Recent content by dyrmose

I understand your points. However, I was looking for a more general opinion on the pros and cons.

Thank you for the explanation, guru. With fixed SD I mean that every month I would go short / long the same SD away, derived primarily from the implied volatility at that point in time - to ensure that the strike level would change dynamically. You have a good point regarding focusing more on...

I didn't state that the options had 1 month to expiry, just that I executed each month. Can you elaborate on the above quote in terms of what other quantitative aspects you consider in addition to SD? Furthermore, how do you weigh these aspects?

When executing my monthly systematic options strategy I'm curios about your thoughts on whether to select strikes based on: A fixed percentage; eg. 15% OTM. A fixed standard deviation; eg. one standard deviation away. It's natural that the efficiency will depend on several factors. My thoughts...