Когда ожидать новый обвал рынка и что делать?

[NoMercy]

люди поумнее нас посчитали, что just buying puts does not work - you run out of money before you get your payout. If you are willing to pay like you paying your insurance bill - this is different story.. Even a broken clock is right twice a day. But are you sure your payout will be large enough to cover your spending? it is way better selling SPY 5 delta put every month..

Ну я лично ничего не считал. Я обсуждаю подход, придуманный Спицнагелем при участии вроде Талеба... В корне лежит вопрос - как сделать asymmetric payout при прилете черного лебедя. Поскольку у Спицнагеля фонд, то очевидно его подход biased.. Why 5 delta?

[venumpro]

Buying 5-delta SPX options does not make any sense to me.

Let's say I bought July @2,220 put (5 delta) in SPX for 2.70 and paid $270 for it. If you look at the at the money SPX options, they trade for approximately $25.00. Lets assume that volatility would be higher in the event of crash, so the ATM SPX options would be $50.00. So, if SPX crashes $213 points tomorrow, you potentially can make $5,000-$270=$4,730 on each put.

So you have to pay $270 every months to potentially make $4,730 in the event of crash. Yearly cost of protection $3,240. It means that SPX has to drop 200+ points every 18 months for you to break even. Does not strike me as good business model.

[Beretta]

Why 5 delta?

95% that you keep your money. Ну,или выберите тот уровень риска, который вас устраивает.


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[Beretta]

В корне лежит вопрос - как сделать asymmetric payout при прилете черного лебедя. Поскольку у Спицнагеля фонд, то очевидно его подход biased.. Why 5 delta?

Я согласна с тем, что падение будет долгим, возможно, несколько месяцев. И предположим, вы short S&P. Вопрос в том, когда вы его close and get long. Вряд ли вы досидите до bottom. Я к тому, что даже если вы готовы к лебедю - then what?


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[NoMercy]

Buying 5-delta SPX options does not make any sense to me.

Let's say I bought July @2,220 put (5 delta) in SPX for 2.70 and paid $270 for it. If you look at the at the money SPX options, they trade for approximately $25.00. Lets assume that volatility would be higher in the event of crash, so the ATM SPX options would be $50.00. So, if SPX crashes $213 points tomorrow, you potentially can make $5,000-$270=$4,730 on each put.

So you have to pay $270 every months to potentially make $4,730 in the event of crash. Yearly cost of protection $3,240. It means that SPX has to drop 200+ points every 18 months for you to break even. Does not strike me as good business model.

With 5 delta - absolutely no. But they don't use 5 delta.

"On the other hand, our tail-hedged portfolio consists of S&P 500 and out-of-the-money put options (specifically one delta which has a strike roughly 30% to 35% below spot) on the S&P 500). At the beginning of every calendar month, using actual option prices, the number of third-month options (with a maturity from 11 to 12 weeks, and also carrying over the payoff from unexpired options) is determined such that the tail-hedged portfolio breaks even for a down 20% move in the S&P 500 over a month. From practice, for scaling the payoff, we can safely assume the S&P 500 options' implied volatility, or IVol, surface would look similar to the one observed after the lows of the October 2002 crash."

[NoMercy]

В корне лежит вопрос - как сделать asymmetric payout при прилете черного лебедя. Поскольку у Спицнагеля фонд, то очевидно его подход biased.. Why 5 delta?

Я согласна с тем, что падение будет долгим, возможно, несколько месяцев. И предположим, вы short S&P. Вопрос в том, когда вы его close and get long. Вряд ли вы досидите до bottom. Я к тому, что даже если вы готовы к лебедю - then what?
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Понятия не имею 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.

[Beretta]

В корне лежит вопрос - как сделать asymmetric payout при прилете черного лебедя. Поскольку у Спицнагеля фонд, то очевидно его подход biased.. Why 5 delta?

Я согласна с тем, что падение будет долгим, возможно, несколько месяцев. И предположим, вы short S&P. Вопрос в том, когда вы его close and get long. Вряд ли вы досидите до bottom. Я к тому, что даже если вы готовы к лебедю - then what?
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Понятия не имею 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.

a я, собственно, не вижу ответа, потому что не вижу, как можно знать, когда же bottom, после которой рынок пойдет вверх. Это как сейчас - are we really on the very top or btfd crowd pushes up? Те, кто знает - их фтопку, поскольку этого никто знать не может, это, как раз, опять про прикуп. Возможно, что selling 5 делта будет продолжать работать, но ближе дельта - это мы будем посмотреть.

[venumpro]

..... для физика инвестора ....

Ну, если вы физик, то сам бог велел, как минимум, разобраться с деривативами. Derivatives are strategic and math driven instruments. Best traders I know come from mathematics and physics backgrounds.

[venumpro]

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."

[Think_Different]

So speaks Jim:

Blodget: And how big a crash could we be looking at?

Rogers: It’s going to be the worst in your lifetime.

Blodget: I’ve had some pretty big ones in my lifetime.

Rogers: It’s going to be the biggest in my lifetime and I’m older than you. No, it’s going to be serious stuff. We’ve had financial problems in America -- let’s use America -- every four to seven years, since the beginning of the republic. Well, it’s been over eight since the last one. This is the longest or second longest in recorded history, so it’s coming. And the next time it comes -- you know, in 2008, we had a problem because of debt. Henry, the debt now -- that debt is nothing compared to what’s happening now. In 2008, the Chinese had a lot of money saved for a rainy day. It started raining. They started spending the money. Now, even the Chinese have debt and the debt is much higher. The federal reserves, the central bank in America, the balance sheet is up over five times, since 2008. It’s going to be the worst in your lifetime, my lifetime too. Be worried.
/////////////////// https://www.msn.com/en-ca/money/markets ... ar-BBCo6W4

Jim has been saying this for years. Wrong for too long and too often.

[worldCitizen]

Jim has been saying this for years. Wrong for too long and too often.

who knows, he might be right this time..

[metaller]

люди поумнее нас посчитали, что just buying puts does not work - you run out of money before you get your payout

Естественно, ведь long put это deprecating asset также точно как и long call. Но ведь можно шортить фьючерсы - они не deprecating. За несколько дней перед expiration делать roll ...

Buying 5-delta SPX options does not make any sense to me.

[Beretta]

люди поумнее нас посчитали, что just buying puts does not work - you run out of money before you get your payout

Естественно, ведь long put это deprecating asset также точно как и long call. Но ведь можно шортить фьючерсы - они не deprecating. За несколько дней перед expiration делать roll ...

иногда carrying costs are way too high... Обычно нормально, но, вот /VX - , практически всегда в contango...

[metaller]

Обычно нормально, но, вот /VX - , практически всегда в contango..

А что не так с /VX ?

[NoMercy]

..... для физика инвестора ....

Ну, если вы физик, то сам бог велел, как минимум, разобраться с деривативами. Derivatives are strategic and math driven instruments. Best traders I know come from mathematics and physics backgrounds.

Unsolicited advice finally ))) you haven't read the article, right? It's ok not to read it but also quite strange to discuss something you haven't read )((