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if you sell 1210 and buy 1200 (puts) for 40 cents and do similar with calls , aren't you getting 80 cents for max profit of 80 and max loss of 9.20 ? So why LOL ? If you don't want my opinion on your board , fine with me. Good luck

actually you can do it with spreads if it's better for your margins. Looks like now you getting 80 cents for both puts and calls in the 10 point spread(9.2 max loss). One can get 2.20 for 5 point spread ( 2.80 max loss) for the first entry and enter new zone/positions when market go against him .

I think one can build the double barrier touch/no touch bets with the Weeklies via strangles, it should be very very close to odds that you getting (considering short time period). And if one can , them the house edge goes down to ask/bid spread instead of 15% . Now if I only can figure the how...

from your sample the weighted basket IV=20.75 , then divide by 1.2 that represent ratio between the Index and amount of components (in this case , 5). The 1.2 is my own algorithm , so its all IMO. Good luck

17.3

I understand this , coach , but the first entry should be for a 1/4 only , so its almost the same.

you should consider cascading entry of short strangles , try to paper trade it at first.

and all those "spectacular" numbers are based on voluntary reporting , you just can imagine how would they look if you include the ones that already closed the doors

if you are saying that trading GIMMICKS are dying slow death and veterans mm's LICENSE to STEAL are about to expire(or already did in many cases) , then I agree with you

thanks , Don. Your reply just reaffirms my initial thoughts about balancing something not linear. I already find my own solution how to address this situation. The above position wasn't real yet , good that I run "what if" scenarios first

thanks for replying , R-A . I will put the real # below to clarify it more: XYZ at 100 , IV=25 Long 60 days ATM straddle ( gamma=3.9) , cost 8$ Short 30 days ATM straddle ( gamma=5.5), cost 5.60$ If I go by gamma (5.5/3.9) then the ratio is 1.4 , so: 14 long 10 short After 30...

thanks for all the sources , SS , I will take a look . I don't think that those simple calculations (in your sample , 2:1) will work on the combo level and that is my major concern.

Below is a sample of position : Long 60 days delta neutral combo Short 30 days combo I'm trying to figure out the ratio based on Gamma(don't have a lot of experience here; never needed before) , but I'm confused how can one get neutral/balanced on something that is not linear. Instead of...

looks like every type of the spread journal concentrates on the Index as a trading entity. Is this a liquidity issue ? Why to narrow search for the best candidates to so few (and so similar) choices ? There is a good size of stocks universe (liquid , low spread , high nominals) that one can find...

I find what was wrong in my formula , the real odds was 21%(payout of 285k that represents appx 15% of "house adventage"). I went with DAX historical # instead of vols. A bit complex , but by the end the answers is pretty simple : in the last 100 days it was only 21 times when DAX moved<88...

I calculate the no touch odds to be at 31% ( hence , the payout = 209600 including the premium paid). I don't understand how they took/offered the 240k payout (26% chance of no touch). Obviously my calcs are incorrect (cannot find why) . Riskarb , do you have a tool to calculate those odds? Thanks

mastic , that what I meant when I said i'm not trying to confuse anyone... In my answer to Alassio , I try to point to all pros and cons when one uses fewer amount of stocks. This time I will put it in numbers . Index conditions : price=100 , IV=14. Basket : 4 stocks(A,B,C,D) ...

the less components you using the more chances you have for ALL ( in your case 5) of them to be at the same side of the axis (all positive or all negative) by end of the month. Then the basket % change will always be equal the Index's , but you paid much higher vols for the longs that you...

great posting , mystic. Would you be able to post similar doc before 11/21 ( DEC entry) ? I would like to paper test it. Attached is Excel P&L calculator that I made one and a half years ago before I started back testing. 1. Change input # ONLY in yellow cells 2. Column B13 never can be <...

1. if XYZ's IV was at 60 two years ago (while VIX was 30 , ratio=2) and it's current IV at 30 ( VIX at 15 , so ratio is still 2) is current IV "cheap" compare to historical ? 2. After reading all those posts I am not sure if I am doing what anybody else does ( not sure yet if its a good or a...