Search results

Did you ever try it? Won't work nearly as good as you expect. Once te numbers are out the IV goes out. Might even consider selling straddles before numbers, if I had the nerve. Short timespread would be best if you think IV is too high and expect a move. Ursa..

But that's my point. The net cost is not $1 better, the price in the market is what you pay for it. You are just pretending that the $2 don't count, because it is on paper. But they do count. You pay the actual price, using the gains on the straddle. Deciding to convert is the same as...

Synic, again, the strategy does have attractive sided and I'm not trying to dismiss it, but my point is that, when dissecting the actual decision-making, what you do is selling the call and buying a (synthetic) straddle. The reasons for doing so might me valid, but IMO the fact that you already...

Yes, I have done that too for some time, and is kind of satisfying to stack a new fly to the collection every week or so. However, at expiration the underlyer was always outside the wings, so none paid off. I didn't lose either and it was fun and valuable lessons, but it is a lot of work for the...

Your method of buying cheap irons is still looking very attractive, and of course owning an iron fly for less than it should cost gives you a statistical edge, once it is established. However, and this question is nagging me for some time now, at the moment you decide to buy in the wings...

I agree. I got the book by accident (coupled order at Amazon). There are indeed a lot of errors in it. Also theoretical foundation is absent ("leave that to the quants") and other than saying that FOTM options are so ridiculously far away that risk is almost absent there is no discourse on...

No, I agree completely with your definition. I'd better said "a strategy might have an expectancy...." Ursa...

I think a follow up would better be called: Options Trading Strategies for a living: how to turn a negative expectancy into a positive one (and take zillions from the market) Ursa..

OK, that was very interesing. This discussion certainly aligned some of the basic assumptions about options trading and exposed a few doubts I already had. Conclusion: there is no inherent expectancy in any option position, no matter how simple or complicated. In hindsight this is so...

I tend to agree with that. Any follow-up trade in itself involves a decision-making process. That means making an assumption about the future. Completing a condor after some weeks have passed can be the right decision only in hindsight. In other cases it would have been better to leave the outer...

Hmmm. Maybe you could start where you left of. You tossed us a bone about adjustments being able to turn a series of option combinations, that for themselves have all zero expectancy, into something that does have a non-zero expectancy. It would be sad to let this important line of thought...

Why do you think somebody will let you short that option and why at that price, why not half that or double that price? Someone is willing to pay you the premium, ever wonderd why? Because, based on simple stochastic math and based on some estimate of the underlyings volatility, the expected...

That is an interesting proviso you make here. I've seen only a few publications where actual realised vol is in hindsight compared to the previous implied vol, thus comparing the market estimate of a volatility with the actual outcome (Baird in OMM does it on pg 30 by shifting the HV 20 days to...

OK, I put away the gun, if only to read the following 30 pages :p . (Didn't know my post sounded so depressing) I now see kubilai was faster in replying. My question would be along the same lines: any adjustment is itself (equivalent to) another combination of options. Since we just...

OK, going back to the seller/buyer equivalence, a very interesting discussion that makes these fore worthwhile. Basically the reasoning is that, since the statistically expected expiring value of an option is priced-in as the time-premium, there is no advantage in buying options vs. selling...

So what about the metrocards? :D

LOL! :p

How do you estimate what is a "pretty favorable risk:reward profile"? I can see that a OTM spread has little cost and could possibly widen to the max of the distance between strikes, but you have to incorporate the probability of this happening as well. Otherwise, why not buy just the cheapest...

Could you explain how that works, because my feeling is that most important market participants use the same, fastest news sources and will be at least at fast as you in their reactions. How can you make a difference compared to the large amounts they're trading? Ursa..

On this forum there is so much talking about traits an good trader should have. Also numerous books about that subject too. I never gave it a second thought, but to me it was always evident that all bad traits a trader could have are typically male, and all desirable traits are female. Just...