Luca Giusti

SIAT Board Member and Member of the Scientific Committee. Head of Research in QTLab in Switzerland

Head of Research in QTLab in Switzerland, Luca Giusti is a trading system developer and a systematic trader. He started as a private trader on options in 2002, after a degree in Economics and the attendance of a PHD, in 2011 moved to Switzerland to provide proprietary research to institutions and individuals.
He is a member of the board and a member of the scientific committee of SIAT, founder of Optionforum, a contributor of MilanoFinanza newspaper, and the author of the book: “Trading Meccanico” (Hoepli), published in 2015.
He is one of the most appreciated financial trainers in Italy: since 2006 he has taught his techniques in a few hundred seminars to both retail traders and professionals, and he is one of the instructor in technical analysis courses in Italy organized by SIAT for the IFTA Certification. Luca has been invited as a speaker to several important financial events in Italy (ITForum, TOL EXPO of Borsa Italiana, Investing, Mente e Finanza), Switzerland and in Dubai.

 

 

ABSTRACT

Sailing with… Options . An Analysis of Concurrent Options Portfolios

The presentation will deal with the use of the technical analysis to define the levels where Luca is selling naked options, and how to manage the risk of these strategies with the adoption of specific trading systems on the underlying futures.
These kind of strategies are widely adopted among small hedge funds, but what really makes the difference is how you decided to control the risk and how you are managing a portfolio of gamma negative options strategies.
The focus is often on the single strategy, looking for the best receipt to define where to sell options and how to protect these contracts, but you can also manage risk most effectively on the portfolio of options strategies your trading.
In his speech Luca will introduce the kind of options strategies he is trading, the reasons why he has chosen these specific markets, how he controls the risk of selling naked options, and, most important, the effect of different criteria adopted to build a portfolio. Luca will present concurrent portfolios of options strategies, built with traditional criteria (Markowitz, for example) and with rotational logic, analyzing if some kind of trade dependency is present, or using volatility to define where allocate the available capital.