저자: KurtKehan · 외국인
요약 보기
옵션 판매 전략이 장기적으로 유리하다는 주장 영상. 핵심 주장: 내재변동성(IV)은 대부분의 경우 실제 변동성보다 과대평가되어 있으며, 이것이 옵션 매도자의 구조적 우위라고 주장. VIX와 실현변동성 비교 데이터를 제시하며, 2008·2011년 등 예외는 있으나 대체로 시장이 예상보다 적게 움직였고 평균 약 3.25%p 과대평가되었다고 설명. 애플 사례(IV 약 35%)도 예로 듦. 워런 버핏도 S&P500 풋옵션을 대량 매도해 2012~2014년 세전 이익을 냈다고 버크셔 해서웨이 보고서를 근거로 제시. 현재 전략: 석유 섹터 ETF(XOP, USO, OIH, XLE, XOP 등)에서 숏 스트랭글 매도를 추천. XOP 예시는 3월 만기 21풋·33콜 매도, 약 70% 구간 내 유지 확률을 근거로 함. 개별주보다 ETF 선호. 리스크: 영상은 방향성 예측이 아닌 중립 전략임을 강조하며, 변동성 확대 시 손실 가능성은 명시적으로 상세히 다루지 않음. 출연자 전망: 시장 방향은 예측할 수 없다고 명시하며 방향 베팅을 부정. 석유 ETF의 IV가 현재 높아 매도 기회라는 입장.
다듬은 글
hey there, my name is Kurt Kiel (확실하지 않음: 원문은 "Kurt key"로 들림) from Option Alpha, and welcome to my video talking about the investment ideas I have for this year. We don't have much time, so let's get right into it. Here's a quick preview of what we'll cover and today's agenda. As always, it's no fluff and no assumptions. Everything we do is based on facts and data. We aren't assuming anything, and we're not smart enough to guess market direction, so everything here is grounded in facts and data, and I'll show you all of it in today's video.
Number two, we'll talk about how market implied volatility is always overstated, and why this single element of options trading gives us our edge in the market. I'll show you that data in a moment.
Number three, we'll talk about why you have to be an options seller. We'll prove that Warren Buffett is actually a very big-time options seller, in a huge way, a five-billion-dollar way that nobody ever talks about.
And finally, I'll share what I think is the best opportunity in the oil sector right now, a way to take everything we're learning and apply it to trading some oil options.
Here's the deal. You get to decide, and it's an easy decision. I say this to everyone I coach and teach: you can always rely on random stock picks and trade tips and hope you make money in the long run. That's what everyone tries to do. They chase the market and try to figure out how it works. But you can also decide to do something a little different. I hope to take you down that path today, whether you're not yet trading options, or you already are and you see something a bit different that you recognize as a real opportunity to make smarter decisions with your money. That's what we're going to try to do today.
Now, undoubtedly more important than understanding the Black-Scholes model for option pricing, which we purposely don't cover anywhere in our training, is your ability to understand statistics and expected move probabilities. If you don't understand the math behind the trades, I promise you're going to fail. That's a guaranteed promise. You have to understand how this business works, you've got to understand the math, and yes, it's a little complicated. It's not algebra, but we're all professionals here, all investors, and we need to know the numbers before we get into anything. So what I say is: swallow your pride, learn this stuff now, or I promise you'll be chasing the market for the rest of your life.
So let's talk about implied volatility, expected versus actual move. One of the ways we gain our edge in the market when selling options is that implied volatility tends to overstate a stock's actual expected move, in nearly all cases over the long term. We believe markets are efficient in the sense that you can't gain a price edge by picking stocks directionally. We've actually proved this with a 17.34-million-trade backtesting study over the last twenty years, which you can find on our website. But when it comes to option pricing, we can prove that selling rich options has been one of the rare, historically profitable edges.
