I knew two market makers at the CBOE (I knew many more but just for this story two is fine) they are both friends of mine. One never saw an option he liked, the other took the other side of flow that kept him long gamma. He slept well at night, but got ulcers during the day on theta decay.
The guy that sold options made money steadily, making nice coin for three years. It was like having a real business with real customers. The long gamma trader eeked out a living, but blead daily like crazy, to say nothing of the fees to make markets at the CBOE (seat leases, software leases etc). They both had to work hard to earn his keep on a daily basis managing their greek and other risks.
One day, back in 2008, the long gamma trader made $2 million dollars, and the option seller blew out his account. The seller gave up close to 100% of the gains for the last three years in the span of two weeks.
資料來源: nitro, elitetrader.com(ET) 作者: sec2100 時間: 2017-6-9 21:14
There have been academic papers talking about the profitability of index option writing strategies and most of their results can be replicated. In general since 1987 option sellers have an edge. But the real world is not simple, it largely depends on your leverage. If you are selling a spread with small leverage, no matter how black the black swan is you will still be OK. If you got greedy and use high leverage then the event risk could not be hedged out and you will live a shorter life by worrying too much about the opening gap every single night.