Watch HowardCohodas Trade Index Options Credit Spreads

[HowardCohodas]

next post is #1600

And over 26,000 views. Confuses the heck out of me.

 

[HowardCohodas]

I win!

do i get a prize?

Booby prize.

 

[TheBramble]

I have yet to investigate taking my guns outside the US. Transporting is only one hurdle. I'd like to carry concealed at my destination. Highly unlikely or maybe not even that good from my understanding of gun rules in UK. :-0

No, no you'll be fine Howard.

You just need to be aware that rules relating to personal firearms in the UK require you to approach the customs desks in the terminal building with the weapon in clear view while shouting "Allah Akbar!!!" (just one of those strange old customs we have here).


Let us know how you get on.

 

[HowardCohodas]

No, no you'll be fine Howard.

You just need to be aware that rules relating to personal firearms in the UK require you to approach the customs desks in the terminal building with the weapon in clear view while shouting "Allah Akbar!!!" (just one of those strange old customs we have here).


Let us know how you get on.

You'll know before I will.

 

[Jack o'Clubs]

Howard - came across this recently and you might find it interesting. It's the blog of an (anonymous) derivatives portfolio manager in the US: www.surlytrader.com

A lot of his trading is around vol strategies. Aside from the fact you might find it interesting per se, you might also like to read his entry on selling vol, particularly where he talks about who the market buyers and sellers are - might help you to understand the posts by martinghoul, arabian et al on who is taking the other side of your trades (and before you answer, yes I know you're not selling naked options):

http://www.surlytrader.com/picking-up-nickels-in-front-of-a-steamroller/

 

[amit1986]

How does the market maker even know it is Howard who is forming the condors. He could be buying and selling the options through different market makers and with the amount of volume in the options market, I'm not sure a market maker can identify Howard is able to consistently keep the premiums...??

 

[HowardCohodas]

Howard - came across this recently and you might find it interesting. It's the blog of an (anonymous) derivatives portfolio manager in the US: www.surlytrader.com

A lot of his trading is around vol strategies. Aside from the fact you might find it interesting per se, you might also like to read his entry on selling vol, particularly where he talks about who the market buyers and sellers are - might help you to understand the posts by martinghoul, arabian et al on who is taking the other side of your trades (and before you answer, yes I know you're not selling naked options):

http://www.surlytrader.com/picking-up-nickels-in-front-of-a-steamroller/

Thanks, I'll read with interest. Always looking to understand better, or at least understand better how to communicate with those who do.

​

 

[HowardCohodas]

How does the market maker even know it is Howard who is forming the condors. He could be buying and selling the options through different market makers and with the amount of volume in the options market, I'm not sure a market maker can identify Howard is able to consistently keep the premiums...??

Besides what I have already mentioned, I would add that my trading unit is the credit spread, not an Iron Condor. Only those with access to my account would know if I was completing an Iron Condor when I put on the companion spread.

And credit spreads are a directional position. So when I put on a CALL credit spread, the market would think I am betting the market will go down. When I put on a PUT credit spread the market will think I am betting the market will go up. Only those who know that I now have both will know that I have a nearly neutral position.

All this is subject to my further education provided by those pounding on my thick head.

 

[brettus]

Besides what I have already mentioned, I would add that my trading unit is the credit spread, not an Iron Condor. Only those with access to my account would know if I was completing an Iron Condor when I put on the companion spread.

And credit spreads are a directional position. So when I put on a CALL credit spread, the market would think I am betting the market will go down. When I put on a PUT credit spread the market will think I am betting the market will go up. Only those who know that I now have both will know that I have a nearly neutral position.

All this is subject to my further education provided by those pounding on my thick head.

I dont think the market cares what you are doing...I think they have bigger fish to fry..

 

[Martinghoul]

Besides what I have already mentioned, I would add that my trading unit is the credit spread, not an Iron Condor. Only those with access to my account would know if I was completing an Iron Condor when I put on the companion spread.

And credit spreads are a directional position. So when I put on a CALL credit spread, the market would think I am betting the market will go down. When I put on a PUT credit spread the market will think I am betting the market will go up. Only those who know that I now have both will know that I have a nearly neutral position.

All this is subject to my further education provided by those pounding on my thick head.

None of this matters, Howard... Nobody is suggesting that the mkt is a self-aware entity that knows your position and is actively attempting to cause you pain.

 

[HowardCohodas]

None of this matters, Howard... Nobody is suggesting that the mkt is a self-aware entity that knows your position and is actively attempting to cause you pain.

This was a though experiment based on what some others said. I was carrying on the thought experiment to make some points.

 

[HowardCohodas]

I dont think the market cares what you are doing...I think they have bigger fish to fry..

I agree. However that was not the point of my post.

 

[Martinghoul]

This was a though experiment based on what some others said. I was carrying on the thought experiment to make some points.

Why? Surely you have better things to do (spreads to sell, perhaps) with your time than to conduct all sorts of funky thought experiments?

 

[meanreversion]

HC, can you not divulge any of your backtests? It would add so much to this discussion.

 

[HowardCohodas]

HC, can you not divulge any of your backtests? It would add so much to this discussion.

I would if I could. Rerunning them is on my todo list. I was hoping MG would bail me out, but he has been busy as well.

They need to be rerun because I did not keep good records as I adjusted my algorithms, switched from my own Probatility of Reaching estimate to ToS PoT and adjusted my "curve fitting" avoidance methods and ... You get the idea.

A sad commentary for a software engineer and project manager who would never let any of his team get away with this level of disorganization. My only excuse (and I detest excuses) is that until near the end, I did not believe I would end up trading this. It was just a fun exercise.

