0DTE
Presentation and Questions on 0DTE Options for GoldFix Founders with a little background on VBL.Works just fine as audio with notes attached if you prefer. Introductory piece sent the day before.
Table of Contents
Intro:
CV/Trading Bio Excerpt
VBL’s trading between 2004-2011
Market Participants
History Evolution: Metals in 1993
The Players’ Strategic Goals in more detail Real Life
Roach Motel but No Systemic risk- Funds will Die
Big Crowded Trade Risk
How will it Happen? Markets are not always efficient
How It Likely Ends Ugly
The Delta Game
Questions
Market Participants
Speculators- the buyers
seeking directional risk exposure
Investment Funds- The Sellers
using them for covered call writing dividends
Marketmaker/dealers- buyer/sellers
Retail- buyers
Intro: Hedge Fund Track Record
2004-2011 ROR
0DTE History Evolution
Initial use was to hedge or speculate 1 day event risk
Effectively very expensive 1 day insurance
They almost always trade at higher volatility than they should relative to their longer dated cousins due to their low notional values and their lottery ticket aspects.
it's like buying retail versus buying wholesale
The Loosies Concept: Cigarettes to poor people.. buy a pack, stand in front of store and sell loosies cheaper than the store did.
The higher volatility premium eventually attracts the crowd who do covered call plays
This eventually creates a marketplace with short term speculators buying, and long term investors selling and market makers filling the void both ways.
Between #6 and 7 the regulators step in usually after some player gets burnt
