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watching option sellers on this sub i notice a pattern that bothers me. people spend hours optimizing payoff charts. fine tuning the strike selection. obsessing over breakeven points. running backtests with different theta decay assumptions. theta this, delta that, IV smile this, gamma exposure that. and then they go live and their PnL doesnt match their backtest. cue the surprised pikachu face. cue blaming "the market" or "volatility regimes" or "edge eroding". heres the unpopular take. the gap between backtest and live PnL for most option sellers is not strategy decay. its execution infra. specifically. your broker is silently dropping ticks during volatile windows. your order ack times balloon during the exact moments your strategy needs to act. your websocket reconnects mid-session and you operate on stale state for the next 30 seconds. your partial fills are reconciled incorrectly. your modify requests race with fill events. your basket margin is calculated leg by leg so your second leg rejects when its supposed to hedge the first. your rejection messages are vague enough that you cant fix them in production. none of these show up in a payoff chart. none of them are visible in a backtest. but theyre exactly where the gap lives. if you spend 30 hours tuning your payoff chart and 30 minutes evaluating your broker infra, your priorities are inverted for an option selletr. the strategy is maybe 30% of your live PnL. execution is the other 70% and most people barely think about it. curious if anoyone agrees or disagrees, specifically interested in option sellers who have actually measured the gap between backtest and live and figured out where their PnL was leaking.
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