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It's that level of volatility is the going to be changing much faster than the roll-down. Modified theta is useful for things like SPX vol where daily fluctuations in the fixed strike volatility are comparable to the changes due to the slope of the surface. Didn't the stock just announce after...

Lemme guess, you think is all a guvmint cunspirusy?

The implied volatility has some term structure, so as you are approaching expiration it's going to be pricing on a different implied vol. He assumes that you would calculate the term-structure adjusted implied vol using a variance interpolation. So "modified theta" is price(t_expiration -...

Why isn't the strategy author himself running it at maximum possible size? It would take him 5 years to make a million out a 100k and 10 years to make 10 million. Why is he not keeping it secret?

Do you mind posting it here? Not everyone has a subscription to TABB

Well, you should become a sponsor - then you can advertise all you like :finger: Sure, let's revisit. I am very tempted to buy a subscription to keep a record outside of your website, but that would be literally feeding the troll. You "real profits" are graphs on a random website as opposed to...

Have you ever done it? If not, how do you know how hard or easy it is? His results are more or less consistent with other CTAs. For various reasons, that style of investing is fairly popular among the institutional investors. Have you? Cause you have a strong vested interest in getting us to...

I did. It's mostly true - the risk is almost certainly towards deflation. Central bankers have learned how to reduce inflation (in absence of seignorage, of course) by raising interest rates, painful as it is. However, it seems that deflation is far more difficult to deal with, as the European...

Let me guess - you don't have a position but have a strong opinion?

People buy expensive things and complain about them all the time. You should hear what I have to say about my Manhattan surreal estate, for example.

Own? None of the people even taken it out for a spin. It's an interesting phenomenon that's somewhat specific to Teslas, I think. I've yet to hear anyone discuss how F150 is a bad or good without having ever driven one.

Balsy. I respect that.

There are several sources, the best one is probably Live Vol. Expect to pay 10-15k per year for everything (someone like algoseek might be cheaper, but less trust-worthy).

I don't care how much you paid in total premium, that's between you and God :D I was merely interested in strikes and maturities as an indication of what your expected timing is and how bad you expect it to be. Never mind, of course, sorry I even asked. As an aside, apparently you do have a...

Are you sure about the 60 strike? The open interest is 4 contracts, it appears

I recall reading that it's a tradeoff for the functionality of the safety nodes ("crumple zones"). Cudos to a fellow geek :thumbsup:

Did you go through the tunnel up near Wallingford on autopilot? How did it do?

LOL :D The only true EV I've used so far is LS-218; that was superb and scary at the same time.

Morbid curiosity :D if you are fully in the position, you should be happy to disclose even to someone like myself - other people piling on is good for you.

What expiration and strike? More importantly, why HYG and not one of the IG credit ETFs? With HYG puts, you are implicitly paying carry (which includes the credit spread) and then the vol that's pretty expensive.