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stickydelta⚽⚽

@mnopro

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(mostly) fooled by randomness. Views are personal, tweets and RTs are not endorsements. tweets are purely for self learning. No investment advice

India
Joined April 2014
Don't wanna be here? Send us removal request.
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@mnopro
stickydelta⚽⚽
3 years
Reflection: India VIX seems to be one of the most misinterpreted Index in desi Fintwit. Understand that a 1% rise in VIX does not mean that the vols have gone up by 1%. There is a non linear relationship between Nifty ATM vols and India VIX Disclaimer: Not an investment advice
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@mnopro
stickydelta⚽⚽
2 years
@deepakshenoy Isn't 7k cr a little on the lower side? I mean we dont say mineral water in India, we say Bisleri
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@mnopro
stickydelta⚽⚽
2 years
Brotip: if you're new to options trading please don't learn from YT Please read books from distinguished authors (some mentioned below): 1- Sheldon Natenberg 2- Euan Sinclair 3- Colin Bennett 4- NN Taleb 5- Sebastian Bossu 6- Emanuel Derman 7- Giles Jewitt 8- Espen Haug
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@mnopro
stickydelta⚽⚽
2 years
Notes on Gamma Scalping - Delta hedging inBlack Scholes world do not take into account the effect of skew/smile as options(s) move in or out of the money. In real world, as options move up or down the smile curve, they are (in general) priced at a higher IV compared to atm. /1
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@mnopro
stickydelta⚽⚽
2 years
Reflection - Seeing a lot of tweets suggesting options expiry day had huge volatility. If you are merely looking at the change in option prices and calling it vol, then I think it's not correct way to see things. /1
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@mnopro
stickydelta⚽⚽
1 year
As I grow old, I realise I'm just a service provider.. to my kids to my bosses . . . and hopefully to society "What does a man do, Walter? A man provides... " - Gus Fring, Breaking Bad
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@mnopro
stickydelta⚽⚽
1 year
It's arrived! Pretty blown away by the content.....Excited to read!
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@mnopro
stickydelta⚽⚽
5 months
you buy options I buy vols we are not the same bro you buy otm options I buy kurtosis we are not the same bro you buy collars I buy skew We are not the same bro you use stop losses I hedge deltas We are not the same bro
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@mnopro
stickydelta⚽⚽
2 years
Please could someone explain me in simple language - Why selling straddles at 9:20am is better than buying them?
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@mnopro
stickydelta⚽⚽
1 year
Implied Volatility Surface parameterization using Stochastic Volatility Inpired (J. Gatheral, 1999) Applied this to Bank Nifty vols for an option chain snap in Mar-23 Advantage: Arb free surface Calibration doesn't look too bad, does it? datasource: NSE
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@mnopro
stickydelta⚽⚽
2 years
#Brotip (as I keep receiving DMs on which books to read to understand option greeks etc): I think below is one of the better ways to start learning options: Steps: 1- Write down the formulae for Black Scholes Model in Excel (avoid downloading option calculator from internet)
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@mnopro
stickydelta⚽⚽
30 days
I don't understand why retail traders don't collab more with others.... 5 traders sitting together can get the data/ platform/ research infra worth 5x of their investment. Also they can keep each other on check by not letting them go full tilt. Feels like a win win to me!
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@mnopro
stickydelta⚽⚽
2 years
Two dumb things I've heard people say on options: 1- delta of an ATM option is 0.5 2- it's 0.5 coz the stock has equal probability of going up and down 🤦
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@mnopro
stickydelta⚽⚽
2 years
Some good things about bear markets: 1- more people concentrate back onto their day jobs 2- almost 0 discussions on financial independence 3- 'multibagger' gets deleted from lexicon 4- people talk about things other than markets in social gatherings What else? #bearmarket
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@mnopro
stickydelta⚽⚽
2 years
Reflection - Never met a trader in prop who after making a killing would stand up and announced how much they made. In fact they would go extremely silent until someone else would figure out and create a brouhaha. Pretty different from a fintwit culture I guess!
