賣方困境今早終於有解!
本帖最後由 sec2100 於 2019-8-21 12:51 編輯賣方常常是賺小錢，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. 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). 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. 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. 哈，我是跟在壓路機後面撿銅板，每週獲利只有10% 0206幸運無損，但沒有勇氣做全職交易者...因為本職收入算普通還可以... kant5202018 發表於 2019-8-21 19:54
哈，我是跟在壓路機後面撿銅板，每週獲利只有10%
週獲利10%還叫做 [只有] ? 我 [年] 獲利10%都很拚且不見得成了, 而且還全職在做哩! 如果週10%叫做撿銅板, 那我連撿銅屑都算不上了 因為剛進入市場時目標是每月算倍的...現在好不容易縮下來剩10%，我很菜...您是前輩，"年"是很不容易的啦，尤其您資金部位比較大。年結算如果是正數，應該就很不容易的。
Keep It Simple And Stupid目前就留簡單又有效的策略而已，這週的10%，我持有選擇權的時間小於12小時...這就是為什麼我說我認同幫主週一再進場效果也是一樣的那句話。我是真的躲在壓路機後面...撿銅板。 我以前以為賺10%的策略很爛，擺一邊去不想用，心裡追求的都是比倍的策略。 下週以SC10550，SP10500開倉。觀察...，主資金等壓路機把路壓好再進。