Recent content by theta636

Wow - author of website spent an amazing 100,000 hours of research and historical testing to discover......(drumroll)....selling theta!:eek:

-------------------- Here's some (mostly negative) reviews: http://www.elitetrader.com/bo/index.cfm?action=view&B_ID=25&CatID=4

==== JW - what do you consider to be the advantages and disadvantages of selling a straddle on ES rather than SPY? Another thread mentioned that TOS is going to start handling options on futures in 2 weeks so I'm wondering if there are any substantial benefits to trading ES vs. SPY. Thanks

==================== your max return going into the trade was 179/max loss = 179 / (400-179) = 179/221 = 81% your actual return = final net / max loss = 99/221 = 44.8% Looks like you used your final net credit rather than your opening net credit when figuring your gain. Good news is you...

Fakie Phil has a very lengthy journal on option spreads...2302 pages You can see what a very experienced trader earned month by month, and more importantly, how he managed risk. http://www.elitetrader.com/vb/showthread.php?threadid=49586&perpage=6&pagenumber=1 plenty of websites...

http://www.poweropt.com/bpspreadhelp.asp net credit / (margin required - net credit) another way of saying max profit / max loss

JW - I was backtesting on thinkorswim last night and selling straddles has been a profitable strategy recently, especially with the increased IV. I plan on going the iron condor or iron butterfly route myself, using fairly cheap wings 8-10% OTM. The insurance will cut into profits a bit...

Mark - do you have the data to determine how often you would have touched your stop-loss rather than whether the expiration date price would have hit the stop-loss? I imagine quite a few of the profitable trades would have been closed out with your 75% rule. Also, if you've already...

I should have said DOTM puts rather than DITM puts in previous posting. Something else to do in addition to looking at the historical price changes is to analyze how increased volatility will effect both the strangle/straddle and your protective put. Crunch the numbers and see how puts at...

If you use the thinkorswim "thinkback" function you can backtest to see how buying a DITM put as insurance works in various scenarios. For example, you could have purchased a DIA June08 100 put on 1 Oct 07 for $61 (ask). With the drop in DIA stock price, your "insurance" would have gone up in...

Helpful hint -- Look at option quotes in a newspaper, rather than online, and it will be very clear why some trades are called diagonals and others are called verticals. Lawrence McMillan has a paperback studyguide that is helpful for learning the basics. I also recommend his book, Options as...

This link has some basic tax info http://www.armencomp.com/options-capital-gains.html Make sure you read the section on broad based index options: "the 60/40 rule (60% of gains and losses are long-term and 40% are short-term, regardless of how long the securities are held). " I got tired...

BR - I didn't see any listed under Options but found this one under Hot Hands ... http://www.collective2.com/cgi-perl/systems.mpl?want=publicdetails&systemid=29017311&session=87285180048441638759102794515578527&f=1 Theta636

After reading about fat tails yesterday in McMillan's book, I'm certainly leaning towards buying rather than selling. It's like a roulette table where the 0/00 expand on occasion like a PacMan trying to take a bite.

Not to worry, I'm well aware of the lack of black boxes, secret option formulas, and crystal balls. Must admit that I was most bummed out about Santa. :eek: Seems to me that options are more like roulette than craps. In roulette the house take doesn't change regardless of whether you bet...