|
Moose_Knuck posted:Just posting to remind people that the SQQQ is an alternative if you don't want to play the timing game with SPY puts. Wouldn't you want to use SPXS or SPXU for that?
|
#
?
Jun 27, 2020 14:05
|
|
|
|
| # ? May 22, 2024 00:37 |
|
|
We can go deeper - daytrade SQQQ 0DTE calls!
|
|
#
?
Jun 27, 2020 15:04
|
|
|
Colonel Taint posted:Wouldn't you want to use SPXS or SPXU for that? True, but that would completely negate the personal financial benefit to my Public Service Announcement.  To be fair, though, when the Big One hits, wouldn't the NASDAQ be the most vulnerable?
|
|
#
?
Jun 27, 2020 15:20
|
|
|
Uncle Lloyd posted:in hindsight was actually mostly the right move for once. Now I wish I had put more in. Moose_Knuck posted:Just posting to remind people that the SQQQ is an alternative if you don't want to play the timing game with SPY puts. What's your rationale for this, though? SQQQ is normally not held overnight, right?
|
|
#
?
Jun 27, 2020 16:35
|
|
|
Perhaps others who are more knowledgeable about this topic can correct me here, but would another alternative be to short /MES, /ES, or /MNQ, /NQ, etc.? That way you don’t have theta decay from options, expense ratios and rebalancing of leveraged ETFs. What are the disadvantages of this alternative?
|
|
#
?
Jun 27, 2020 16:48
|
|
|
Soaring Hawk posted:What's your rationale for this, though? SQQQ is normally not held overnight, right? I guess it really comes down to your time horizon and how squeamish you are about option mechanics. While the SQQQ does have a time-value decay similar to options, holding it for ~ 6 months doesn't seem unreasonable to me. Pastrami posted:What are the disadvantages of this alternative? I guess the only clear disadvantage is doing it on margin. Retail investors don't generally get the best rates. Moose_Knuck fucked around with this message at 17:32 on Jun 27, 2020 |
|
#
?
Jun 27, 2020 17:11
|
|
|
Moose_Knuck posted:I guess it really comes down to your time horizon and how squeamish you are about option mechanics. While the SQQQ does have a time-value decay similar to options, holding it for ~ 6 months doesn't seem unreasonable to me. I think holding SQQQ for 6 months is definitely too long due to the decay you mention (it is a 3x bear etf if anyone is wondering). I've only really thought to hold it for a week or two.
|
|
#
?
Jun 27, 2020 18:29
|
|
FreelanceSocialist posted:What I think will happen is the Fed decides to quit, the institutional investors (or more likely the hedge funds and the banks) get wind of this and time thier exits accordingly. Things collapse, they walk away with most of the money that retail investors have poured into the market, we enter another recession. Only this time they don't call it a recession because the only people who get murdered by it are people who never had any money to begin with and don't have any political clout to address it afterwards. Some talking heads will take the pulpit and preach fire and brimstone in retribution for the collapse but ultimately nothing will happen. I think this time is a lot more volatile than a decade ago, national debt is getting really high, mortgage/household were blowing past '08 a few years ago. Also eventually the subprime auto loan poo poo has to collapse, right? SQQQ isn't the opposite of SPY, it's the opposite of TQQQ - tech sector. Also now's the loving time for SQQQ Iron Condors  
|
|
|
#
?
Jun 27, 2020 19:38
|
|
|
VelociBacon posted:I think holding SQQQ for 6 months is definitely too long due to the decay you mention (it is a 3x bear etf if anyone is wondering). I've only really thought to hold it for a week or two. Fair enough. Personally, I am more comfortable with the trade off of not having to deal with expiration dates and strike prices for a bit more "premium" on the back end.
|
|
#
?
Jun 27, 2020 19:40
|
|
|
1st_Panzer_Div. posted:I think this time is a lot more volatile than a decade ago, national debt is getting really high, mortgage/household were blowing past '08 a few years ago. Also eventually the subprime auto loan poo poo has to collapse, right? Nobody talks about the student loan bubble anymore. I wonder what the effect extended unemployment will have on that? 
|
|
#
?
Jun 27, 2020 19:47
|
|
|
Team, when will the number go up? Thanks in advance. Not feeling good lately but I know if I sell then everything will go back up and I’ll buy in higher.
|
|
#
?