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@mnopro
stickydelta⚽⚽
6 months
Reflection - It seems some folks in Fintwit think that if option prices are swinging around wildly especially close to expiry, then it implies that volatility is high. Volatility is a measure for the underlying and NOT for option price. It's an input to option prices, but is
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@mnopro
stickydelta⚽⚽
1 year
After listening to finfluencers, I realise that I'm a complete failure as I: 1- wasted money on education 2- learnt trigonometry instead of investing in school 3- bought underwear instead of investing in stock 4- did not apply supertrend on option premiums #sarcasm
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@mnopro
stickydelta⚽⚽
3 years
Everyone (in retail) 2021 seems to have ended in the green.... Just wonderig who lost money then: 1- market makers? 2- FIIs/DIIs? 3- HFTs 4- Hedge Funds They have all paid to retail? Especially Fintwit 'professionals'? 🤔🤔
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@mnopro
stickydelta⚽⚽
2 years
Not a bad year for learning! #2022
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@mnopro
stickydelta⚽⚽
1 year
Perhaps the best intermediate level book for an options practitioner (trading/structuring/sales/market risk) I read it quite late (when i started out the only great book on options used to be Dynamic Hedging by NN Taleb) Fabulous content on option greeks and managing positions
@mnopro
stickydelta⚽⚽
2 years
Thanks for the reco @salr_nyc Just started with it - great content!
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@mnopro
stickydelta⚽⚽
2 years
Let me try and explain what is the probability of an option finishing ITM and why is it NOT equal to delta: Assume that you want to enter a bet that Nifty will close above 17,500 on expiry at some date. You have to pay me upfront some amount to enter the bet.
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@mnopro
stickydelta⚽⚽
2 years
Need a strategy that makes money in: Bull & bear mkt Vol crush & spike Long & Short term Gamma & Theta Vanna & Volga Indices & Single stocks Trending & Non treding days Then want to invest the profits into a 1000x multibagger Am I thinking big enough? #Sarcasm
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@mnopro
stickydelta⚽⚽
3 years
First law of Fintwit: The number of tweets on trading psychology on a given day is inversely proportional to the (realized) volatility of the market. Disclaimer: correlation not causation 😉
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@mnopro
stickydelta⚽⚽
3 years
Happy Ganesh Chaturthi to all!
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@mnopro
stickydelta⚽⚽
1 year
Many folks think if you survive the first 3-5 years in trading then you would be successful in the long run. This is absolutely not true! You can fail even after 10, 15, 20 even 30 years. /1
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@mnopro
stickydelta⚽⚽
2 years
Note to self- When you elevate from trading 1 lot to 100s of lot, you do not need to run your strategies by anyone, look for any social validation or justify anything to anyone. You explore the jungle, walk your path and learn to ignore all the 1 lot Chintus along the way!
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@mnopro
stickydelta⚽⚽
2 years
Note to self - The more knowledge you have, the less obligated you feel to correct people. Knowledge calms you down!
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@mnopro
stickydelta⚽⚽
1 year
Glimpses of Maa Ganga!
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@mnopro
stickydelta⚽⚽
2 years
Reflection - Fintwit seems to put a lot of emphasis on backtesting an option strategy for "consistent" profits, but hard there seems to be any discussion on pnl attribution. While backtest is (arguably) good for idea generation, pnl attribution is more like post mortem. /1
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@mnopro
stickydelta⚽⚽
2 years
I still don't get it: Do traders exploit volatility or volatility exploits traders? 🤔 #TailAndTheDog
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@mnopro
stickydelta⚽⚽
2 years
Folks into trading for less than 5 years and teaching how to trade is a huge red flag for me. It seems they are more interested in a training career than trading Fundamentally it's a confusing premise to a build a career.
