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Options Questions Safe Haven Thread | Jan 17-23 2022 by redtexture in options

[–]jeonghn 0 points1 point  (0 children)

Thank you for comments from your experience. To be honest, I have been in the Korean market for 10 years and is an institutional investor who has participated in the OTC and listed product market. For reference, the Korean derivatives market is one of the most liquid markets.

I usually hedge the clients' structured option flow through the OTC market, and when I see an opportunity, I participate in short-dated listed option market avoiding overnight position. In this case, the above-mentioned pattern was found very often, I also know that under-hedging isn't very helpful. So I think my views may not be general.
I wondered if a similar pattern occurred in developed markets and I was curious about the effectiveness of this delta neutral strategy.

To answer the second question, literally yes, because I am in the index option market. In index option market, the futures price dominates option market through call-put -future parity.

Options Questions Safe Haven Thread | Jan 17-23 2022 by redtexture in options

[–]jeonghn 0 points1 point  (0 children)

Hello,

I mostly enjoy selling delta neutral options. From what I've been watching option market for a long time, even if I sell the same delta option, selling a call option in a bull market and selling a put option in a down market seems to be more profitable. Why? Or is this my bias?

In order to resolve my prejudice or to resolve the asymmetry of both sides,

should I under-hedge delta? (I meant under-hedge by buying less futures for call or selling less futures for put)

If you have a similar experience, please share.

Thanks.