一位老美不再交易選擇權，但衷心提醒選擇權賣方…

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If I could share any of my own experience to aid other traders, I would strongly caution against any persistent premium selling as a profitable long term strategy. While I no longer engage in options that much anymore in my portfolio, I did so in my past. I once managed quite a bit of money employing being short gamma for the better part of my career. The longer something persists, the more the human psyche believes that "something" will continue to persist. But that is a dangerous fallacy. Why I felt the need to write is because many of the younger traders and even now retail investors are wildly selling premium as enthusiastically as a few members of my family imbibe wine at a Purim feast. If unbridled, it could be deemed as a halachically prescribed way to do the mitzvah. But consider that we have been in an environment so conducive to premium selling that many new to investing are selling iron condors and strangles with their retirement portfolio, led unsuspectingly to believe they are starting some kind of predictable income business. Someone I know who should know better was considering putting a significant amount of money into such a strategy. I am keen to point out that time decay is not like some wonderful "interest money" that the owner of the option pays you for which is what is purported by unscrupulous investment managers in the current investing climate. Luckily, I was able to dissuade him, and I felt compelled to pass my message on. The investing public thinks this is some wonderful secret way of receiving "passive income" with little risk. Utterly, that is erroneous and completely reckless.

When you are selling an option and feel you are "collecting" time decay, you indeed ought to consider the negative sequelae. The cost of theta is gamma, and vice versa. In other words, the more you reach for the positive theta, you are feeling the inverse effects from the gamma--a dangerous dance. When the trend reverses violently, your mind will already be conditioned to trade with the trend that made you the money in the first place. You will aggressively trade with brute force into this change, thinking the sudden trend will reverse and resume course. But trends persist longer than reasonably sane people anticipate, in both directions. Do you truly think the flexions will allow persistence premium selling to be the golden goose? They are lying in wait. After baiting you, they will harvest all that you planted. First the downdraft will shake out all the weak longs who were buying it based on their hopes. Next, it has to set all the public behind the form so that they will sell out in disgust at the lows.

I am not saying you cannot make money using long theta/short vol strategies. But when it gets to seem so easy and safe as it appears today, that is when things are getting ironically most risky. Volatility is so low that to get any reasonable premium you must stay so close to the underlying, so there few decent "high probability" short option trades currently. And please do take care with respect to spreads. Things in life often are a mirage. Spreads are often used by traders to reduce risk, but in reality, I have seen the opposite. This illusion of safety is more precarious. Since they feel they are hedged, they simply slam the gas pedal to the floor and trade multiple spreads. Thus, their risk has actually increased. This is much to their ignorance and the detriment of their portfolios. For example, consider if you have a 100,000 dollar portfolio. You put on a bullish credit put spread that limits your loss to 5%. Because you feel the alleged protection of the lower strike, you may end up putting on this spread many times over during the option cycle. This is an empirical observation I have noted. Strategies such Iron Condors are sold as a safe income strategy, but in truth are anything but.

I hope that I was able to remonstrate and at least forewarn anyone about to engage in premium selling to exercise great caution and circumspection. Please be advised. Some of my friends here know me and I have been trading for decades, so my observations do arise from extensive experience. I was not unknown. Incidentally, has anyone noted the interesting ensenble of comovements between bonds and stocks as of late? It always reminds me of Leo Goodman's classic article "Movements and Comovements between M- Dependent Time Series". I wish everyone the best, from a fellow trader.

source: elitetrader.com