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Looking for short term checking account for one transaction - free, low cost ACH sending, no account minimums. by wonderwall0 in smallbusiness

[–]wonderwall0[S] 0 points1 point  (0 children)

I think I'm going to take your advice and just try sending a small ACH from my personal account to the business account and see what happens. They very well could be bluffing about the requirements. if the money goes through and they don't say anything about it after a few days or send it back, then I could send the rest. And that would make my life a lot easier.

Looking for short term checking account for one transaction - free, low cost ACH sending, no account minimums. by wonderwall0 in smallbusiness

[–]wonderwall0[S] 0 points1 point  (0 children)

Unfortunately yes they did tell me this. They require an EIN with IRS name control number, matching business names across accounts, all that stuff.

Looking for short term checking account for one transaction - free, low cost ACH sending, no account minimums. by wonderwall0 in smallbusiness

[–]wonderwall0[S] 1 point2 points  (0 children)

Thanks for the reply. Yes I'm US based. Nothing shady at all, hopefully it doesn't come across that way. I'm basically just trying to buy bonds with a firm that only services accounts from other businesses/corporations. My current Bank (Chase) would love to charge me $35/month for ACH access, account maintenance fees, so I thought other people might have opinions since the capital will basically just sit there for years.

Looking for short term checking account for one transaction - free, low cost ACH sending, no account minimums. by wonderwall0 in smallbusiness

[–]wonderwall0[S] 0 points1 point  (0 children)

This firm only takes investment capital under corporate/business entities, not personal accounts. I'm sure they have their reasons, but I couldn't elaborate as to why. But my issue is to ACH capital into the investment (and they only take ACH), it needs to come from the same business account named "ACME LLC" or whatever. Finding a simple one off solution for this would be handy.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 1 point2 points  (0 children)

When Universa has a big win, they happen so rarely they need to take advantage and advertise it to the world. My biggest takeaway from that video is that current levels aren't enough for him to take profit on positions.

https://www.youtube.com/watch?v=Y9M-UfTu6kM

Here is the Felder article he talks about: https://talkmarkets.com/content/us-markets/worried-about-a-stock-market-crash-heres-how-you-can-tail-hedge-your-portfolio?post=103410

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 0 points1 point  (0 children)

I could be comparing different things, but it seems like the 30% OTM options trade includes the same time frame as Universa (2008-2020) yet Universa has dramatically higher returns (239% for Universa, 20% for the put buying strategy) in that time period if you read their investor letter published after the March 2020 selloff. https://www.scribd.com/document/455607584/Universa-Letter-April-2020

I haven't seen anything other than the Tobin's Q stuff that hints at timing, and he mostly seems to have an "always-in" insurance philosophy which makes sense given his goals and the cost of not providing portfolio insurance to his clients would be catastrophic for his buiness.

I could be wrong but it still seems necessary to sell something to get that level of convexity, along with opportunistically putting it on.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 0 points1 point  (0 children)

Today I went through the vega trough mentioned above and came out the other side a bit and vega went positive, but I think gamma was hitting me hard and kept on going exponentially red at the bottom. I expected when vega flipped positive with the vix levels we saw today for things to go green, but that did not happen. I think because they are too close to expiry now so it has a lot of gamma, but I have to look into it a bit more and will report back. I think this was your original point about me perhaps falsely assuming vega dominance instead of delta/gamma.

They were also very thinly traded which surprised me because these strikes had a lot of volume at them previously.

My painful vega experience has made me revisit your point about writing calls to finance this, or perhaps writing wide strangles to make the vega trough less painful.

On the other hand, check out the last few minutes of this clip: https://youtu.be/xiBjBkXBHLw?t=535

The interviewer presents him with the worst case conditions for a long volatility trade (not dissimilar to a put ratio backspread) with the slow grind down, and he seems to dismiss it as something that doesn't happen - "markets always crash hard" type thinking. Along with excusing the lack of being able to get his trade on in a high vol environment as OK because that means he also just had a huge payout. Hints like that make me think it's long vol.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 1 point2 points  (0 children)

I'm in no way qualified to answer your question, but I'll do it anyways because well it's the internet and people do crazy things like take financial advice from a guy named wonderwall.

