NoMercy wrote: ↑18 Jun 2017 08:07
Вы видите вариант действий для физика инвестора, который хочет купить страховку на случай лебедя, который приведет к volatility spike? Подход, который исповедует Спицнагел - единственное, что я нашел по теме.
The only black swan protection I know is staying small and strategic. Nothing works better than that. Here is small example.
$10,000 portfolio. Here is proposed allocations.
Position 1 (Short Nasdaq): You simply sell 100 shares of QQQ and sell put against it to improve your chances of making money. You can use options to construct this position with significantly less capital. If you buy 138 put and sell 138 call, it equals to shorting 100 shares of QQQ. Then buy 146 call to decrease buying power reduction and, finally, sell 135 put. Total buying power reduction is approximately $660. Your max profit is $470. Max loss $630
Once you have short delta in your portfolio, you can short volatility now. Just find liquid stock with high IV and sell strangle round one standard deviation.
Position 2 (Short volatility): Sell 135/165 strangle in NVDA @ 5.16 credit. It will cost you $1,695 to put this trade on.
With this two positions, you are already short delta and short volatility. Now, you can look for an offsetting long delta. At his point you have find something that is on its butt and buy it.
Position 3 (Long Oil): XOP has a decent volatility and its currently on its butt. So it may work for our purposes. I would buy covered call in XOP, once again, by using options to reduce the cost of the trade. If you sell 132 put, it is same thing as buying 100 shares of stock and selling 132 call against it. So, sell 132 put @ 1.28 credit. Buying power reduction $634.
So now you have a portfolio where you short something, long something, and neutral something. Out of $10,000 you've used little under $3,000 and have $7,000+ in cash. Your max potential return for the entire portfolio is $1,114, which comes up to 11%+ in 30 day for all 10,000.
Next step would be testing your portfolio against black and white swans. What happens if market goes up or down 20% in next 30 days.
Market -20% (Black Swan): In this case, you will make $470 with position 1 and lose approximately $505 with position 3. Without any management of position 2, you may end up with $850 loss. So in total, your entire portfolio would minus $885. On other words, if all three positions drop 20%, your portfolio would lose a little under 9%.
Market +20% (White Swan): Position 1: -$630, Position 2: -$1,104 , Position 3: +128. Total return: -16%
You should understand that the above risk profile does not take into account management of the positions. If you manage the positions, the above numbers would be cut by 40-50%.
Third, and more likely scenario, is that market does nothing, which is typically the case. If it happens, this stupid little portfolio should yield 2-5% every month. On the top of it, you have 7,000 of capital to trade around your positions.
This is how I like to "invest."
Поэтому и спросил здесь. Вопрос выхода из позиции в этом случае тоже не ясен. Вы видите вариант действий для физика инвестора, который хочет купить страховку на случай лебедя, который приведет к volatility spike? Подход, который исповедует Спицнагел - единственное, что я нашел по теме.
, практически всегда в contango...
Поетому и сказать нечего. 
