ask those who traded them in Feb. or Dec. of 2018 (not to mention real bear markets).

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The variance risk premium is mathematically embedded in credit spreads because of the nature of the stock market.

Brownian motion = randomness + positive drift

The seller of premium automatically is rewarded for the risk taken. If that seller is knowledgable and has some skill realizing the risk premium he will be profitable in the long-term bucking against the statistical outcomes. The outsized losses credit spread traders incur is natural to the position, so the trader should be very aware of tail risk and measure skew and kurtosis like a hawk and most importantly, position sizing. You cant blow an account if you manage risk like a beast. Its all about awareness.

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Selling long dated (leaps) ATM straddle is more a "pure" volatility play; low gamma big vega, while 30 days to expiration straddle requires delta hedging to mitigate gamma risk.

"Volatility" is an elusive term.

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對於報酬率，我覺得不需要著墨很多，你過你的10%報酬率，我過我的一周三萬生活，彼此毫不相干。但是，賣方世界，不可能有複利的紅利。買方，也無所謂複利，但會有暴利。就算買台積電，長久下來，台積電的報酬率也是邊際遞減的，所以複利的力量一定會減。真的要有複利，必須一直在浪頭上走，但這要很好的基本面以及資本市場的功力。

但話說回來，巴非特也賣指數的Put，而且賣很多。他也知道，談複利，不如用錢收權利金。

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巴菲特賣Put