THREAD ON IRONFLY

These days the most preferred strategy for option sellers due to improved margins is IRONFLY. It's essentially a short straddle with long strangle. Long strangle acting as 'WINGS', which help in capping the unlimited risk associated with a short straddle.(1/n)

My previous b'day which fell on expiry day was in 2010. On that day Nifty straddle opened at 45. Day range of nifty was around 30pts :)

(High 5415, Low 5380)

At that time:

•Didn't know the word Straddle though i used to trade them regularly
•Greeks existence wasn't known

•Adjustments felt like a superpower
•Everyday theta decay was a birth right
•Any strategy thought off felt like a personal invention
•Listening to people warning about unlimited loss in option selling was normal
•Making unlimited gain in long straddle seemed a possibility

•Volumes & Oi were closely tracked
•Overnight positions without hedge was a normal routine

All the above points have been changed over the years. But the underlying market psychology & following the price action still remains the same.

Thank you all for the warm wishes 🙏

Q: Sir why call option premiums are higher the put?

A: It usually happens when there is big difference between spot & future.

Example

BN Spot: 35110
BN Future: 35300
BN Synthetic Future: 35150

It depends on our perception of what is ATM & accordingly match the calls & puts.

Understanding HIGH & LOW VIX

VIX at 16: If you check today's IV behaviour, they were not spiking much even with decent delta move in BNF. The movement was subtle, giving some time to adjust. So someone having good adjustment mechanism can stay in the game longer.

1/

VIX at 20: The same delta move will be more fierce, coupled with rise in premiums. When premiums rise with movement, then the adjustment cost increases exponentially. The premiums can fall back at EOD, but the damage is done if caught in the spike.

2/

After talking to few traders, their backtest result was in favor of high VIX of 2020, rather than 2017-19. The key flaw in the backtest were the adjustments which are not easy to calculate. Combination of high theta & fixed SL during high VIX, the IV crush is cashed at EOD.

3/

Neutral option sellers who don't adjust & have fixed SL on a static straddle will not be able to benefit highly in low VIX. The straddle which moves away from ATM will increase no matter what. But if we keep on rolling our strikes, then we get good realisation of theta.

4/

I have made majority of my profits in option selling when VIX was at 13-15, mostly just relying on my adjustments. Since 2020 with high VIX, adjustments stopped working because of increase in the frequency of delta + IV spike combos & so had to shift to directional trading.

5/

THREAD ON DELTA (The most important GREEK)

Many traders don't indulge in understanding GREEKS because they think they are very complicated.

There are 4 primary greeks:

Delta
Gamma
Theta
Vega

In my experience, understanding DELTA is enough to take benefit of greeks.(1/n)

Delta measures the rate of change of options price based on the directional movement of the underlying.

So this means we can know in advance (theoretically) how much an option will move with the underlying & so we can prepare our strategies accordingly. (2/n)

Value of delta varies between 0 & 1 for calls and -1 & 0 for puts. This figure tells how much an option price will change, when the underlying moves 1 point. So example a delta of .2 of call indicates that for every 1 point change in the underlying, the price will move .2 (3/n)

For option writers who want to trade in neutral strategies like straddle, strangle, ratios, calendar etc, delta can be very helpful. So be it any complex strategy, knowing the NET DELTA can give you an idea of how your strategy will perform in different scenarios. (4/n)

Net delta is just the sum of the deltas of all the bull options (call+ & put-) minus the bear options (call- & put+).

So if we can track this, we will always be in the know of how much exposed our position is. It makes it easier then to adjust our position. (5/n)

@cain_nate My friend Nate Cain and I have worked hundreds of hours with various politicians and legal groups trying to explain the election laws and how they fit together. There are many misperceptions of what happened during this election and what it means.

Simply put, our election laws are an intricate tapestry designed to ensure accuracy and prevent fraud. They work together like parts of a car. But when certain parts fail, the car is just a hunk of scrap iron and plastic. In this case critical parts failed.
2/

You do not have to prove fraud or intent, you just have to show that the election officials were unable to conduct an election that met the law and relevant certification requirements. In this case, the election does not come close to meeting accuracy requirements.
3/

These specifications are found deep in laws like FISMA, HAVA, and state adoptions of EAC guidance. 1 ballot error out of 125,000 or 1 position read error out of 500,000. Just look at the discrepancies between incoming ballot counts and total votes, the system fails.
4/

It is worse in the the swing states in Democrat strongholds but it is bad in many places. You add the apparent losses of ballots through the Mail and error rates in the ‘system’ are staggering. Why do we have these rules? Sure it is to prevent fraud, but......
5/

The ten points of the Nuremberg Code
1) The voluntary consent of the human subject is absolutely essential.

