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).作者: sec2100 時間: 2019-8-21 13:51
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.作者: sec2100 時間: 2019-8-21 13:52
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.作者: kant5202018 時間: 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%作者: kant5202018 時間: 2019-8-21 20:06
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...作者: EntrepreneurOPs 時間: 2019-8-21 21:45