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Thalex
@ThalexGlobal
Trade futures, options & combos Services may not be available to all clients in all jurisdictions TG
参加 December 2020
871 フォロー中    3.6K ファン
Selling hedged weekly straddles remains the most consistent way to get paid through options. But you need to get the details of hedging right. Hedging every 24h backtests well, but only if it runs early morning UTC, roughly 2-8 AM. BTC’s big moves happen in the US session and partly retrace overnight. A morning hedge lets that round trip play out inside one 24h window. Hedge in the evening and the edge disappears. Hedging on delta tolerance, e.g. every 0.2 change in delta, gives the highest Sharpe before costs. But gamma grows as expiry approaches, so you tend to overtrade in the final days, and costs eat up the edge. Hedging every 12h with a minimum 0.10 delta threshold holds a Sharpe of 1.4–2.3 after costs, whatever hour you start it.
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