Jun 27, 2020 23:22
|
|
|
Up Monday, down the rest of the week for The Big One. You're welcome!!
|
|
#
?
Jun 27, 2020 23:42
|
|
|
Rt.live is looking grim as gently caress now. Feels like sentiment is shifting back to "ohhhhh poo poo".
|
|
#
?
Jun 28, 2020 00:03
|
|
|
Baddog posted:Rt.live is looking grim as gently caress now. Good to hear they’re finally catching up with what epidemiologists have been saying for months
|
|
#
?
Jun 28, 2020 00:42
|
|
|
Moose_Knuck posted:I guess it really comes down to your time horizon and how squeamish you are about option mechanics. While the SQQQ does have a time-value decay similar to options, holding it for ~ 6 months doesn't seem unreasonable to me. What's the play here, though? Holding it as a hedge in case things get crazy again overnight (like in March), then selling immediately for a profit? I guess I could understand paying for it (steady loss over time) as an equivalent to buying a protective put. (?) Here's SQQQ 6M  TZA 6M 
|
|
#
?
Jun 28, 2020 01:48
|
|
|
I would think that the more volatility is in the underlying asset the more a leveraged ETF should decay. This site explains it better than I could.
|
|
#
?
Jun 28, 2020 02:01
|
|
|
VelociBacon posted:I would think that the more volatility is in the underlying asset the more a leveraged ETF should decay. Yes of course, mathematically it's a dumb idea to hold them for anything longer than a few days. The hope with these is that you catch a big movement in the underlying and that the profits offset the decay, so in a worst case scenario you can hold them for a bit longer than an option without them expiring. Full admission: I've been holding 13 shares of FAZ for at least 8 months. At some point there were up 100% and I didn't sell because I'm dumb and thought Bear Market rally. Will definitely unload them when they're in the green. Also how can banks not be circling the drain when the expectation is that we'll have =< 0% interest rates forever is beyond me.
|
|
#
?
Jun 28, 2020 02:23
|
|
|
Soaring Hawk posted:What's the play here, though? Holding it as a hedge in case things get crazy again overnight (like in March), then selling immediately for a profit? I guess I could understand paying for it (steady loss over time) as an equivalent to buying a protective put. (?) There's no real magic here. It's just an alternative for lazy people that don't like fussing with options expiry. When I say you can hold it long term, I don't particularly recommend it because of what VelociBacon cited. Having said that, though, I think the value really comes from an extended draw-down in the market. Unfortunately, these ETFs didn't exist before 2009, so there aren't any charts that demonstrate how well they would've performed during the Great Recession. EDIT: Moral of the story...SQQQ Iron Condors. 
Moose_Knuck fucked around with this message at 02:29 on Jun 28, 2020 |
|
#
?
Jun 28, 2020 02:25
|
|
|
You can get options for SQQQ if you really want to go all in. I did that a while back before I knew wtf I was doing. Thank God it was only like $28 worth.
|
|
#
?
Jun 28, 2020 02:28
|
|
|
Moose_Knuck posted:Nobody talks about the student loan bubble anymore. I wonder what the effect extended unemployment will have on that? It fell out of the conversation due to the fed deferrals for COVID because most student loans are federal (something like 90%) and most people confuse deferral with forgiveness. It also ignores the fact that even before COVID something like 15% of fed student loan borrowers were in forbearance or default already. poo poo was going downhill but the acceleration has sort of plateaued due to the temporary deferrals. It's going to ratchet right back up again as soon as that ends. The student loan bubble is still a real thing and as soon as the other, more pressing problems die down, it will be back in the conversation.
|
|
#
?
Jun 28, 2020 03:48
|
|
|
Moose_Knuck posted:Unfortunately, these ETFs didn't exist before 2009, so there aren't any charts that demonstrate how well they would've performed during the Great Recession. I read somewhere that the 3x bull stock index ETFs have been extremely profitable over the past decade because the constant up market movement has significantly beaten out any time decay losses. If you bought a 3x bull SPY ETF in 2009 and just held, it handily beat the market. No idea if that is still true today and it obviously would never work for a 3x inverse ETF. My understanding is that the cost of holding goes way up with volatility.
|
|
#
?