Here's how we're going to do it. First, we'll look at the major S&P 500 index. Most of you know the VIX as the fear index. It's used to measure, or forecast, the 30-day future volatility of the SPX. On the next page, we'll look at a chart that tracks the VIX: the actual VIX reading, against a chart of the actual realized volatility thirty days from the time of measurement. This is basically trying to answer the question: if options are pricing in, say, a ten percent move in the S&P 500, do we actually see a ten percent move in the next 30 days? Or do we see twelve percent, or eight percent? What does the market actually expect, and what actually ends up happening?
On this chart there are two lines. There's a red line, which is more defined, showing what actually happened over the next 30 days at any point in the past. And there's a gray, more shaded line, which is the actual VIX reading over these time periods. What you see is that although there are some periods, like 2008 and briefly 2011, where the market moved more than expected, which will always happen in a small minority of cases, the market in the vast majority of cases moves less than expected. For example, back around early 2011, the market was pricing in an expected move of around 30 percent per year in stocks. Divided by twelve, that's the monthly amount they expected stocks to move. The market only ended up moving 10 to 15 percent in that same period. Option pricing was swelling, everyone was panicked that the market would make this huge move, and the market only moved 10 percent. That tells you the market always over-anticipates a move in either direction. It's not that it does this every single time, but it does it more often than it doesn't, and that's the whole idea.
On average, the VIX expected a slightly more volatile environment than was realized over the last eight years, at least on this chart, and that stays consistent going forward. The average difference between the VIX and actual volatility during this period was about 3.25 percent. So on average, option pricing was expecting a 3.25 percent bigger move in either direction than actually happened.
Let's use a quick example with Apple. At the time of this chart, Apple was at $112.98, and implied volatility in Apple was 0.3569, meaning the market expected Apple to move 35 percent per year. For Apple, that's about average, maybe even a little high, but about average for how Apple has moved historically. The whole idea is that this number will be overstated by some margin over the long term. When Apple actually trades a year from now, if the market expected a 35 percent move, we might only see a 30 percent move. It happens by a different margin every time, but over the long run, the market always over-anticipates what a stock will do, either up or down. That creates an opportunity for us as option sellers.
It's important to realize that buying options, paying a premium for this potential move up or down, is a net loser over the long term in any market. No matter how great you are at stock picking, you can't fight the fact that option pricing naturally over-expects moves. A long-term net buyer of options is going to lose. The only consistent and reliable strategy is the systematic selling of options, especially when implied volatility is extremely high. That's where our edge is maximized. We have a good edge in most cases over the long term, but we want to maximize it.
Now let's quickly get into why Warren Buffett is an options trader. You might be asking yourself: what is Warren Buffett doing with options? He's a big stock guy, a huge proponent of long-term investing. But when you dig into what he actually does, you'll see he's a really big-time options trader. To be 100 percent clear, I'm not saying he only trades options, but he recognizes the huge opportunity to use options as leverage for his portfolio, and he's made a ton of money doing it.
Let's look inside Berkshire Hathaway's annual report. This is where we see how he trades options in a big way. All of this is public information, but in the last three years he's made five billion dollars in profits trading options, specifically selling options, which is what we're talking about here. If it's good enough for Warren Buffett, don't you believe it's good enough for yourself?
So here we are inside Warren Buffett's 10-K for 2014. At the time of this video, the 2015 one wasn't available, but it should be essentially the same, since the market was pretty much flat that year. In his management discussion, page 51 (all public, you can check it yourself), he talks about all of his derivative contract trading, especially the equity index put options he sells. He lays out exactly how they do it. The key numbers: in 2014 they produced a pre-tax gain of $506 million. In 2013, a pre-tax gain of $2.6 billion. In 2012, a pre-tax gain of almost $2 billion. Again, I'm not telling you anything you can't check yourself. The numbers are there, and they don't lie. He's trading options, specifically selling index put options, in a huge way, and he continues to do so.
On page 96, he discusses the net fair value of what he has right now, about $4.5 billion of leftover equity index put options, and how they determine valuation, which is option pricing, the thing we just talked about. Their biggest input is implied volatility. He lays out the entire thing so you can see exactly what he's doing. He doesn't talk about it as much as I'd like, because you can find it every single year: he's a consistent, reliable option seller who recognizes that implied volatility is overstated. If it's good enough for Warren Buffett, it should be good enough for you.
