RE: [SuperTraderKarenStudy] Delta observations


May 23, 2015

 


----------------------------

#3337 May 23, 2015

Last week things were a little slow and I observed something that was a little different.

Let me remind everyone that I know nothing, and this discussion may well confirm this...

I think we all understand that if you have a portfolio with positive Delta and the market moves up, you make money.�� Also, if you have negative Delta and the market moves up you lose money.

Wed and Thurs of this week SPY rose a small amount, I had negative Delta, and I ended up with a positive P/L for the Day.

Wed SPY increased 0.29.�� Thurs it was up 0.59.�� Wed my Beta weighted (to SPY) portfolio had a Delta of -446 at the start of the day.�� I ended the day with my P/L up 320.�� Thurs my Delta was -374 at the start of the day and I ended the day up 1045.

Going to the Analyze tab I quickly realized that a large amount of Theta decay can offset a moderate negative Delta.

OK, I know I am stating the obvious, but I found this very interesting.

I will also add that volatility didn't move much so that was not a player in this observation.

Could this be why Karen pays attention to Theta and tends to ignore Delta?

Tom



----------------------------

#3338 May 23, 2015

Makes sense but then only at a certain ratio of delta to theta, I'd guess. ��New definition of delta neutral maybe ratio of delta to theta for a given vol?

Sanju

On May 23, 2015, at 1:55 PM, poast@... [supertraderkarenstudy] supertraderkarenstudy@yahoogroups.com> wrote:



��Last week things were a little slow and I observed something that was a little different.

Let me remind everyone that I know nothing, and this discussion may well confirm this...

I think we all understand that if you have a portfolio with positive Delta and the market moves up, you make money.�� Also, if you have negative Delta and the market moves up you lose money.

Wed and Thurs of this week SPY rose a small amount, I had negative Delta, and I ended up with a positive P/L for the Day.

Wed SPY increased 0.29.�� Thurs it was up 0.59.�� Wed my Beta weighted (to SPY) portfolio had a Delta of -446 at the start of the day.�� I ended the day with my P/L up 320.�� Thurs my Delta was -374 at the start of the day and I ended the day up 1045.

Going to the Analyze tab I quickly realized that a large amount of Theta decay can offset a moderate negative Delta.

OK, I know I am stating the obvious, but I found this very interesting.

I will also add that volatility didn't move much so that was not a player in this observation.

Could this be why Karen pays attention to Theta and tends to ignore Delta?

Tom



----------------------------

#3342 May 23, 2015

Hi Tom,

I also want to start by saying I know nothing AND that this discussion may well confirm this.

Here are my thoughts, cause the same thing happened to me. Short delta, market up, made money, and its not the first time. I will like to add a couple of thoughts.��

On the volatility, I don't know if you are looking at the $VIX or the $/VX futures, technically they are a little different and that can throw you off sometimes.��

Also I have seen studies that suggest (this is not done or tested by me) that all things been equal theta tends to decay faster on thursday and friday than on monday, tuesday and Wednesday.

I can tell you one thing that I have seen lots of studies on it, and It have made constant trades on it. Almost always no mater the news, when ever the Fed comes out with statements, press conference, minutes bla bla bla, the prices on the options on the spy-spx get cheaper.��

So this Wednesday we had the fed, and if you sum that up with the fact that there is no market on monday, I guess the market with those 2 things just discounted part of the theta out.��

This are just thoughts, I have no base in this but there could be something there.

Cheers,

Antonio

To: supertraderkarenstudy@yahoogroups.comFrom: supertraderkarenstudy@yahoogroups.comDate: Sat, 23 May 2015 11:55:23 -0700Subject: [SuperTraderKarenStudy] Delta observations

��Last week things were a little slow and I observed something that was a little different.

Let me remind everyone that I know nothing, and this discussion may well confirm this...

I think we all understand that if you have a portfolio with positive Delta and the market moves up, you make money.�� Also, if you have negative Delta and the market moves up you lose money.

Wed and Thurs of this week SPY rose a small amount, I had negative Delta, and I ended up with a positive P/L for the Day.

Wed SPY increased 0.29.�� Thurs it was up 0.59.�� Wed my Beta weighted (to SPY) portfolio had a Delta of -446 at the start of the day.�� I ended the day with my P/L up 320.�� Thurs my Delta was -374 at the start of the day and I ended the day up 1045.

Going to the Analyze tab I quickly realized that a large amount of Theta decay can offset a moderate negative Delta.

OK, I know I am stating the obvious, but I found this very interesting.

I will also add that volatility didn't move much so that was not a player in this observation.

Could this be why Karen pays attention to Theta and tends to ignore Delta?

Tom



----------------------------

#3344 May 23, 2015

Hello Antonio,

I was trying to resolve this on the Analyze tab.�� I hadn't considered outside influences.�� Thanks for that additional insight.

I was looking at VIX but believe there was little change in /VX as well.�� It was a pretty dead week.

Tom



---In supertraderkarenstudy@yahoogroups.com, aporresm@...> wrote :

Hi Tom,

I also want to start by saying I know nothing AND that this discussion may well confirm this.

Here are my thoughts, cause the same thing happened to me. Short delta, market up, made money, and its not the first time. I will like to add a couple of thoughts.��

On the volatility, I don't know if you are looking at the $VIX or the $/VX futures, technically they are a little different and that can throw you off sometimes.��

Also I have seen studies that suggest (this is not done or tested by me) that all things been equal theta tends to decay faster on thursday and friday than on monday, tuesday and Wednesday.

I can tell you one thing that I have seen lots of studies on it, and It have made constant trades on it. Almost always no mater the news, when ever the Fed comes out with statements, press conference, minutes bla bla bla, the prices on the options on the spy-spx get cheaper.��

So this Wednesday we had the fed, and if you sum that up with the fact that there is no market on monday, I guess the market with those 2 things just discounted part of the theta out.��

This are just thoughts, I have no base in this but there could be something there.

Cheers,

Antonio

To: supertraderkarenstudy@yahoogroups.comFrom: supertraderkarenstudy@yahoogroups.comDate: Sat, 23 May 2015 11:55:23 -0700Subject: [SuperTraderKarenStudy] Delta observations

��Last week things were a little slow and I observed something that was a little different.

Let me remind everyone that I know nothing, and this discussion may well confirm this...

I think we all understand that if you have a portfolio with positive Delta and the market moves up, you make money.�� Also, if you have negative Delta and the market moves up you lose money.

Wed and Thurs of this week SPY rose a small amount, I had negative Delta, and I ended up with a positive P/L for the Day.

Wed SPY increased 0.29.�� Thurs it was up 0.59.�� Wed my Beta weighted (to SPY) portfolio had a Delta of -446 at the start of the day.�� I ended the day with my P/L up 320.�� Thurs my Delta was -374 at the start of the day and I ended the day up 1045.

Going to the Analyze tab I quickly realized that a large amount of Theta decay can offset a moderate negative Delta.

OK, I know I am stating the obvious, but I found this very interesting.

I will also add that volatility didn't move much so that was not a player in this observation.

Could this be why Karen pays attention to Theta and tends to ignore Delta?

Tom







Contact Us
This Site's Privacy Policy
Google's privacy policies

S
e
n
i
o
r
T
u
b
e
.
o
r
g