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Take SPY as the obvious example. Mar 18 2022 400 call = $59.70, SPY price = $452.30. $52.30 of intrinsic value, $7.40 of extrinsic value. The extrinsic value is 12.4% of the option price; this is the price of your insurance. Over 2 months, let's say SPY moves up by $20 to $472.50. The call...

Look at fewer DTE. 80-90 delta. Roll when it gets to 90 DTE and you'll keep most of the extrinsic value. What underlying are you trading? I cant see it on your option tool

You could just buy a long dated, deep ITM call option. Unlimited upside with limited downside. Cost of insurance is the extrinsic value of the call. Downsides: sometimes poor liquidity, no dividends, short term capital gains

Do you need to actually own the stock?

All while the current CEO spends his free time DJ'ing. :rolleyes:

Interesting. Are you mainly trading simple spreads or something more complicated? Are you trading short term bets mostly?

I went to the grocery store last night and ill be damned if the toilet paper/paper towel aisle was about empty. That and my beloved Snyder's hard sourdough pretzels :rolleyes:

I have one of his books. He searches for stocks with earnings acceleration. Too bad none of todays highfliers have actual earnings.

f*ck it, I'm going to K-mart to buy one of those $100 compact cars. :D

haha, I shouldn't have said "nary". I have actually dicked around with a couple non-PMCC trades (wow!) and closed them without a clear understanding of what happened, other than volatility dropped when I expected it to rise. So I definitely have your disease ("I need to get my hands on the...

To those who do this profitably (and hell, even to those who don't!)... Is your "typical" trade a simple strategy (2-option spreads, condors/butterflies) or a more complex multi-option trade (or trades)? (Background: I am reinventing the wheel, errr I mean, building up my modeling...

Here's a set of P&L curves for the above mentioned diagonal call spread, along the lines you were thinking. In this case, I vary the strip volatility up (+vol) or down (-vol) by 1%/day. So over the course of 15 days, that's +/- 15%. The green curve just shows the P&L of the -vol case at 16...

That is true. I could certainly do a Monte Carlo type analysis that I doubt the typical broker software would do

It's a bit more work to make these "typical" P&L graphs, but I agree with you that I should do it. That is probably the most intuitive way to visualize.

I think you commented on this in a previous post, but this options game is notable for the magnitude of disconnect between "book knowledge" and real-world success. I mean, in any field, you don't let academics put the rivets in the fighter jet, but man, options is crazy. That (futile) "best...

My bad. The long leg is indeed Dec 17 expiration. I was actually simulating a diagonal call spread. I'm not explicitly using VIX in the modeling. I had mental bounds on how far I thought the VIX could move in 2 weeks from its current level of 20. 17 to the downside (15% decrease), 27 to...

I'm slowly grinding my way toward intuition and possibly action... I'm trying to stress-test a position. In this example, it is a bull call spread on SPY. Long 427 call expiring Dec 17, IV 18.9%, 59 delta Short 434 call expiring Oct 29, IV 16.7%, 49 delta I test 4 end-member cases (over 16...

Is this sort of your alternative to holding a bunch of cash? Or are you keeping the cash stash in a different account?

Let me ask anyone who knows what the hell they're doing a simple question: Are you primarily trading volatility or underlying price? Or something else/neither/both?

I've not heard of the "C = Spot x Vol x Sqrt(Time) x 0.40" rule-of-thumb equation, but it sure is convenient. I assume this is only for ATM calls? Now I can see the pernicious effects of good old vague-a. Crystal clear. If the vol of the long call moves by -0.02, from 0.16 to 0.14, the...