Bopperz
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Posts posted by Bopperz
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I think this is one area, where we will have to be patient and see how the numbers play out.
The number of deaths is above average for several weeks. But the real picture needs more time to develop, are those deaths displaced from later in the year?
From the graph, it looks like we have circa 50k extra deaths over the last few weeks, so far this represents an 8% increase in the 600k annual death rate in the UK.
And from all this. Who actually has a trade to take advantage of their view, in either direction? (Please don't suggest buying an index and waiting 2 years!)
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Whats everyone's view on the UK government opening up test slots today?
Looks like everyone and their dog applied and filled up all the slots. Its very difficult to check if you are a key worker, and you can say someone in your house has symptoms. So basically anyone can get a test?!?!
Looking forward to getting the results back as ~75% of tests come back negative already, and those people are being tested because of actual symptoms seen by a doctor. I expect this new batch will have a very low infection rate!
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19 hours ago, Sam252 said:
Agree. Getting my account wiped out is something I am mindful of. To mitigate this I have applied the following:
1) Must have min 20pc margin between the strike price and market price at time of taking the position. Previous trades I have averaged around 23pc margin.
2) I have three years worth of premiums in cash. I add to positions monthly and compound last months returns, and then will rebalance at the end of the year.
3) dont be greedy for the premium
If I get wiped out in one month, maybe i get wiped out for the next two consecutive months, but that would represent a considerable drawdown in the market - it is unlikely to continue. In such instance, I would probably take a separate long position in the index. If the market crashes like this, my odds for success historically improve.
I am trying to review what would be a suitable hedge - perhaps you can help? Unfortunately, I don't think the IG Options are priced favorably where I could buy a PUT to hedge but keep a sufficient margin with the index while maintaining a decent premium as my return (it then becomes questionably if its worth the time and just buy the index with some leverage for the long term and roll over the futures). Hence why I am looking at this like an insurance salesman, reviewing the statistics and the odds, Im not concerned about the volatility of the Put, just the likelihood of it expiring out of the money based on the fundamentals of the market and the strike price. Back testing 1-month rolling returns on the S&P it breaches -20% approximately once every 10 years.
Would be most grateful to hear your feedback. Thanks.
Hi Sam,
I would be interested to know how this works out. What kind of market conditions have you tested this trade with? If the market rallies do you close the position and sell more puts with a higher strike?
As for the hedge, lets look at a nasty scenario:
You sell an Out-The-money (OTM) put option. The day after, the market crashes and is just above your strike. You now have a decision to make:
1) The put option you sold will now be worth considerably more. You could buy back the put, realising the loss, but it does draw a line under the whole event and you live to fight another day.
2) You wait, assuming the market does not move, the option will expire worthless. But you will have a drawdown on your capital which will be (slowly) returned by the theta decay on the option. If the market moves, could go either way.
3) Delta hedge, you accept that the trade has gone badly. There will be losses, its just how big. If you nullify the delta of the position by selling the correct amount of the underlying it will reduce your PnL to moves in the underlying. Upside, if the market continues to drop the loss on the put will be partly offset by gains on the position. Downside, if the market rallies, you will lose money on the position. Again, if the market is stable, the theta will slowly come back into your account.
Which ever method you use, just make sure you decide in advance!
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This is classic tail risk. It works really well, till it doesn't. Then you will wipe out your account.
Be clear what your trading here, (not the underlying), your trading the assumptions in the options pricing model.
If (and when) the trade goes against you, make sure you have an exit plan! You could either cash out at a fixed loss or try and delta hedge or something else.
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I appreciate this thread. But something that does worry me is that a recent poll showed ~90% of people want to keep the lockdown. Therefore I am well out of touch with the average man, as I would have followed something closer to the Sweden model and i'd have those schools open next week.
But it dosent matter what I think, it matters what the majority think. And this thread is a "minority view".
The debate will never be evidence or science based. Look at how many people don't want kids to go to school, despite the under 18 death rate being so low you couldn't make a 5-a-side football match.
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Sorry, just to add, you will have to calculate the delta yourself!
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Hi,
You can get implied vols for a large variety of strikes with a few tenor points. You can get the ATM vol directly, you will need to calculate the RR yourself.
I will will defer the other Q's to someone else.
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So the UK lockdown has been extended for three weeks! I just dont understand why. The new hospital in London has 19 patients, the new hospital in the north-east will probably never open. Why do we need more time?
I am also very confused about "flattening the peak". I understand why we needed to do it, and it looks like we have successfully done that. But why has the UK not declared the peak and started relaxing lockdown? Did the lockdown work too well and the peak is still in the future?
