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.
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。
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發表於 2019-8-21 12:42:37
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發表於 2019-8-21 19:54:57