what you get in gamma, you lose it in theta...

njrookie · 2024-01-28 11:59:08Z

what you get in gamma, you lose it in theta...简介

来源: njrookie 于 2024-01-28 11:59:08 [档案] [博客] [旧帖] [给我悄悄话] 本文已被阅读：次 (1016 bytes)

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回答: TQQQ 和 QQQ 回报的关系由 mobius 于 2024-01-28 10:24:41

decay = 1/2 * N * (N-1) * variance

the question is whether the underlying QQQ is trending or not.

if trending, then 3x will perform better than un-reblanced 3x with margin. if not trending then it is going to under-perform.

Long TQQQ is like long a Call option with Lambda of 3 (everyday sell old one and buy a new call with a constant lambda)

lambda is like portfolio leverage ratio.

lambda = delta * (stock / option price)

OTM option has low delta but high delta.

ITM or ATM option has high delta but low lambda.

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• I wrote this 10 years ago... -njrookie- ♂ (3827 bytes) () 01/28/2024 postreply 12:05:25

• 多谢解释 -mobius- ♂ (391 bytes) () 01/28/2024 postreply 12:53:32

• 多谢 -mobius- ♂ (0 bytes) () 01/28/2024 postreply 13:28:07

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