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Rnd-005 : Rnd-002 / 003 / 004 BUNDLE

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This issue covers...

  • evaluating the payoff of an options position using probability distribution.
  • evaluating current implied and historical volatility regimes using a simple ranking equation.
  • spread comparo: Put Verticals on low vs elevated implied volatilities.
  • triple whammy of naked short puts- negative gamma, negative vega and negative vomma: hidden risks of naked put selling strategies... aka "income strategies".
  • Spread comparo: Selling Put verticals : static IV vs. dynamic IV's ...
  • Backtest comparo: See how a "baseline strategy" of shorting a 1 standard deviation put spread every day (with a maximum of 10 positions per expiration cycle) compares to having a proprietary bullish filter. In spite of a > 80% win rate, see how the record low Vix as of May 2017 should give trader pause when these short gamma positions!
  • A charmed discussion why you are losing money even when you get direction right! (aka delta bleed)- for the backspreaders out there.
  • Case Study- With Vix at historic lows, check out results of Buying a QQQ ATM straddle daily (max 3 per expiration cycle) and exiting the trade 4-5 days later. A cautionary tale for premium selling in this very low IV regime.