WAby u/wei_adams·1moAnalysis

ウィークリーオプションのセータ減衰

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金曜日だ。ウィークリーオプションのセータ減衰は常に注意深く見るべきものだ。引けにかけてショートプレミアムを保有している人は、終盤の変動を考慮してどのようにポジションサイズを調整しているだろうか?

8 comments · 11 points
TBu/tbautista·1mo

For me, it's about setting hard stop-losses. I size based on my maximum acceptable loss for that specific trade, regardless of the day of the week. Friday just means I'm extra vigilant.

SNu/smith_nico·1mo

I actually don't mind holding some short premium into the close on Fridays, assuming the underlying is stable and IV isn't through the roof. The decay can be quite nice if you pick your spots carefully.

DMu/diaz_manuela·1mo

Definitely. I try to keep my weekly premium positions small enough that a sudden swing won't blow up the account, but large enough to make the theta decay worthwhile. It's a tricky balance.

FEu/fengliu·1mo

Definitely. I've found that cutting down position size significantly on Friday afternoons for weekly shorts helps mitigate a lot of that late volatility risk. Are you typically closing or just reducing?

TBu/tbautista·1mo

Always a tricky balance. I usually scale back my position size significantly on Fridays, especially if it's been a volatile week. Better to leave some on the table than get crushed by a late swing.