My ASX/tradefloor options game

[Mirus3000]

Translation of an article I like
Part 1
Selling Volatility.

1 Short straddles

Theta in the first half of the term - almost does not bring any money, while the risks on the delta are constant and the slightest movement consumes an already small accumulated theta.
• The sale of streddles at the end of the life of the option is externally more attractive, due to the rapid temporary disintegration, however, risks on the delta increase many times, because due to the reduction in the cost of options, the profit zone in the profile is also rapidly declining.

2 Short strangle

Theta disintegrates quickly, the probability of reaching the risk zone is much less.
• There is a large reserve of price movement to take in advance measures to neutralize the risk, to not take action and let the market calm / Turn around.
• In a calm market, the opportunity to take profit ahead of time on the broken edge, roll the sale closer to the center, thus increasing the potential profit.
The main task is to be under the hat of profit by expiration.

3 Delta

Delta is important as a guide to the direction of risks, but it also does not prevail when the market is far from the edge / edges.
The delta is highly variable, not representative and can not be the main criterion for decision-making in risk management.

Delta is important ONLY when we have a real approaching to the edge of risk!(Breakpoint)

 

[Mirus3000]

Part 2 (My apologies for english)
Risk Management Tools

1 Buy a dangerous strike, sell more distant in a larger volume.

Advantage :
The edge of risk is moved to the size of the strike.
Profit hat(profile) extends over range.
There are no new risks in the return price movement.

Disadvantage:
There is a loss of part of the estimated profit by expiration, theta decreases,
because the sold strike is cheaper than the repurchased.

With the further movement of prices and the passage across a new strike, the risks on the delta are increasing, as the new edge is sold in a larger number of contracts.

When to apply:
I apply this method with a approach of the underlying stock to the edge of the risk , or even after the penetration of the edge(breakpoint) and we have some time before expiration, and there is some cost in the far strike.

 

[Mirus3000]

Part 3
Rolling the opposite edge to the near strike.
Core:
Buying the opposite of the risk strike, sold neighbor.

Advantage :
There is an increase in the estimated profit to expiration, theta increases, since the sold edge is more expensive than the repurchased.

Disadvantage:
There are risks with a sharp return of the price. The profit profile is narrowed and the opposite edge of the risk becomes closer.

 

[Mirus3000]

Part 5
Risk Management by an underlying(futures, stocks)

The most complex and multifaceted way.

Any transaction with a futures to neutralize the risk , automatically carries a mirror risk in the reverse movement of the underlying.

Obviously, any mechanical actions with underlying based on the calculated delta-neutral will cut the account.

The essence of the method:
At the approach of the price to the edge, the volume of futures increases in the direction of price movement so that at the moment of penetration of the dangerous edge their size was approximately equal to half of the sold edge (compelled synthetic short straddle ).
Further management of the delta and risks is performed depending on the movement.

Disadvantage:
A complicated way,that puts the greatest demands on professionalism, experience and instinct of the manager, on his intraday, and often even scalping skills.

Advantage :
The method is used in the last day or two before expiration, the hell does not last long, the main thing is to hold on to the profit profile.

 

[Mirus3000]

part 6

Insurance is purchased a dangerous edge in the next TERM contract.
In general, there are risks in this option, but they are limited in ANY future scenario.

Conclusion:
The result of trading is determined not by the mathematical patterns of working with the Greeks and / or the search for other verifiable inefficiencies, but by the ability to work with the risk, which is determined by the individual trader's characteristics (psychotype, stress resistance, cold-bloodedness).

 

[Mirus3000]

I did not change my position

 

[Mirus3000]

Exp. date.

 

[Mirus3000]

I 've tried to build a position for gamma scalping, but faced margin requirements (SPAN .....)
I will close at a loss. Offensively

 

[Mirus3000]