Project Leiden (update 2)
23 Jan 2020My (paper) portfolio has been swinging wildly over the past few days, meaning ±3% in 30 min (which may not seem like much, but it is made up of lots of small positions, and hedged, amateurishly but still).
I’ve been trying to figure out if there’s a way to hedge for market gamma and read up things on spotgamma.com. It seems that I’ll need to change my trading plan, currently based on selling premium on auto-pilot (not going too well - relatively high volatility keeps triggering my stop-loss orders). And choppier seas ahead, it would seem: Super Tuesday Hedging Already Showing Up in Volatility Curves; and some fun analysis here.
What I’ll try to remember is this:
“The recent passage of options expiration “will make the markets more prone to momentum moves, on the margin,” conclude Middlebrooks and Sanaullah, who believe the odds are rising for a tactical correction in which equities “take a breather” until the second quarter.”
I’ve done some rudimentary gamma hedging by purchasing puts here and there, on whatever positions I thought it made sense. Let’s see how that turns out.