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Interesting. Truth be told, I really don't know the answer and am definitely not at your depth of expertise, that was just a theory I had in my head to explain the skew in a way which made sense to me. I hope I have not misunderstood your explaination, but if your theory/observation is true...

Leverage makes all the difference....

Pls correct me if I'm wrong on this assumption, but I've always thought that the volatility skews were due to: - most options pricing models adopting the normal distribution instead of the log-normal distribution in their calculation of options prices, hence not reflecting the actual...

thanks for the clarification.

Does this work only with commodity options, or will it also work with stock or stock index options?

Thanks for the offer, I've sent you an email.

Does anyone know of a serivce or website where I could get an updated value of the skewness and kurtosis of a particular stock's distribution? Thanks.

To Jahajee, Not sure if you missed reading my question to you above. You were asking for an intelligent discussion and I posted what I felt were reasonable questions on your strategy above. Would you care to comment?

Yes I agree with you. However, the OP stated that the fund made 100% returns a year. I think to make those kind of returns, you need to be quite highly leveraged if you're selling naked options. Could you elaborate on what is meant by a "sonsecutive capture of 3% of the stock price regardlss...

ok thanks.

I'm assuming you've done this before, do you mind sharing on the following? What happens when the underlying hits your futures trigger point early on in the trade (i.e. your put has 25 days left), and the puts you sold still has a lot of time value left in it? Will you close out the position...

If they were highly leveraged, I think they might even have a problem entering orders into their brokerage platform to get out of the losing trade if IVs really exploded, as they'd have tied up all their margins I expect. As the markets are tanking, they start to panic and try to get their...

I shiver when I hear the words selling naked options. With stocks, you can only lose the money you invested. With options, you're highly leveraged and you can lose a lot more than the amount you're margined. His plan to roll them to the next month is akin to playing the martingale game. In...

There is a downside though, your profit on the upside is limited to the premium you collect. So if the underlying rallies more, you lose out on the extra gains. If you want to mitigate this by selling deeper ITM puts, then the extrinsic time value you're hoping to make will get less and less...

kiwi_trader, how do you get access to these options? Are they available on TOS or IB? Thanks.

Good idea! Thanks very much for the recommendation.

Yes the Backtrader is for the historical option quotes. It even gives the bid-ask spread at that time. It's not perfect by any means, but I think it's the best option for now. I'm not using it now as I'm on TOS, but I do miss the Backtesting feature. It's not hard to backtest. There's no...

You can bactest it in a software called OptionVue. You'll need the Backtrader module if you want to backtest. It's data moves forward in 15 min blocks, but it might be the best option you have. It'll also include IV charts so that'll help in picking the vehicles you want to do it on.

Thanks Eric. I downloaded it and it's a very nice piece of software. The Monte Carlo simulation is really fast! Almost instantaneous. And the printout is nice, showing 95% confidence levels. I also like the fact that the randomized samples show the different number of contracts traded...

Everyone, thanks so much for the recommendations. I looked through all the recommendataions, and apologise that I wasn't clear on what I was looking for. I actually want a Monte Carlo simulation that I can also experiment with various position sizing strategies to look at the probable...