2) The experiment should be such as to yield fruitful results for the good of society, unprocurable by other methods or means of study, and not random and unnecessary in nature. 2/n

3) The experiment should be so designed and based on the results of animal experimentation and a knowledge of the natural history of the disease or other problem under study that the anticipated results will justify the performance of the experiment. 3/n

4) The experiment should be so conducted as to avoid all unnecessary physical and mental suffering and injury. 4/n

5) No experiment should be conducted where there is an a priori reason to believe that death or disabling injury will occur; except, perhaps, in those experiments where the experimental physicians also serve as subjects. 5/n

#Suven – Journey of my first 50 bagger…

I bought #Suven first in Apr 2013 around Rs 20…today after almost 7.5 years, its Rs 1000 (Suven pharma 920 adjusted for bonus + Suven Life 80)..CAGR of almost 68% for 7.5 years. I am fortunate to hold it throughout the journey and

1/n

add on multiple occasions on way up. Like to share my experience in this thread for everyone’s benefit..

First time I bought because I like the management focus on R&D. It had chosen the most difficult therapeutic area in pharma which is CNS and it was investing the cash

2/n

flow it used to earn from CRAMS. It also used to write off all the R&D expenses in the P&L instead of capitalizing it in BS. That gave me lot of comfort about management quality.

I kept on adding as funds keep coming. I remember giving a public presentation on Suven in

3/n

Mumbai at one analyst meet in Nov 2017 when it was trading at Rs 160. There was a huge call option embedded at that time in the form of SUVN-502. That would have been the blockbuster molecule if succeeded with market potential of $10 Bn plus..result was due in Dec 2019,

4/n

I loaded around 250-300 knowing the value of CRAMS business itself is more than 300.

SUVN-502 failed in phase-II trials, stock was down 15% from 300 to 250 in a single day, I added heavily. it was largest allocation in my portfolio because I knew the value of CRAMS business

5/n

Horseshoe theory sets off my bs detector & the divisions on the left leave me at a loss for an explanation- Venn diagram? Another shape? What's going on?
Enter @bastardspod! They really break this down & sort it out in a way that helped me out a lot.

Three of their points I found particularly useful in explaining why the horseshoe looks correct to some or why/how some ppl that look left-ish are really extreme right or take that turn (ally with boogaloo or proud boys, for instance?). 2/10

📍as you go farther left, some are more attracted to authoritarianism or violence like those on the right. BUT this is NOT a horseshoe bc the ideals of left & right are starkly different. That's important - this isn't a horseshoe. 3/10

Their examples are Kessler (of Unite the Right) who started in Occupy Wall St NY & Mussolini who started out against imperialism. Seemingly left-ish ppl turned fascist - why? I agree with the hosts when they said if you're anti-authoritarian, you won't end up a fascist. 4/10

📍(surprise!) toxic masculinity (they don't use those words) or wounded masculine pride is a factor. The pod says~getting the shit kicked out of you can push men in a violent authoritarian direction. Feeling disenfranchised like MRAs and white nationalists seems related too. 5/10

There is a highly instructive symposium on "Veil of Ignorance" #ProcessTracing in the new @APSAtweets QMMR publication https://t.co/nxqEQ9HaRz There is lots to say ab it. For now, I want to focus on whether (causal) qualitative research has a problem w/ confirmation bias that 1/

needs to be addressed.
In short, Veil of Ignorance process tracing aims to blindfold the data collectors and analysts to the hypotheses to reduce risk of confirmation bias.
Proposal receives a lot of criticism by all respondents, partly for valid reasons, partly not, IMO 2/

If there was no bigger issue with confirmation bias, there would not be much benefit in talking about blinding in qualitative research.
As Beach notes, the intro to the symposium does not present evidence that bias is a problem. This is correct, but there is also no evidence 3/

that confirmation bias is not a problem. It's an absence of evidence situation with regard to comprehensive, direct evidence, i.e. from verification studies of qualitative research (for studies that are built on an epistemology for which the idea of verification makes sense). 4/

However, I'd say there is circumstantial evidence that confirmation bias is a problem.
1) Evidence for confirmation bias in quantitative research: The developments around #OpenScience and transparency in quantitative research in different disciplines present diverse evidence 5/