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@mnopro
stickydelta⚽⚽
2 years
The Indian Quants Community - We are no less than Global Quants.... Sure we should learn from the Global pros but mathematics is in our blood! Let's believe in us & uplift India Fintwit together to the next level! Cheers 🍻
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@mnopro
stickydelta⚽⚽
2 years
Reflection - A risk guy thinks managing risk is alpha A coder thinks execution is alpha A quant thinks building robust models is alpha An ML engineer thinks unsupervised learning on large data sets is alpha A trader thinks screentime is alpha . . . Funny markets!
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@mnopro
stickydelta⚽⚽
4 months
how do people sell 0dte options with stop losses is beyond me.... how do they even decide where to put the stops? 🤷‍♂️
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@mnopro
stickydelta⚽⚽
2 years
20 years from now.... 5 trader who made exceptional money would be celebrated by the society and s/he will teach young minds how to trade . . . The remaining 95 would warn their kids why not to be a trader and how those 5 were lucky enough! #outcomes
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@mnopro
stickydelta⚽⚽
2 years
Options trading myth- Straddle premium is a proxy for implied volatility.
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@mnopro
stickydelta⚽⚽
22 days
@ravihanda Probably look at median, it's a better metric.... Still quite good!
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@mnopro
stickydelta⚽⚽
1 year
Reflection: Frame of reference is a beautiful concept one usually learns in physics which as wide applications. When there are too many moving parts in a system, a frame of reference, helps in isolating the moves one is interested in, keeping other moves relatively static. /1
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@mnopro
stickydelta⚽⚽
1 year
Note to self - Your daily pnl swing is your greatest enemy to your progress. It holds back your attention like a magnet and doesn't let you scale. It's like you boarded an expensive metered cab in a beautiful place and you keep checking the fare instead of enjoying the view!
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@mnopro
stickydelta⚽⚽
2 years
Met some old friends who are top prop traders now. Among the other things we discussed, had a good laugh at pnl screenshots folks post on Fintwit. You know about traders' life when you meet genuine ones. Here are some of the commonalities they all share:
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@mnopro
stickydelta⚽⚽
1 year
Note to self: Folks usually focus too much on trading their own accounts rather than developing skills to work for a big trader The second approach is probably far more scalable and could take you places! Disclaimer - could be a biased view
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@mnopro
stickydelta⚽⚽
1 year
Introduce yourself with seven books: 1. Fooled by Randomness 2. Range 3. Reminiscences of a Stock Operator 4. When Genius Failed 5. The Undoing Project 6. Everybody Lies 7. The Rise of Carry
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@mnopro
stickydelta⚽⚽
2 years
Am not gonna sugarcoat by saying these are easy to learn, they are not!! My job is to discuss various approaches which pros use on a day to day basis to analyse markets My hope is there will be a couple of young minds who get inspired and walk this path! see you there🍻
@Ankit_Quant
Ankit Garg
2 years
Planned Twitter Spaces with @mnopro . Set reminders 👇
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@mnopro
stickydelta⚽⚽
2 years
My wish is more young traders develop a quantitative mindset and apply sound statistical techniques to analyse Indian markets. From the land of Ramanujan, Mahalanobis and Vashishtha Narayan Singh, truly believe we could develop world class Quant centre of excellence here!
@VohiCapital
Prashant Mullick, PhD
2 years
My wishlist in this 76th year of #IndianIndependence from the NSE would start and end at a tradeable #INDIAVIX futures. #volatility #trading #markets
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@mnopro
stickydelta⚽⚽
4 months
Many of my friends who have gone way beyond financial independence (read: have f u money) never ever talk about leaving their jobs.... They keep working hard (none of them work 9 to 5, they do much more), while their investments (of time + money) keep getting them richer.
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@mnopro
stickydelta⚽⚽
1 year
Note to self - Scaling up strategies is extremely difficult when they are exposed to jump risk. This is because overcrowding makes the strategies susceptible to discontinuous behaviour. This is why option expiry day trading is not too scalable. /1
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@mnopro
stickydelta⚽⚽
3 years
Strike selection for a directional options bet is a fascinating topic covered by (at)SinclairEuan in his book Positional Option Trading. It's not a trivial exercise!
