Wayne Himelsein, the President and CIO of Logica Capital Advisors, specializes in long volatility options trading strategies. He discusses the balance of systematic rigor with human oversight in trading. Wayne explains his gross long volatility approach, focusing on full protection during market downturns. He also highlights the importance of navigating realized and unrealized volatility, and the psychological aspects of market behavior. Wayne offers practical tips for new options traders, emphasizing foundational knowledge and strategic adaptability.
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question_answer ANECDOTE
Early Trading Experience
Wayne Himelsein skipped his Berkeley graduation to pursue trading in New York.
He shadowed traders for six months, observing diverse strategies and the unifying experience of losses during market corrections.
insights INSIGHT
The Grand Delusion of Mean Reversion
Most traders unknowingly share the same risk exposure, leading to widespread losses during corrections.
This realization led Himelsein to pursue long volatility strategies, aiming to profit from market downturns.
insights INSIGHT
Convergence vs. Divergence
Convergent strategies underestimate the risk of divergence, leading to substantial losses.
Divergent strategies, like long volatility and trend following, offer positive skew and better risk management.
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This book is a classic in the field of technical analysis, providing a methodology for interpreting the predictable behavior of investors and markets. It covers in-depth discussions on Dow Theory, reversal patterns, consolidation formations, trends, channels, and technical analysis of commodity charts. The book also includes expanded material on Pragmatic Portfolio Theory, Basing Points procedure, and modern investment technologies. It is an indispensable resource for technical traders, investors, and finance professionals, offering practical advice on stock selection, charting, risk management, and portfolio diversification.
Option volatility & pricing : advanced trading strategies and techniques
Sheldon Natenberg
This revised, updated, and expanded second edition presents the most comprehensive guide to advanced trading strategies and techniques in option markets. It covers a wide range of topics including the foundations of option theory, dynamic hedging, volatility and directional trading strategies, risk analysis, position management, stock index futures and options, and volatility contracts. The book is designed to help both new and experienced traders understand how professional option traders approach the market, including the trading strategies and risk management techniques necessary for success. It also provides a fuller understanding of how theoretical pricing models work and how to apply the principles of option evaluation to create successful trading strategies.
Option as a Strategic Investment
Option as a Strategic Investment
Lawrence G. McMillan
This book, often referred to as the 'bible' for options traders, provides detailed strategies for buying and selling options. Lawrence G. McMillan covers topics such as long-term equity anticipation securities (LEAPS), neutral trading, and other advanced options strategies. The book is particularly useful for traders who already have some basic experience in options markets and are looking to enhance their knowledge and skills.
Wayne Himelsein, President and CIO of Logica Capital Advisors, has developed a robust approach to options trading centred on long volatility strategies that balance systematic rigor with human oversight. His methodology involves "gross long volatility," rejecting short volatility trades to ensure full protection during market downturns, and dynamically adjusting positions through a technique he calls "scalping to fund long vol." This process leverages mean-reverting market behaviours to offset the inherent costs of options while maintaining asymmetric risk-reward structures like straddles and strangles.
Supported by extensive quantitative analysis and adaptability to varying volatility regimes, Wayne’s strategies exemplify a nuanced blend of art and science in trading.
The Algorithmic Advantage 
