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sss

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Everything posted by sss

  1. sss
    I have been using tradier for some time now. Very happy with them. Customer service is also very good. I would whole heartedly recommend them.
  2. sss

    Hi Kim,

    By any chance would you be able to help with my question that I posted to Chris in the Anchor trades performance thread? maybe you have some old spreadsheets saved somewhere for 2008 back test. Chris responded that he is away for next few weeks.

    if not that's ok, I will just wait

    Thanks.

    1. Kim

      Kim

      Unfortunately I was not really involved in the actual backtesting. I do remember that some members did some backtesting of their own, and in some cases reached slightly different results, but it was never a dramatic difference. Maybe try to read some old topics, there should be some discussions there. Or just wait for Chris.

      Sorry I wasn't more helpful.  

  3. sss
    Looks good. Could qet more information on the site features?
  4. sss

    Hello Chris,

    I posted a question on one of threads but didn't get a response so posting here again.

    I am new to this and trying to understand the process fully, so please if you have answered this somewhere before maybe you can direct me to the other post.

    its about the value of .8 that you use in your formula to get the number of puts for hedge. how do arrive at this number?

    secondly , instead of buying an etf and hedging with puts, we could also just buy call options, and that would be the same or very close to the long position, right ?

     

    Thanks.

    1. cwelsh

      cwelsh

      The .8 number comes from figuring out what the average per week is over the past 10 years or so.  The average actually was around .83, but we rounded down for a safety margin.

       

      We're finally emerging from it, but for pretty much June-Mid September, getting .8/week was impossible, options were just priced too low due to extended low volatility.  I actually, playing on the averages, bought quite a few puts in July when prices got ridiculously low and the markets were completely under pricing risk.  Of course there wasn't any big  moves, so I was lucky to break even on a decent down day. 

       

      Back on subject though, there is nothing special about .8, but if you stick with Anchor over a number of years, you should average just above .8/week in credits, so we used it to price our position.

       

      As to the call options, no not really, as your gains are capped.  We also buy extra puts, to hedge the hedge if you will -- which can't be accounted for in just buying calls.

    2. sss

      sss

      Ok thanks, that helps.

      about the second part, I am referring to put call parity.

      ( 500 shares+5 long puts = 5 long calls)

      so lets take 2 portfolios for example :

      A.

      500 shares of SPY

      5 long puts to fully hedge  ATM

      3 extra long puts ATM

      and 3 short puts that will be rolled on for next year

      compare this to:

      B.

      5 long calls ATM

       

      3 extra long puts ATM

      and 3 short puts that will be rolled on for next year

       

       

      your thoughts please ?