I've tried following what atticus says for years at ET. I must be too dumb. However, I get the distinct impression that there are several posters over there including him who are much more interested in how great a trader they are perceived to be on a web forum than actually providing any useful information.
Last edited by eudamonia; November 7th, 2013 at 05:37 PM.
I think the same can be said about any forum anwhere. Also, information provision is only one small part of participating in any forum, it can also be about debate or even just passing time. but people like atticus i feel have provided a great deal to the forums and has some very valuable insights, ie. the linked thread above. it's one of the best ways i've seen to exploit skew...
Short gamma is the flipside of being long theta, so any long theta trade would be short gamma. that is where the risk goes, along with volatility risk. if you move further out from expiration, volatility risk overtakes gamma risk. i do the same as anyone in this thread, i am long theta, although i use almost no discretionary methods, it's pretty much pure exploitation of systemic alpha, not subjective timing of trades. i can afford such luxuries as again, vola markets are vastly inefficient. i'd love to learn how to subjectively time trades but my personality is that of a quant. i need quantification and fixed rules to abide by...this is why i left daytrading, because i couldnt find just one set of rules that would consistently return a profit...every method i saw always had this little text at the bottom; oh you also need to pay attention to support / resistance, price action, news bla bla. i cant quantifty that so i left it for good
Last edited by PeterOhlson; November 7th, 2013 at 06:15 PM.
Yes, you are correct. I get mixed up because I am selling time premium. I was also confused by your statement "Short gamma is the flipside of being long theta, so any long theta trade would be short gamma." since flipside means opposite. But I understand that short gamma = long theta.
Thanks for clarifying!
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No problem. Yes that's the essence of it, short gamma = long theta. And of course long theta = short volatility as well. Plus there are some higher order greeks like vanna & vomma, but unless one is managing a very large book or unusualy complex structure they are of no concern. Although I've been burned by DgammaDspot (gamma of gamma) before, when delta hedging at fixed intervals, because when you get close to expiry your theta and gamma can change lightning fast if the underlying is trading close to your short option. This has to do with pinning risks etc. etc.
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Wondering if selling the NGF calls (4.75) expiring 12/26 is a good bet at this time. According to the seasonals it seems that NG tops in December and starts to trend lower. Of course, its if I'm reading it right!
We agree that coffee options aren't the best place for option sellers at the moment due to low volatility and interest.
Although we are typically advocates of short option strategies, we are actually buying calls in this market....
We like the March 130 calls. They are deep out of the money but they have three months to come alive. Any large spike higher in prices could positively impact the value of this option, even if coffee prices never see the vicinity of the strike price.
Keep in mind, this is a "lottery ticket" play. The risk is low and limited to the premium paid for the option, but the upside is theoretically unlimited.
As far as short options go, we don't have anything new on the horizon but many of our clients are holding short December Euro 132 puts, short January bond 126 puts and short ES 1800 calls. All are moderately profitable (at the moment). We'll be looking for quick exit strategies in each of them if the opportunity presents itself.
*There is substantial risk of loss in trading futures and options.
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Last edited by decarleytrading; November 12th, 2013 at 02:51 PM.
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