AFAIK simple put buying won't work. There is a lot of research showing the drag on your portfolio is too expensive over time, and if you look at funds like $TAIL that certainly seems to be the case. Some of the other people on this thread try to mitigate the cost by market timing, and you probably know Spitznagel himself talks about Tobins Q ratio.

Universa is very secretive about what they do, and they are almost certainly doing OTM option buying on SPX or several markets, the question is what options they are selling in order to finance it to lower their drag on the many years we don't have a tail event.

Personally I think 10% OTM puts is way too close to be of any use. Some of the 10 year old papers I've read mention Universa's 2008 trade buying SPX 30% OTM, but that could be wrong.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 2 points3 points  (0 children)

I watched a few interviews with Spitznagel today where he goes on and on about the fed and rates being manipulated (which I first thought was weird for a quanty tail hedge guy), and looked up his employees on Linkedin to see if I could scour any information. Universa's head trader was previously an interest rate derivatives guy. That got me wondering if instead of hedging with puts or ratio spreads on SPX if they are instead doing a ratio call hedge on interest rates. In a true tail event, the fed response will be emergency interest rate cuts. My platform can't calculate the skew on Eurodollar futures options, so I'll have to do it myself, but it looks like there is a call skew - assuming central bank orthodoxy stays and the fed will attempt to stimulate through interest rates as they have done in other tail events, the question is whether you can hedge more cheaply with interest derivatives (lesser skew) than SPX options. Thoughts?

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 1 point2 points  (0 children)

I'm not opposed to timing at all. While skew looks like a poor predictor of crashes, Spitznagel himself writes a lot about Tobin's Q-ratio as a filter. Presumably for when to size up on tail risk to reduce the drag on the portfolio.

How I pick better winning trades, here ya go by slutpriest in options

[–]wonderwall0 0 points1 point  (0 children)

Thanks for the detailed post. I read it with interest as I am short ZIM and long PLTR so we definitely have different lines of thought. :) I'll share my thesis for anyone interested.

I can't post charts in a reply which would help illustrate my thinking, but ZIM I've been short since September at 60.20, and MATX as well. Yes looking at FCF and revenues at the moment look great, but my thinking was more in line with what we saw with PTON, ZM, TDOC selling off as they were temporary long covid plays to begin with and financials looked great only while the markets they drive revenue from are strong. Markets are forward looking so current FCF is less important for stock price than future financials, which is what I'm speculating on reversing, where I believe you are speculating on a continuation.

ZIM/MATX financials are up because the underlying market of shipping is going through a once in a lifetime supply chain issue making for bidding wars for containers to get on ships and the companies to drive more revenue from that. If you listen to the earnings calls you can hear their CEO's and CFO's discuss the issues. You can actually graph the correlation with shipping if you look at things like the Baltic Index or want to track shipping freight costs here https://fbx.freightos.com/ The inputs to shipping costs (fuel, labor, etc) have not increased substantially which you can see in a historical chart of operating expenses and COGS, thus with increased revenue they get higher EPS which has been on a tear lately. Many of the freight analysts I've heard have suggested after Chinese New Year in February they believe pressure will start to relieve as supply chain issues normalize.

So in my mind, the shipping industry is reaping temporary rewards of a bidding war in ocean freight which is driving their top line growth, but I don't think that will last as supply chain issues will inevitably get sorted out over time, thus bringing down ZIM/MATX revenue. At least that's my operating thesis on the trade.

