Daily Options Report

Got this question in response to my earlier post.

By mix of positions, does your overall portfolio have any bias in terms of greeks?

I find that there is high correlation in trade ideas, meaning when vol is low, there are many more long vol, short delta positions (ex calendars) that look attractive and vice versa when the market drops there are many more short vol, long delta ideas. Net results is the overall portfolio is skewed one way or another.

Do you try to maintain a neutral book or if it is one sided, find opposing ideas even if it offers less edge? Hopefully this question makes sense? Looking forward to the book.

Trading is somewhat personal in that something that we all have different comfort levels. I'm not an all-in sort of trader, I'm fairly measured to a fault.. So as such, I'll lean certain direction, like if I beleive volatility is too cheap, I'll lean towards owning more than I short. But generally I like something on each side of the equation. So let's say I buy gamma in a bunch of spots, I'll likely then look to short it in an index ETF, something along those lines.

Like I said, sometimes this is a great idea, sometimes you kick yourself. But it's really to each his (or her) own. I could make an argument too that instead of hedging, just reduce the size.

So in response to the actual question, I will have "Greek" exposure, but hedged to varying extents.