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@mnopro
stickydelta⚽⚽
2 years
Note to self- Some guys talk big Some guys trade big If you trade size, you don't advertise
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@mnopro
stickydelta⚽⚽
1 year
Disclaimer - feel free to have different views. This is my mathematical interpretation. Why same strike Euopean calls and puts can't have different IVs? Price of an option can be attributed to instrinsic value and time value. For any strike, if call is itm, then put is otm
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@mnopro
stickydelta⚽⚽
2 years
Reflection - You cannot expect prop traders to manage their own risk. That's why prop firms have risk managers who look at trader's positions independently. It's not uncommon for traders to go on full tilt during adverse market conditions. /1
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@mnopro
stickydelta⚽⚽
1 year
Note to self - Volatilities are mean reverting is like saying one day we will die. The information is inconsequential, since we do not know "when". Vols could probably remain sticky longer than one remains solvent. Disclaimer - opinionated
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@mnopro
stickydelta⚽⚽
2 years
Lucid explanations! Can be a beautiful primer as you start your journey with options
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@mnopro
stickydelta⚽⚽
2 years
life changing books, these!
@Ankit_Quant
Ankit Garg
2 years
2. Euan Sinclair
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@mnopro
stickydelta⚽⚽
2 years
Okay, here's a fun way to look at options: Say you are long 16600 calls of Nifty (market at 16200). The position can be broken down as follows: 2*16600C = (16200C +16200P) + (16600C -15800P) + (15800P -2*16200P + 16600P) (using put/call parity)
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@mnopro
stickydelta⚽⚽
1 year
Note to self: First (and the only) rule of investing: Return of capital is far far far more important than return on capital... If you don't realise this, the other rules are useless!
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@mnopro
stickydelta⚽⚽
2 years
My list of inspirational (non-quant) books on Financial markets - Reminiscences of a stock operator When Genius Failed Fooled by Randomness Liar's Poker Barbarians at the Gate Flash Crash The Rise of Carry Maybe i missed a few, these instantly came to mind. What's yours?
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@mnopro
stickydelta⚽⚽
2 years
Reflection - Since an option settles to the future price, it's important that delta of an option is calculated wrt future and not underlying (spot) . Calculating delta wrt spot aka spot-delta, ignores the change in basis between spot and future. /1
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@mnopro
stickydelta⚽⚽
1 year
May the Goddess of Knowledge bless us to keep learning! 🙏🙏 #Saraswati_Puja
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@mnopro
stickydelta⚽⚽
1 year
note to self: a big trader does not try to find a great strategy that works on all market conditions rather they find great markets where the strategies work! scale, scale scale....across markets/assets/ instruments! its the only way to play! disclaimer: may not apply to you
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@mnopro
stickydelta⚽⚽
6 months
Note to self: 1- Trading long tails is a hard game, which needs to be funded to keep playing it and ensuring that you don't go broke, or lose your morale. 2- You usually lose > 220 days a year, so you have to keep your chin up even when you're being ridiculed by the market.
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@mnopro
stickydelta⚽⚽
2 years
"Papa, Papa I'm a good trader now!" "Achha! Lekin beta account to abhi bhi loss mein hai?" "Loss mat dekho Papa, last 25 baar se lagatar main broker wala certificate jeet raha hun!"
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@mnopro
stickydelta⚽⚽
2 years
Note to self - Stock market gyanbazi is a disease. The less you understand the randomness, the more you speak deterministically.
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@mnopro
stickydelta⚽⚽
5 months
Note to self - The WORST way to learn option trading is by trading 0dtes. It's not trading, it's gambling on oversized gamma/theta mechanics. Disclaimer - strong view
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@mnopro
stickydelta⚽⚽
2 years
Option trading myth - Number of lots of options bought/sold in a trade is equivalent to position size
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@mnopro
stickydelta⚽⚽
3 years
Such a cliche... It's probably oxygen to keep your dreams alive!