Jun 28, 2020 04:52
|
|
|
I'm not 100% on the difference between an ETF and an ETN, but I think an ETN can be just fluff while an ETF has to have some actual underlying securities. Anyway, I've gone almost all cash and my single biggest holding is a 5x bear fluff which I am holding over the second weekend. It's been ... emotional. As for time decay, it think my breakeven has gone down 4 ES points since the 18th, but hopefully I will never know for sure as I get to close it deep in the money. The time decay over two weeks doesn't seem to be much worse than the bid/ask spread at any given time, so it's pretty useful for a bet on sentiment change without having to nail the timing. It only trades during Norwegian hours so I couldn't cash in at Friday's close. And obviously we'll get a pop on Monday due to this jinx. But I think so far so good.
|
|
#
?
Jun 28, 2020 11:15
|
|
|
As long as we’re talking about this, can we talk about tail risk hedging strategies for the retail investor in general? I’ve been trying to figure out whether the approach described by Spitznagel here: https://youtu.be/gGpt8VNpCxw is do-able for a retail investor. The general idea is that you leverage like crazy with a small part of your portfolio in a way that goes to zero most of the time, but does well in the case of a -15% or more move on the indexes. (They suggest 3% to this strategy, freeing the rest of your portfolio up for other investing.) It’s an active management strategy but not a market timing strategy. If you prefer reading, there a link that describes the approach here. https://www.universa.net/riskmitigation.html Spiznagel doesn’t talk explicitly about what the instruments they use to accomplish this are, but in interviews I’ve seen him say that they don’t have much counterparty risk and generally imply that the instruments are available on the open market. In other words, if a lot of institutional investors are picking up pennies in front of a steamroller, your goal is to be on the other side of those trades, lose pennies often and occasionally go big. The short funds don’t work because they don’t go to zero, they just decay slowly, and the upside isn’t lopsided in the way we want. Trading way out of the money options on the shorts or options on a leveraged VIX seems promising.
|
|
#
?
Jun 28, 2020 12:02
|
|
|
does anyone know a convenient way to chart stocks en masse? for example, I would like to plot the daily chart of every stock in the S&P 500 YTD on the same graph. I'd like to be able to hover over an individual line to see which stock it is (or have some other means of identifying it). Not a candlestick chart, obviously -- just a line chart.
|
|
#
?
Jun 28, 2020 13:47
|
|
|
Finally finished programming a trading bot to replicate my swami trades. I can get around 85% successful trading manually, whereas the bot can achieve 78 - 80%, however I can't seem to perfectly replicate my trading pattern; I'll have to keep working on it. Backtesting 2 1/2 years on non-optimized parameters to avoid overfitting, I'm able to get 75 - 80% depending on the stop loss. I'm thinking running 2 different stop loss settings to take advantage of the different success a small change makes. My main issue is with the drawdown. If I lower the stop loss I can decrease the drawdown by 50% with a 30% decrease in net profit. Would it even be worth it? Larger drawdown:   Smaller drawdown but goes negative in 2018:   e: It looks like if I fit some of the parameters using the previous da yfor the current trading day, the overall net profit is much higher. Gonna look into running that Sepist fucked around with this message at 19:06 on Jun 28, 2020 |
|
#
?
Jun 28, 2020 18:11
|
|
|
FreelanceSocialist posted:It fell out of the conversation due to the fed deferrals for COVID because most student loans are federal (something like 90%) and most people confuse deferral with forgiveness. It also ignores the fact that even before COVID something like 15% of fed student loan borrowers were in forbearance or default already. poo poo was going downhill but the acceleration has sort of plateaued due to the temporary deferrals. It's going to ratchet right back up again as soon as that ends. I'm hoping for another few months of 0% deferrals around the election.
|
|
#
?
Jun 28, 2020 18:59
|
|
|
doingitwrong posted:In other words, if a lot of institutional investors are picking up pennies in front of a steamroller, your goal is to be on the other side of those trades, lose pennies often and occasionally go big. This is WSB in a nutshell, right? Buying way OTM calls for like 30 bucks every day hoping to get a 600% gain every once in a while? Lottery tickets for white collar workers.
|
|
#
?
Jun 28, 2020 19:20
|
|
|
puts but close, yeah
|
|
#
?