The removal of lockdown is going to be very slow, I don't see a way around that. Just read that Australia reopened schools and 97% of kids were kept at home by their parents.
We need to get started, people need a lot of time to adjust as they have been told they will catch this virus, die and kill the NHS. People need time to see that they will catch the virus, they wont die, they wont kill the NHS.
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Hi,
Any system builders out there?
I'm currently running some python scripts using the IG API on a demo account. It would be good to know if anyone else working on something similar?
James
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Thanks for the link to the dashboard. I'm not convinced about the historical comparisons to economic crashes, would it not make sense to compare this to SARS etc? Fewer data points though.
As for a two year recovery..... lets hope not. I got bills to pay.
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FTSE bounced straight off the S1. Booooiiinnnggggggg.
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On 13/04/2020 at 07:41, Caseynotes said:
David Jack @DJack_Journo
15h
"Britain not doing too badly when you look at the figures adjusted for the size of population"
(see graph)
Interestingly Belgium has the steepest rise in fatalities per million and third worst total so far but had the earliest and most stringent lockdown.
So all those news stories about Britain being the "worst hit in Europe" were.....
Same people who will compare the raw death rate in the USA vs Belgium probably.
I do think we are close to the point this changes from a medical issue to a political issue. We cant stay in lockdown forever, and people will get ill when we undo the lockdown. Its just a question of how many vs crippling the economy.
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Straight up to the R1 pivot point. Lets see what happens with the oil supply side now.
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You can rig up a manual excel sheet fairly quickly to calculate your greeks.
Only limitation is how many options your trading and how often you need it recalculated.
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Indices are flying this morning!
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Or maybe the (start of the) plateau in death rates in Europe has convinced investors that the end is in sight?
Today is only one datapoint, and the day is young! Wait for a trend.
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Looks like we are still scraping along the weekly pivot in the major UK and US indices. As for direction, I have no idea. Trump's tweets last night provided a lot of support, but the truth always catches up with him.
Probably for another thread, but what did Trump promise to get this oil production cut?
Happy Friday!
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Link to a news piece
Quoteit is hoped the lockdown will limit deaths to 20,000.
But that does not mean 480,000 lives are being saved - many will die whether or not they get the virus.
Every year, about 600,000 people in the UK die. And the frail and elderly are most at risk, just as they are if they have coronavirus.
Nearly 10% of people aged over 80 will die in the next year, Prof Sir David Spiegelhalter, at the University of Cambridge, points out, and the risk of them dying if infected with coronavirus is almost exactly the same.
That does not mean there will be no extra deaths - but, Sir David says, there will be "a substantial overlap".
"Many people who die of Covid [the disease caused by coronavirus] would have died anyway within a short period," he says.
I really hope we haven't destroyed our economy to "save" a lot of really old people who will then all die or other causes within a few years.
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Down to the weekly pivot we go...... Hope that holds.
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8 minutes ago, Caseynotes said:
Boris coming out of isolation on Friday 7 days post positive corona test, yet it seems we must stay in (semi) isolation til end of April at least. This is all complete nonsense.
I think we all know this lock down will be measured in months rather than weeks.
The three weeks at the start, are just a warm up.
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19 hours ago, Caseynotes said:
The sweepstakes, Sweden is now in the field and the one to watch having no lockdown or business closures, just isolate the vulnerable and carry on as normal till it all blows over.
I like these graphs, are they from the FT?
Surly these graphs should be relative to population size though, else China and India are going to have a large death rate!
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On 30/03/2020 at 15:22, Caseynotes said:
yes please, immunity test kits, if you have corona antibodies you will be allowed to leave lockdown. If you have had flu this winter you may well pass this test but even if not you may have had corona and been asymptomatic.
Hands up who is keen to get the virus sooner, and get out of lockdown!
Also, if you under lockdown, how are you going to get the virus? Very slowly. You might never escape!
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Its not the premium, as you dont actually pay/receive premium on a spreadbet. But the bid/offer can be quite wide, check the buy price now vs the price your paid.
Factors that will impact your option price, other than price.
Vol: If implied vol drops, you will lose PnL
Time: The value of your option will decrease each day, this is most potent near expiry.
Covid and the Economy
in General Trading Strategy Discussion
Posted
Just participated in a YouGov poll (and it gives your the results so far). 71% of people dont want to rush the ending of the lockdown and want to be cautious.
Choices were basically:
A) Be cautious, b) Start ending it now slowly, c) end it now.