@Arunstockguru
Arun Mukherjee
3 years
A salary is the drug they give you to forget your dreams. ~ Kevin O'Leary
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@mnopro
stickydelta⚽⚽
11 months
Note to self - The game is not about achieving high returns (that's when one could get hurt). It's about achieving scale (large capital base) at reasonable return. That's how the big bois play! #financial_markets #trading #scale
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@mnopro
stickydelta⚽⚽
2 years
Note to self - Instead of giving advice to folks in their 20s.... It's probably better to take some of their advice and hopefully collaborate with them It's a life hack to stay relevant in this world! #lifeatforty
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@mnopro
stickydelta⚽⚽
4 months
Note to self: markets ocassionally has tells, which sometimes we spot and call them alpha... When markets become conscious of such tells, they go away (decay). It's like the poker, if more people spot a s***er, the latter becomes conscious and leaves... the rule is this: when
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@mnopro
stickydelta⚽⚽
2 years
Fun fact on delta - If you were to hold a delta hedged option portfolio overnight, too close to expiry, you may actually not be truly delta hedged. The OTM options would bleed while ITMs will gain additional delta overnight. This would make you long/ short at open #charm
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@mnopro
stickydelta⚽⚽
2 years
Option trading myth - Selling options on expiry day has an edge over any other days, due to faster decay. Explanation - The ratio of gamma/theta is independent of time to expiry.
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@mnopro
stickydelta⚽⚽
3 years
If you told 1000 aspiring traders, that only about 10 of them would be successful in the long run, how many do you think would quit hearing such stats? I think none! Ego loves outliers when aligned to desires. #1 %
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@mnopro
stickydelta⚽⚽
2 years
Note to self - The only way to learn trading size is by trading size. Trading 1 lot profitably is not a guarantee to trade 100 profitably Also when your daily pnl swings far exceeds your cost of living, you need to cross a psychological barrier that money is just a number!
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@mnopro
stickydelta⚽⚽
1 year
India Fintwit is changing for the better. Seeing some selfless guys doing some great work to uplift the knowledge levels of the community and not getting bogged down by daily pnls Best wishes and kudos to you all: @G3ni3sWish @_not_linear @shabbir_hasan_ @SachaSucha
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@mnopro
stickydelta⚽⚽
2 years
Really amazes me the kind of courses that are available online at the click of a button! Took us so much effort to learn these stuff a decade back!!
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@mnopro
stickydelta⚽⚽
3 years
It is very hard to justify why you want to trade options instead of futures if you have a directional view on the market. For a future delta remains constant which makes it's easier to calculate the possible pnl scenarios.
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@mnopro
stickydelta⚽⚽
2 years
note to self: great employees don't argue, speak up or have the need to get heard ....they switch!
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@mnopro
stickydelta⚽⚽
2 years
Option Trading Myth: Long calendar spreads (short near and long far expiry) are long vega
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@mnopro
stickydelta⚽⚽
1 month
note to self - just need 1 big trade in 3 years ....yes, just one! rest all are details!
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@mnopro
stickydelta⚽⚽
6 months
Disclaimer: not an investment advice. Reflection: Many folks think (probably newbies) that trading is a game of predicting the direction of market move, volatility etc. But as Taleb says in his book, Fooled by Randomness (trying to paraphrase): If you think there is a 90%
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@mnopro
stickydelta⚽⚽
2 years
Note to self - Black Scholes option pricing model is continuous and fully consistent for every spot, vol and time inputs. Its a misconception that the model does not work close to expiry. Beauty of a consistent model is it does not break down under stress. #option_pricing
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@mnopro
stickydelta⚽⚽
5 months
Reflection: There's a daylight of difference in trading option prices and trading the greeks of those prices. The latter exposes you to purer forms of risk (if managed well) and lets you take only those risks you want in your books. In the first approach of trading prices,
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@mnopro
stickydelta⚽⚽
9 months
Note to self - Running 15 different strategies on one underlying is much worse than running one strategy on 15 different undelyings. Disclaimer: opinion
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@mnopro
stickydelta⚽⚽
2 years
4- not once did they talk about their own pnl 5- none of them felt threatened by algos and thought the dumb ones created more opportunities 6- ALL of them took at least 3 years to become profitable Disclaimer: my observations may be biased as meeting profitable traders is rare
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@mnopro
stickydelta⚽⚽
1 year
Strong take - Traders who are interviewed in their successful phase ought to be interviewed when they are in drawdown and thinking of quitting. Otherwise, it's an incomplete analysis of their journey. /1
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@mnopro
stickydelta⚽⚽
2 years
Note to self - A: Coder learning to trade B: Trader learning to code A ! = B
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@mnopro
stickydelta⚽⚽
4 months
So what do i mean by more plays: Well, any option position can be broadly decomposed into 4 statistical moments of the underlying behaviour: - move - vol/ deviation - skew/ assymetry - kurtosis/ vol of vol Think of your position as a combination/ portfolio of these moments.
