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This isn't anything like a rout....

Actually people can come in a poke things at you without any explained reasoning.. just as you can make odd claims hoping to fish for insight from the more knowledgeable.. Thats the nature of the beast..

do you want someone to build a model for you?

the vols are creating new floors at higher levels with no exhaustive spikes that recede to lower levels.. The front of the curve is on the brink of inverting. We are ratcheting into a higher volatility environment. just a guess.

I would say.. stay small and grind out some mistakes via lessons..

of course not.. but goodluck

your fishing for proprietary information out of people.. I hope you didn't just figure that out..

how are you concatenating contracts together?

I'm long a bunch of sept/Oct calenders... So I'm short

i just would think over the life of your application these things might change.. this is why i mentioned letting the user specify the risk free rate of return.. as the whole idea of "risk free" is sort of left to ones own interpretation.. and even if you use a more typical treasury note.. those...

so in this package they use 0 as the default. i think you should leave it extensible with a default... so the user can pass it a value of what the risk free rate of return in his own view is for that time period..

http://cran.at.r-project.org/web/packages/PerformanceAnalytics/index.html look at the source for this package.. you can see how they are deriving it there.. I met all the contributors.. i know alot of people use these metrics.. but i don't know the details of what benchmark its derived from..

newworld was saying buy convexity in the direction vol is going .. he was referring to up

i would stop talking about what you think you know.. and start reading more.. http://blog.quantumfading.com/2009/06/01/leveraged-decay/

you need to start digging a little deeper Rocky... you have been messing around with these products for a while in a very superficial manner for a long time.... build a rudimentary model to trade against and talk about that.... welcome criticism... it does seem you are asking for help right?

you sell the put spread with the same strikes.. you end up with two offsetting synthetic positions called a box. short the 455 put long the 460 put this makes you long synthetic at 455 strike and short the synthetic at 460 i don't know who your broker is but you commissions will...

the difference between the sold and bought strike minux the credit...

i say whatever they call you own it.. the more you argue against it the more they will spend time driving down their case.. there is no profit to be had in this sort of venture... and frankly who in the world really cares .. motivations are either for ego or money... and i'd say if you derive...

sorry.. i have no words of wisdom :)

haha obviously thats not what i mean.. your selling the tails in this strategy.. so its best to do it in times when tails are overvalued.. and on indices.. this strategy doesn't work great as a contiguous roll type income strategy.. no matter what you have been advertised..