Search results

Preference for bear calls over bear puts comes with assignment issues. Has nothing to do with r:r profile. Yes I believe there is an edge here, but I specifically haven't gone into greater detail. :D

Create a synthetic short VIX via Vix options. Now take a short S&P variance swap. Same r:r curve?

Gotcha, you were just giving a theoretical use for VIX in back testing and not meaning to imply that shorting VIX is a direct substitution for a short Var Swap.

Sle, I think you should clarify this statement, as the two (short VIX and short a variance swap) are not functionally equivalent.

Yes

Not sure yet. I should probably spend a bit more time tweaking the inputs as I haven't been trading many options for a few years now. If I'm correct, these conditions would present about 12 times each year. Sometimes there might be a span of about two months with no trade. Win:Loss should...

I think this is going somewhere unproductive because we are sort of making two different points that are only somewhat crossing paths. I should clarify that my comments were made to demonstrate that iron condors inherently have a negative expectancy. That is not to say that a trader cannot...

It is very similar to a basic covered call/naked put strategy that I outlined not too long ago on another thread. This type of strategy is not an absolute return strategy. This is the perfect strategy for someone who doesn't have an edge and doesn't really want to try to get one. IOW, the...

"Beat the market" in any valid argument is referring to generating alpha over the long term. Beating the market without generating alpha is simply increasing risk incrementally to increased reward. My argument is that I've never seen a single verifiable paper explaining a methodical random...

I was at one time a heavy participant on that thread and I maintain contact with most of the credit spread advocates from that thread. I even had my own credit spread journal running during that time. Just a note, that I know of, none of the better known and respected participants on that...

I should've been more clear. There are no papers like that which promote a strategy that beats the market without taking on significantly greater risk. I made that exact same point. The goal isn't to lose money, it is to purchase peace of mind. Besides that, it is a completely different...

You just disagreed with me and then restated my exact point. :D

I'm not around here much anymore, but I've made my opinions known before. I was once a vertical spread trader. With that, comes iron condors too since they are simply two vertical spreads. What I realized is that the skill you refer to was the reason I was making money in options and it was...

There aren't any such papers that I'm aware of which include random entry as a parameter. If random entry isn't a parameter then the study is flawed. Example, if I show that bull put verticals have a positive expectancy when implemented at IV > 40. This doesn't suggest that selling vertical...

Nope, it holds even if markets are inefficient. You are simply adding an element of skill which I already acknowledged. Even if there are inefficiencies, for every buyer there is a seller. Still doesn't change the fact that the entire system has a negative expectancy by the amount of gross...

The blackjack example is a flawed analogy, as there is no slippage. A better gambling analogy would be a two-man poker game at a casino, where both players are equal in skill level. Sometimes player A will be positive, and sometimes it will be Player B. In the end though, the game is still...

The problem with Iron Condors is the same as the problem with every other option strategy out there. They are all negative expectancy. The common rebuttal to this statement is that for every option spread there is an opposing and offsetting spread. So if one has a negative expectancy, then...

No prob. These are just the basics, so make sure you have all the bases covered.

Yes, there is nothing necessarily wrong with the LLC. A limited partnership is more the industry standard, but LLC are becoming more common from what I hear. Anyway, the form D has to do with SEC regulations. The only reason that the SEC even cares about you in this case is because you're...

Sounds like you'll be pooling the money and since you are trading futures, you'll need to file an NFA exemption and a form D with the SEC. You'll also need to provide required documents to each of the other LLC members. Any reason you chose to form as an LLC?