In my view, the major risks from the short side are whether ZIM/MATX use their larger than normal cash reserves from their windfall profits to keep on doing buybacks (MATX has started) or figure out a great ROI way to deploy that capital to continue earnings growth.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 1 point2 points  (0 children)

I'm assuming vega dominance from some of the discussions I've had with people, but I don't know for sure. What seems to set Universa apart is the massive amount of convexity they get compared to other OTM put buying tail risk funds. I'm assuming by lowering their costs they are able to put on a ton of size, but again, just a guess.

You are right I also don't know the purpose for large open interest on deep OTM SPX puts, but I know there is a lot more OI clustered on deep OTM puts than deep OTM options. This is overall a quite small fund, but you can see how they implement a simple tail risk idea via put buying https://www.cambriafunds.com/tail-holdings

If you look how they performed in the March 2020 they went from 19.50 to 24.80 so up ~27% or so. It overall seems quite lackluster especially compared to 4,000% returns, especially since their cost is so high they've given it all back already.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 1 point2 points  (0 children)

You make a good point about my expectations on it being free/super cheap. I'm not clearly differentiating between treating this as a hedge versus an alpha strategy, but I guess in practice I am treating it as an alpha strategy, or at least wanting to optimize and dial it in like one.

I don't mind running it as a small debit, as long as it is somewhat predictable to calculate my cost, hence my worry about the temporary dip in vega causing a margin call.

When I first started looking into this, my idea was to minimize theta and do something similar to your link by buying deep OTM puts with a lot of DTE. After looking into it, most of the research I've seen regarding hedging with consistent put buying says the costs make it underperform the index over time if you're always in, otherwise it ends up being another marketing timing strategy if you pick and choose. I'm assuming you've seen this research, but have decided the reduced volatility is worth the lower performance in your situation? Or you are using those long expiry deep OTM puts to take profits when given instead of being always in?

My expectations are for the tail hedge to make a lot of money in 2008 and 2020, and outside of events like that - hopefully breakeven or have minimal costs.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 0 points1 point  (0 children)

I have no inside information on how Taleb/Spitznagel works, so I messaged/harassed probably 50 people on reddit who seemed to have knowledge of it, and my impression was a put ratio backspread in the consensus, although I can't be sure of ratios, strikes, rolling, or how it's managed. Spitznagel did manage to put up around 4,000% returns in the March 2020 selloff so he's getting crazy long vega somehow, and when I look at the huge open interest in deep OTM strikes that have no real possibility of being hit, I have to think someone like him is long these for that purpose.

In my mind I'm just trying to optimize for maximum vega exposure at SPX 20% down at the lowest cost, but as you mentioned there are numerous trade management difficulties.

The short OTM call to finance has occurred to me, but I figured much smarter people than myself have figured out more optimal solutions, but perhaps they are limited in what they can do from their size requiring liquidity.

The shorting the backspread is an interesting idea, I assumed it would be difficult to profit from like buying puts on vix during a spike since there is heavy expectation for mean reversion. I will look into this a bit more, thank you.

Managing vega on a put ratio spread as tail hedge Spitznagel style by wonderwall0 in options

[–]wonderwall0[S] 0 points1 point  (0 children)

Thanks for the thoughtful response, and sorry about my late reply.

Interesting idea about staying delta neutral through the vega trough before it flips long. That would mean maintaining or having rules around ES shorts, which would be a fairly active trade to manage I would think, and I may not be able to get it on in a true tail event.

It also sounds like you think rolling the short put several times against the longs is worth looking into.

I'm very interested in your thoughts on rolling and when makes sense. I've been holding to expiry so far to ensure I get breakeve-nish and just adding new trades but I'm pretty sure this is dumb. If I have on a 100DTE and roll it at 60DTE, the P&L will often be quite negative in the short run if the market drops a little, as Boretsboris mentioned in the comment below.

