選擇權賣方無法活過20年?!

sec2100

PPS. There are very few things on earth I know well. Managing a vol book and understanding the risks is at the top of that list. That's why I felt compelled to argue.

sec2100

To be fair, most of these people seem to blow up not on gamma, but on wings. I.e. they don't delta hedge and their strikes are far OTM. But yes, it was surprisingly easy to attract capital with various short premium strategies in the past 10 years.

sec2100

If they instead opted for a bear call spread, the returns would be lower but, there would not be a blowout. They can keep collecting their fees and also, get more clients? And even their clients would have accepted a large loss that did not totally wipe them out. They will just charge it to a one in a blue moon occurence and move on. Isn't this selling naked calls just killing the golden goose that lays the golden eggs?

sec2100

sle的重要看法，不要賣太價外而忽略了大變動時vol對vega的交互影響:


My pleasure. Most of the blowups that I can recall started as short wing carry positions, i.e. strike is far OTM and "the market would not get there". I've seen these both as expressing a view or a systematic strategy (e.g. LJM "safe" fund or these guys for that matter) or as a way to cheapen the position that expressed the core view (e.g. Citadel Eurodollar trade right before the GFC). It's not exactly selling crash, which is extreme short-dated moves, but it's in the same neck of the woods.

They are short convexity that can not be hedged without other convex instruments and then the underlying moves against them. If you are simply short gamma, you have a fairly defined range and you can, for better or for worse, rebalance your delta to limit your variance. On the other hand, if you are short wings, a lot of things go against you at the same time - you have very little gamma (or delta, for that matter) at the inception of the trade but you are short tons of dGamma/dSpot, you are short a fair bit of dVega/dSpot and, finally, you are short dVega/dVol. By the time that position becomes simply a short gamma position, it's a bit too late. "If the left one does not get you, then the right one will".

It's hard to define explicitly what differentiates a "short wing" from "short OTM gamma". Some people draw a hard delta boundary (e.g. 10 delta), but my personal metric is the relationship between Vega and delta - e.g. if you are short an OTM option where most of your daily PnL fluctuation can not be attributed to delta, thats a warning sign for me.

* Another useful metric is theta - if you are collecting and yet the book greeks (delta/gamma) look reasonable, there is something to worry about.

SamT

很擔心，畢竟我做賣方只有4年，離20年還很遠。我只知道停損很重要，不要一直轉倉來規避損失這件事

sec2100

SamT 發表於 2018-12-22 14:31
很擔心，畢竟我做賣方只有4年，離20年還很遠。我只知道停損很重要，不要一直轉倉來規避損失這件事 ...

賣方確實像保險公司或保險的觀念，必須風險自留(保證金準備多)，風險控制(紀律)、風險移轉(價差保護)，風險抑制(停損)，風險轉稼(再保)。

而波動率就是保險費，往往保費總是在大事發生後變高，一批人在事件中受傷，另一批保險公司卻賣到了最好的保單。