@mnopro
stickydelta⚽⚽
4 months
It's funny that folks on Fintwit think selling options is a consistent way to make money with no other play in their kitty. They are like hammersmiths looking for nails everywhere. No wonder when there are no/ very few nails visible, they curse the system/ blame it on
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@mnopro
stickydelta⚽⚽
1 year
It's only very rarely you find the Indian trading community being blessed by folks who have strong quantitative insights and no nonsense approach to markets. Truly an honour to know him through this app @muskk from 02:24:00
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@mnopro
stickydelta⚽⚽
2 years
Leaving aside folks who post fake screenshots, even if your pnl is legit, showing it off is pretty loathful It's like you go to a party and show off your $3k Armani suit Pro traders not only don't gaf, they think you have NO class and permanently close the doors to their access
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@mnopro
stickydelta⚽⚽
5 months
Reflection: Implied volatility percentiles (IVP) could be pretty misleading in identifying whether options are rich/cheap... Like every other comparison in financial analytics, one needs to have a benchmark to compare IVs with..... In this case, the comparison should be with
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@mnopro
stickydelta⚽⚽
6 months
@SarangSood My honest answer would be: I don't have a f'n clue what s/he should do. So i will refrain from answering!
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@mnopro
stickydelta⚽⚽
2 years
Bro 1: are you a trend follower or a mean reversion trader? Bro 2: I trade skews and kurtosis Bro 1: <confused> are those indicators? Bro 2: no those are moments Bro 1: <not convinced> never heard! Is it like super trend? Bro 2: No Bro 1: seems you never traded Bro 2: yeah
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@mnopro
stickydelta⚽⚽
1 year
10 years!
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@mnopro
stickydelta⚽⚽
2 years
Every single time i ask my friends if it was too cheesy to have gotten married on V Day... The answer is always a resounding YES! 🤦‍♂️ You guys don't get it - coincidences are hard to forget! 😉 #AnniversaryRoundTheCorner
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@mnopro
stickydelta⚽⚽
2 years
Craps on Volatility- What does it even mean when people say option premiums are high/ low? Worse, what does it even mean when they say VIX is high/low? Level of implied volatility is meaningless without a reference to realised volatility #VolMyths #VIXCraps
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@mnopro
stickydelta⚽⚽
2 years
Outcome oriented discussions in trading seem to be more popular than the process. Someone flexing his/her new car purportedly bought from trading income tends to gather more audience, than someone who meticulously produces a thorough data analysis. Why are we so shallow?
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@mnopro
stickydelta⚽⚽
22 days
Note to self: If you get too involved in one market and are desparately trying to make money there, you are trying to 'fit the curve'. There could be 15 other markets, waiting for your trades - look around! Disclaimer: not an advice.
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@mnopro
stickydelta⚽⚽
2 years
Genuine question - Why can't someone teach trading without posting their pnl? And ofc without claiming anything about trading performance? #simply_teach
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@mnopro
stickydelta⚽⚽
2 years
My 2y old is not sleeping tonight. He must be long overnight deltas! 😉
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@mnopro
stickydelta⚽⚽
3 months
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