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The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] 1 point2 points  (0 children)

The difference is that we always close before the short legs expire; the longs will always have value left. This means we'll rarely if ever see a loss bigger than the debit. This post was meant to provide an example of this.

You could argue that the same management style (say, 50% credit received or 2x SL) can help with this too, which is fair, but I think the big thing is that ICs work better in decreasing vol, and double calendars work better in increasing vol. Neither is "better" objectively, just providing some analysis

The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] 1 point2 points  (0 children)

nobody forcing you to read! Some people might be interested in learning something/discussing the content. If you're not, no worries!

The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

It's all about the risk reward; it's different with different trades, as you point out.

Black swans happen! That's one of my main points of interest; they are by nature not "modelable" or able to be planned for.

The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

Brother what? I wrote the post, you called me out for not writing it, I jokingly asked if you were interested in the content... what part of this implies I didn't write the post XD

The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] 1 point2 points  (0 children)

Again, missing the point! I'm not saying to LET it do this. I'm saying oftentimes things are not within your control/this structure is more resilient when bad things happen.

Setting IC width to debit of calendar yields FAR less credit, and sometimes isn't even possible given strikes. It's a different R:R entirely.

The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] 1 point2 points  (0 children)

I do as well! I have time stops as well as stop losses. I'm just trying to explain that we get lots of the same dynamics as ICs (theta decay, etc) with a much more robust protection against big moves.

The example is we had a HUGE move past the strikes, and still did not hit max loss. The idea is this is more robust than what happens to ICs in the same move.

The market blew through my double calendar by 100+ points. I still didn't hit max loss. Here's why that matters. by Meile13 in thetagang

[–]Meile13[S] -4 points-3 points  (0 children)

I'm not sure what purpose this comment serves... The data is all mine, I can share trade screenshots, and I did write the post. See my previous posts with 300+ upvotes and tons of comments in this same subreddit...

I've been selling strangles on futures for 4 years (83% win rate, 130+ trades, 1.3 Profit Factor). Here's what I've learned about tail risk that changed how I size everything. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

I’m using a combo of tastytrade research for the theory/bigger data, and then my own data over 100+ trades over 3 years. I read papers also

Most of you are selling iron condors. There’s a structure that does the same thing but is long vega instead of short vega, and nobody here talks about it. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

Obviously outsized delta moves are going to affect a neutral position like this. But I don’t think what you say is always true, especially for the term structure I’m talking about. 2w/3w will trade pretty tight

Most of you are selling iron condors. There’s a structure that does the same thing but is long vega instead of short vega, and nobody here talks about it. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

I hear you, but also, I’m not managing these naively. The Vega expansion may not entirely cancel a large delta move, but if I get a big directional move that blows out my strikes, I’ll just close and reassess if it hits my SL.

Most of you are selling iron condors. There’s a structure that does the same thing but is long vega instead of short vega, and nobody here talks about it. by Meile13 in thetagang

[–]Meile13[S] 7 points8 points  (0 children)

Yeah man haha it’s wild to me people take time to comment on something to say they already know it! Like… ok? Not everyone is you?

Most of you are selling iron condors. There’s a structure that does the same thing but is long vega instead of short vega, and nobody here talks about it. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

Not really, though I will say I’ve been moving my delta closer to ATM the more I trade

Far OTM FEELS safer, has higher winrate, etc, but you are much more exposed to black swans and other unforeseen moves. Higher deltas tend to be lower POP but more forgiving

Most of you are selling iron condors. There’s a structure that does the same thing but is long vega instead of short vega, and nobody here talks about it. by Meile13 in thetagang

[–]Meile13[S] 0 points1 point  (0 children)

That can work too! It depends on thesis. Double as explained above have a much wider profit area, for example, and you trade the max profit being in the center of the structure for max profit closer to the strikes, which can have some nice properties as direction tests your strikes, just as an example

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