发信人: alfastrology (blessed one), 信区: Stock
标 题: 为炒股/投资读博士还真有，还是超级炒手
发信站: BBS 未名空间站 (Mon Mar 12 01:36:31 2018, 美东)
Attended a $22K Investools PhD course that took 1.5 years.
Traded stocks using technical analysis from 2002 to 2007 with $10K capital.
Start non-directional trading using options from 2007 with ~$100K capital,
and made 50%.
Friends put in money to start 2008 off with $700K.
Made $41M profits by 2011, fund size was ~$80M.
As of May 2012, was managing around ~$160M.
Theta trader, tries to pull as much time value out as possible. Theta starts
decaying around 45 days.
When volatility is high, she keeps on selling and buying back the options to
capture the value.
Trading index options allow for non-directional play, as well as being able
to not be impacted by stocks’ earnings season.
Sells the options that expire around 56 days, or 8 weeks away. Usually like
to let the options expire when the month comes by.
Sells Put options (on a market downswing) that have probability of being in-
the-money of ~5% (TOS estimates that by looking at the one-year standard
deviation of the underlying and assumes a Normal distribution, so 5% in-the-
money is 1.64 standard deviations away)
Sells Call options (on a market upswing) that have probability of being in-
the-money of ~10%. Tries to sell the Call options above strong market
Reason behind the 5% vs. 10% probabilities is that “the market crashes down
, not up”, then down moves are quicker, so to be safe the Puts need to be
The positions are legged-in, i.e. the Puts and Calls are not sold at the
Sells more Puts than Calls.
Usually commits 50%-70% of net liquidity so as to leave ammo to manage
If an option gets to 30% probability of being in-the-money, the position
needs to be actively managed.
Any costs associated with fixing the problem (e.g. losses due to closing the
position), will be made up by selling more options to get the premiums to
cover the losses.
For example, if the market moves up, she may sell more Call options that are
further out (i.e. higher strikes), or sell more Put options at higher
strikes (higher compared to the previously sold puts).
When the market drops and volatility spikes (i.e. she is losing money on the
Puts she sold), the fact that the strikes were far away (5% probability of
being ITM) gives her time to assess and adjust her positions.
When the Flash Crash of May 2010 happened, she closed her profitable
positions and sold options further away (October, November months) to get
more time to assess the situation.
※ 修改:·alfastrology 於 Mar 12 01:42:31 2018 修改本文·[FROM: 47.]
※ 来源:·WWW 未名空间站 网址：mitbbs.com 移动：在应用商店搜索未名空间·[FROM: 47.]