So, as we go forward, what am I trading right now? I believe that at the time of this video, we have a tremendous opportunity to sell historically overpriced options in the oil sector. For me, this mainly includes ETFs such as USO, OIH, XLE, and XOP. I wouldn't focus on regular stock names like Chevron or Exxon. I'd focus on the ETFs, because we try to mimic a lot of what Buffett does, and what we know works is focusing on ETFs, which carry a bit less systematic risk. An ETF isn't going to get bought out by a company, and it's not going to go bankrupt.
In this case, my favorite strategy right now is the short strangle. Short strangles have very high probability, and they're neutral trades, so you're not taking a directional assumption. You sell one call and one put, both far out of the money. In English, that means you're selling options away from where the stock is trading right now. In my opinion, these are the ultimate setup because they give the underlying stock room to run, and they give you a profit when implied volatility drops. Our whole system takes advantage of the fact that implied volatility is always overstated, and whenever possible we try to sell options when implied volatility is at its highest, so our edge is maximized.
Let's look quickly at a trade I put on the other day in XOP. It's a good example of what we're doing. This is a chart of XOP, the SPDR oil and gas ETF. You can see oil has declined a lot over the last year, but as a result we've seen nice rallies in implied volatility. The chart below is an indicator we developed that ranks implied volatility and tells us whether it's relatively high. Back in July and August we saw implied volatility rise and then drop, and right now we're seeing that same systematic rise. We expect another systematic drop in implied volatility. It's no different from what Buffett and millions of other hedge funds and traders do: take advantage of implied volatility. Right now implied volatility is in the 77th percentile, meaning most of the time over the last year it's been lower than it is now. That gives us an opportunity to sell options that are historically overpriced, with a high-probability trade setup.
In XOP, we went out to the March contracts and set up a very neutral trade. This is live market action, real money, not a simulated trade. XOP is trading at $27.91, and the March contracts have about 43 days to go. We're not holding these incredibly long. Our average trade duration runs from twenty to forty-five or fifty days, maybe on the higher end. With the stock around $27 to $28, we sold the $21 puts below the market. Those puts have about a 13.72 percent chance of finishing in the money, meaning about a 13 percent chance of losing. In other words, there's roughly a 13 percent chance the stock drops from where it is now and closes below our $21 strike by March expiration. That's a very high probability it doesn't get down to $21.
At the same time, we sold the $33 calls above the market. They have roughly the same probability of losing, about 14.56 percent, that XOP rises from $27.92 and closes above our $33 strike. So we have an inside range of roughly 70 percent. We sold $21 puts below and $33 calls above. As long as XOP stays anywhere inside that shaded range, we make money on the trade. This is why I love options trading: we're not making a directional bet. We're making a neutral bet, saying the stock will stay inside this range. Based on option pricing and probabilities, we know about 70 percent of the time it will. If it does, we collect the premium we sold and keep the money.
It's no different from what Buffett did with equity index options. He sold the premium and has been slowly collecting the payout from those premiums year after year, month after month. That's the trade we're building, and that style of trade we're building across the oil and gas sector. We've got USO, XOP, OIH, and XLE, and we're doing everything we can here because this is a rare opportunity to start selling options in a smart, systematic way. I hope that makes sense after going through all this with you today.
To wrap up, I want you to start thinking about building a plan. I hope you enjoyed today's quick presentation. I know we covered a lot, but we didn't have much time, and I wanted to respect the guidelines for this online investing summit and get the video in under that time limit. If you enjoyed it, please share it online and help spread the word about what we're doing at Option Alpha. The whole idea is that you start building a math-based approach to your investing that takes you out of the equation, because honestly, we hold ourselves back mentally. We try to assume things, we get emotional with our investing decisions. I've done it, you've done it, we've all done it. So we need to start thinking a little smarter about how we approach investing. If you approach options trading or any investing, it's got to be a math-based approach, and hopefully today we laid out a good case study using options. If you enjoyed this video, I'd appreciate a comment, an email, or a share. Until next time, happy trading.
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