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Very interesting.. I got 2 questions: 1) why don't you just sell some wings in the very moment you roll? Why waiting later? 2) in which ratio are you long wings vs the shorts?

in a choppy market and in a trendy market the lookback period should be different. You should have a secondary system to adjust the lookback according to market conditions

update: tested also the last period (2021~2022 until now), results and equity curve are similar to the 2016~2021 period

Hi all, I developed a system that I think might be ready for live testing. On paper, the stats look good. The test was done on a basket of 2334 stocks, from Jan 2016 to Dec 2021. I trade chinese equities, I especially picked that period because it had quite a few brutal moments. The system is...

Yes, neg. gamma is a bitch. do you use a specific threshold? On that topic, someone infinitely more knowledgeable than me said that he preferred to watch theta as a proxy for gamma, as it was expressed as a dollar value rather than an abstract number.

Hi all, just would like to know what's your approach when managing a naked short. Everyone feels like a genius when making money selling naked puts for the first time, but then eventually comes that black swan event that makes you rethink your strategy With some measure of risk control...

you can try implementing a local volatility model. There are many models around. The one in the link uses Dupire's formula and (compared to others) is relatively simple. https://financetrainingcourse.com/education/building-implied-local-volatility-surfaces-excel/

Well that's the point. I don't think it its a good idea either. Wanted to know if anyone could improve upon that..

Alright.. Verdict of the board: (yet again) no free lunch..

www.optioncreator.com basic functions but it's free, you can input as many legs as you want and you can see the final payoff as well as the payoff curve at different DTE and vol levels

I'm not in the US and not trading US options that's why I can do it, its not illegal here, or at least I have the option on my broker interface and at the end of the day conflicting positions simply cancel each other. No one ever knocked at my door because of that. My question was more of the...

such a long dated option is more influenced by changes in implied volatility than changes in spot price

well it was just an idea, just wanted to hear if anyone had a more creative idea..

yes of course if entered at the same time they cancel each other. I figured I could first wait to see if the long makes money, then close the long and wait for the short to mean revert..

haha there is no illegal stuff involved.. the market rules here are very different from the US. I just discovered there is this possibility, wondering if it can be exploited in any way that is meaningful for a retail trader, I'm not planning to manipulate the markets..

..you could at the same time be short and long the exact same contract (same type, strike and tenor)? With the caveat that at the end of the day all double positions are automatically closed. Just asking for a friend..

If your handle was proey_mcpro they would warmly welcome your criticism

today has been a disaster. instead of a move down, I got a massive push up, touching 3.058. I haven't done anything because actually most part of the move happened in <15 minutes and then it kept on swinging erratically around the same level. Lost a ton on delta and vega (another -3%). In...

this is like the martingale strategy for stocks: stock drops and you double down, stock drops again and you double down again etc, when stock recovers the initial value you make a shitload of $$$. The strategy can never fail, as long as you have enough money to double down. The problem in real...

I don't think he offended anyone. It's more likely that either: 1)nobody was willing to spend political capital to save him 2)it was something too big to be simply swept under the rug 3)they used this case to send a warning to the industry