u/azurexz ·
Reddit — r/thetagang
· September 02, 2026 at 15:26
· ⬆ 20 pts
· 💬 22 comments
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i trade a VRP arbitrage (single name vol) strategy and use QQQ as my benchmark to beat.
I aim to harvest volatility risk premium via short vol using short calls and short puts. Often together to employ the strangle option strategy.
In day to day, i am fighting gamma/vega and collect theta.
There hasn’t been a big vol expansion in a while. When’s the fat tail going to come? I’ll be ready to protect the gains.
Detailed notes:
1 of 15 accounts, this one approx $340k NAV
max drawdown 18%. recovery 30 days.(very stupid mistake) learned from it.
my sharpe is 2.76, sortino 4.0, alpha 1.09, beta -.13, correlation -.07
My rough portfolio delta is always around 0delta(neutral) deviates a bit depending which way i tilt but mostly neutral.