I'm actually more upset about obliterating my paper trading results in my ToS account. I was tired and did not pay attention to the pop-up warning for something I was trying to reset. I ended up erasing all my trades and getting a clean account. Great.

Had I not been so careless, I could have provided some interesting results to these two steps along the qualification process. This is one of the reasons I am now so disciplined about my trading journal. Recorded in a mySQL data base, I can play back back day by day any spread like a movie. It is part of my quality assurance process to see if I am messing up or the market environment has changed.

It took some big time mess ups to get to where I am. I can't recover my paper trades, but redoing my back-testing would still be interesting.

 

[HowardCohodas]

Why? Surely you have better things to do (spreads to sell, perhaps) with your time than to conduct all sorts of funky thought experiments?

We have different models of how the market works. Rather than take a "I'm right and your wrong" position with competing monologues, I wanted to explore some of the ideas. These thought experiments are part of the process of better understand your view and better understanding my own.

I hope they also stimulate some thinking in the readers of this thread. Efforts at understand differing views is never a waste of time.

 

[DashRiprock]

Howard - came across this recently and you might find it interesting. It's the blog of an (anonymous) derivatives portfolio manager in the US: www.surlytrader.com

A lot of his trading is around vol strategies. Aside from the fact you might find it interesting per se, you might also like to read his entry on selling vol, particularly where he talks about who the market buyers and sellers are - might help you to understand the posts by martinghoul, arabian et al on who is taking the other side of your trades (and before you answer, yes I know you're not selling naked options):

http://www.surlytrader.com/picking-up-nickels-in-front-of-a-steamroller/

this is a really good post

howard you should read it and think hard... right now what your strategy p&l looks like is like that merrill index he shows - you should say this on your course too. the execution is prolly a bit different on teh index (i dont know if anyone can say how its calculated? or do teh cboe do a similar one?) but the payout profile and exposures are very very similar to yours.

can you see now why 30 weeks and 5 yrs backtests are not wholly representative of your strategy?

its right that what you are doing is picking pennies up in front of a steamroller. in itself there is nothing wrong with that, but to avoid the same p&l as the merrill graph what I am saying is that if you can have some way of making educated guesses about how far the steamroller is away from the pennies you can have consistent profits... but right now you are picking up pennies with your back facing the road.

in terms of how that would manifest itself in your trading strategy it would be finding a way of betting on whether volatility is going to go up or down from when you enter the trade until when you close it.

peace

 

[HowardCohodas]

this is a really good post

howard you should read it and think hard... right now what your strategy p&l looks like is like that merrill index he shows - you should say this on your course too. the execution is prolly a bit different on teh index (i dont know if anyone can say how its calculated? or do teh cboe do a similar one?) but the payout profile and exposures are very very similar to yours.

can you see now why 30 weeks and 5 yrs backtests are not wholly representative of your strategy?

its right that what you are doing is picking pennies up in front of a steamroller. in itself there is nothing wrong with that, but to avoid the same p&l as the merrill graph what I am saying is that if you can have some way of making educated guesses about how far the steamroller is away from the pennies you can have consistent profits... but right now you are picking up pennies with your back facing the road.

in terms of how that would manifest itself in your trading strategy it would be finding a way of betting on whether volatility is going to go up or down from when you enter the trade until when you close it.

peace

That is precisely the history of the development of my method, the genesis of Probability of Reaching, and the purpose of Probability of Touching.

Thanks for giving me a chance to remind the readers that they need a complete view of my methods (see of the links in my signature) in order to properly interpret some of the posts here that frustrate me so badly. They frustrate me because the premise is frequently false and I am trapped into explaining previously covered material the poster either did not know or chose to ignore. It makes me seem defensive.

One of your better posts to me. Thanks again.

 

[DashRiprock]

That is precisely the history of the development of my method, the genesis of Probability of Reaching, and the purpose of Probability of Touching.

Thanks for giving me a chance to remind the readers that they need a complete view of my methods (see of the links in my signature) in order to properly interpret some of the posts here that frustrate me so badly. They frustrate me because the premise is frequently false and I am trapped into explaining previously covered material the poster either did not know or chose to ignore. It makes me seem defensive.

One of your better posts to me. Thanks again.

but howard this is where you have got the total wrong end of the stick.

probability of reaching / probability of touching IS NOT a metric of future volatility. it is just a sum that is done on the current IV, time to maturity, spot and strike and stuff.

forecasting volatility is a different kettle of fish all together mate, and thats what you need to do in order to get an idea of where the steamroller is.

 

[Martinghoul]

We have different models of how the market works. Rather than take a "I'm right and your wrong" position with competing monologues, I wanted to explore some of the ideas. These thought experiments are part of the process of better understand your view and better understanding my own.

I hope they also stimulate some thinking in the readers of this thread. Efforts at understand differing views is never a waste of time.

Now look what you've done. You've pissed off meanreversion with you subpar use of "your" in lieu of "you're".

Anyways, thought experiments are fine and dandy, but you have to be rational about choosing which notions are worthwhile to experiment with and which are a total waste of time. The absurd idea that the mkt somehow knows your position and is seeking to cause you pain and suffering falls into the latter category. Indeed, if you're doing that, why not think about aliens from Mars controlling the mkt? My point here is that this is yet another bit of evidence that suggests to me that you're woefully ill-equipped to teach people to trade. You have so little experience with the mkt and its structure that you're not able to filter viable signal out of the noise. That, in itself, isn't a bad thing, since it comes with experience, but please, I beg you, reconsider the whole teaching bollox. Trade a bit more, get a better idea of what you're actually doing and how the mkt works, then reassess. Personally, I only got it after arnd 5 years. You're a smart guy, it won't take you that long, so please just exercise a bit of patience. Trust me, you won't regret it.