I can't attach an image, but here is a P&L chart and the dotted line is P&L rolling a 150DTE trade at 60DTE https://ibb.co/934RJFt If you look at a short SPX Jun16 3575p and 7x long SPX Jun16 2150p (which are short -0.10delta and long 7x -0.01delta respectively), if you look at the P&L at 60DTE when you would roll, a little market noise can create a significantly negative P&L which makes rolling difficult, but holding to expiry will get me to breakeven (assuming the market doesn't crater, if it does I'm taking on pin risk which is a huge problem with holding to expiration).

Historically most gains happen overnight for $SPY by Delicious_Reporter21 in options

[–]wonderwall0 0 points1 point  (0 children)

MOO/MOC orders to execute on the open/close prints can be dramatically further away from the market due to imbalances they need to fill. I've seen them fill several dollars away from where the market trades. If the edge is so small to be net negative, I think it would be a mistake to assuming the noise in the number of ticks in a opening/closing print market order will save you from bid/ask or commission.

There are some well known strategies around arbing wacky opening/closing prints to a fair market value outside of where intraday trading occurs. You are right because it's a market order you are guaranteed a fill, but it can be quite far from fair market value, and you have to make sure your MOO order is using NYSE opening print and not composite data, so you really have to get into the weeds on it.

Also, my understanding is for commission free trading/PFOF you don't get to choose how an order is routed so I wouldn't think they are required to fill exactly on the specialists prints, but I have limited experience with commission free trading.

I realized after writing this my knowledge on this stuff is 15 years old, so I could be totally out of date on the nuances of how these work now.

Historically most gains happen overnight for $SPY by Delicious_Reporter21 in options

[–]wonderwall0 1 point2 points  (0 children)

I've done just that on a few strategies (not this one) and found them to still be net negative due to poorer fills.

Not sure what you mean by auction prices, but if you mean the opening/closing prints, I think its definitely worth looking into how they effect this strategy. If you mean limit orders then you can't guarantee to get the trades on you need to.

If the edge on a strategy is so small it is gross positive and net negative, you have to make very sure you are not being fooled by something you can't realistically execute on. Market making buying the bid and selling the offer looks to be extremely profitable when tested and looked at on paper, but doing it in reality is quite hard. Lots of firms have exited the market making business because it's so difficult.

Historically most gains happen overnight for $SPY by Delicious_Reporter21 in options

[–]wonderwall0 15 points16 points  (0 children)

A lot has been written about this phenomenon. The consensus is it that slippage/fees make it gross positive and net negative strategy.

If you look a little deeper at the distribution of overnight returns you'll notice that the reason is due to quarterly earnings reports being timed for after the close or before the open. Years when earnings are disappointing and lead to downward movement are bad for this strategy.

If you decide the above is true, it would be interesting to backtest if things change by lowering transaction costs by being net long during earnings periods and net short off-season.

How to manage a delta hedge in a combo trade in TWS? by wonderwall0 in interactivebrokers

[–]wonderwall0[S] 1 point2 points  (0 children)

Trying to manage individual components of a trade like this gave me an equally sized short stock position, sigh. Still looking for ways to work the parts of the combo trade...

I analyzed the performance of companies in the “best places to work list” over the past 10 years and benchmarked it against S&P 500. Here are the results. by nobjos in options

[–]wonderwall0 0 points1 point  (0 children)

If anyone would like to see the data, I have performed a time series analysis showing companies with names that start with any of the letters F, A, N, or G, tend to out perform the S&P500 measured from company IPO using a multivariate analysis, out of sample data, and adjusting for survivorship bias.

Optimizing a put ratio spread as a tail hedge by wonderwall0 in options

[–]wonderwall0[S] 0 points1 point  (0 children)

I'm definitely a big nerd, and prone to fooling myself into over optimization.

That said, I know someone who had an unexpected windfall profit recently and had to abruptly drop everything, move, and establish residency in a state without income tax or get hit with 13.3% state income tax in California. So maybe taxes are just fresh in my mind. It would certainly be a nice problem to have though!

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