Curious as to what values y’all aim for in overall portfolio construction.
For example, let’s say you have a 100K portfolio. What value of theta do you guys aim for? Is it some percent of total liquidity, or is it something that you guys don’t have hard numbers for (much closer to “I manage my delta and other Greeks, and whatever theta comes out is whatever comes out” kinda mentality.)
Another example would be for theta to Vega ratio. Let’s say you have a 100 theta portfolio. Do you guys aim for no more that a 1:2 theta to abs Vega ratio (I.e. if theta is 100, Vega should be -200 or higher/closer to 0).
This also begs the question of hedging, such as using calendars as a Vega hedge, or VIX long calls as a gamma hedge. Curious as to anyone doing something similar in their portfolio rebalancing.
\*\*NOTE\*\*
Obviously, it’s difficult if not impossible to isolate Greeks and to achieve a portfolio of pure theta generation w/o accepting some risk in another Greek (first or second order). That being said, I’m interested in knowing what/how other users manage their book to maximize theta while minimizing other risks from the greeks.