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Educational Articles

Leonardo Valencia

This page features periodic articles by Leonardo Valencia on better understanding options trading and the methodology and lexicon underlying his Gamma Optimizer.

 

Keep it tight Thu Aug 10th 2017

One of the reasons I play super tight vertical spreads exclusively is because I want to minimize the total vega of the position. This is important in particular when you are playing vertical put spreads in Index options because implied volatility tends to explode in a move down. If your short leg is far away from the long leg in the vertical, the short vega from it can cause tremendous under-performance on the trade.

New Earnings Simulator Mon Jul 17th 2017

The Gamma Central tool now has a more complete earnings simulator, so we can finally see the final volatility after earnings and the expected collapse. This is of great help for those of you that like to design trades that will benefit from the volatility collapse and in general is very useful if you want to quantify the losses on your long positions after earnings. The link for a short tutorial video is here:  https://youtu.be/jWPqlm8BhQw

Tutorials for the tools Thu Jul 13th 2017

For those of you that are new or that perhaps missed the original communications here is a list of the tutorial videos for them: Gamma Central tool (new): https://youtu.be/0ddedBG5H6g Momentum Center: https://youtu.be/bphaGeKHx3w ​​​​​​​

Initial Earnings tab in Gamma Central Thu Jul 13th 2017

Given that earnings season is upon us, I'm publishing an incomplete earnings tab that nonetheless has useful bits of information as it is. I'll keep adding the graphical part tomorrow plus some other stats too. In the mean time play with it and let me know your feedback.

Detailed Gamma Central video Mon Jul 10th 2017

I have a more detailed YouTube video for the Gamma Central tool (almost one hour long) where I go in detail about the features of the handy tool. Please take a look whenever you can spare the time: https://youtu.be/0ddedBG5H6g

New Gamma Central Video Sat Jul 8th 2017

I have extended the Gamma Central app with really cool functionality. For an overview of what the tool can do please watch the Introduction video in YouTube:  https://youtu.be/XrhRbl6GsPc I was having issues with the Key frame rate so the video will flicker a bit. I'll redo it on Monday once volume data is again available to me but in the meantime please use this as reference and let me know any bugs you find.

Position Watcher Thu Jun 29th 2017

For those of you new here remember that you can see all of our positions and the details for them here: https://gamma-trader.shinyapps.io/positions/ The list is up to date and includes the new VXX short we just opened. You can get the links for the apps in the Optimizer page too, at the bottom.

Positions App Wed Jun 28th 2017

While the positions app gets added to the links, I'll be posting it here every morning: https://gamma-trader.shinyapps.io/positions/ Use the app to check the current official positions we are playing in the room. Click the details link for the original trade idea post.

No Live Video today. Fri Jun 16th 2017

My throat is very sore today and I can't really modulate many words so no point on having live video if I can't generate the sounds :). If my voice recovers I'll try to do a recording over the weekend. Thanks for the patience folks.

Setting up a "capped" risk reversal Thu Jun 15th 2017

We have been trading a few risk reversal in the room, well at least our own variation on the general risk reversal and I know that some of you are having trouble constructing the order with your retail software. The easiest way to do this is if your software allows you to enter the legs one by one (like IB for instance). However if you are using something that has predefined templates you won't be able to find them on the list.