Jun 28, 2020 19:22
|
|
|
What kind of strike/expiry is Put Gang looking at for tomorrow?
|
|
#
?
Jun 28, 2020 19:24
|
|
|
doingitwrong posted:As long as we’re talking about this, can we talk about tail risk hedging strategies for the retail investor in general? I think this deserves some nuance. Simply taking some profits from the long you love the least is a good hedge if you know you're going into difficult times. A constant put position will bleed plenty of money that also gets negative compound interest. It won't even guarantee a result if you're right about the direction unlucky with the timing / amplitude. I think a better strategy is...better learned in the other thread. For the retail gambler though, just time the puts!
|
|
#
?
Jun 28, 2020 19:50
|
|
|
universa and talebs old strat was basically just buy constant puts and let them bleed you and quietly seethe while your peers mock you until you get your comeuppance
|
|
#
?
Jun 28, 2020 20:00
|
|
|
bob dobbs is dead posted:universa and talebs old strat was basically just buy constant puts and let them bleed you and quietly seethe while your peers mock you until you get your comeuppance also 50 cents strat.
|
|
#
?
Jun 28, 2020 20:03
|
|
|
it does gen solid alpha, it just sucks a lot
|
|
#
?
Jun 28, 2020 20:07
|
|
|
bob dobbs is dead posted:universa and talebs old strat was basically just buy constant puts and let them bleed you and quietly seethe while your peers mock you until you get your comeuppance The current Universe Strat, as I understand it, is to devote 3% of your portfolio to seething and the other 97% to S&P 500. What I'm trying to sort out is whether it's possible as a retail investor to do similar. All the other tail risk hedging strategies I've seen have mostly ended up being a net drag on the overall returns in backtesting. Like "Oh, it didn't drop nearly as far in the crash but it doesn't really help me any because it was down from the non-hedged portfolio when the crash started so they still came out ahead."
|
|
#
?
Jun 28, 2020 20:13
|
|
|
the trick to Taleb's strat isn't just "buy puts", it's knowing how to appropriately price far OTM options. this can be quite complicated. see their recent paper on it, here: https://arxiv.org/abs/1908.02347 to quote the abstract, "We build a methodology that takes a given option price in the tails with strike K and extends (for calls, all strikes > K, for puts all strikes <K) assuming the continuation falls into what we define as "Karamata Constant" over which the strong Pareto law holds. The heuristic produces relative prices for options, with for sole parameter the tail index α, under some mild arbitrage constraints. Usual restrictions such as finiteness of variance are not required. The methodology allows us to scrutinize the volatility surface and test various theories of relative tail option overpricing (usually built on thin tailed models and minor modifications/fudging of the Black-Scholes formula)."
|
|
#
?
Jun 28, 2020 20:49
|
|
|
If you've scrutinized the volatile surfaces with a magnifying glass and a microfiber cloth, and you've fudged Black-Scholes in the thin tail, and yet nobody wants to fill your low bid that Taleb said you should buy at, what do you do then?
|
|
#
?
Jun 28, 2020 20:56
|
|
|
Buying protective puts is so far outside my financial situation it makes more sense to stay invested, dollar cost average on downturns, and hope that eventually the market recovers. Buying protective puts is really a drag on your gains unless you're talking pretty large sums of money.
|
|
#
?
Jun 28, 2020 20:57
|
|
|
doingitwrong posted:The current Universe Strat, as I understand it, is to devote 3% of your portfolio to seething and the other 97% to S&P 500. What I'm trying to sort out is whether it's possible as a retail investor to do similar. oh yeah, its a hedge, like a real hedge not what the average hedge fund is for (invest in random stuff, also hookers blow and blackjack w other peeps money)
|
|
#
?
Jun 28, 2020 21:00
|
|
|
bob dobbs is dead posted:oh yeah, its a hedge, like a real hedge not what the average hedge fund is for (invest in random stuff, also hookers blow and blackjack w other peeps money) * what hedge funds used to be, in the 60s or whenever
|
|
#
?
Jun 28, 2020 21:01
|
|
|
|
| # ? May 22, 2024 00:37 |
|
|
CHK finally did it, they went BK
|
|
#
?
Jun 28, 2020 21:44
|
|
