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OC , I finished back testing (Fly) for last 2 1/2 years. Let me know if you/anyone want to see results , I will post the file.

not sure about hedging , but a second strategy works well for uncle Vito from barber shop for many years now , hahaha

to calculate your "friendly" broker edge : 1. Cash needed to win 100$ on some "Touch" bet (let say its 60$ to win a 100) 2. Use the SAME condition for a "No touch" bet ( 57$ to win a 100$) 3 Add both bets and now you must pay 117$ to guarantee a 100$ win. The house edge in this case is...

You must be Swedish to understand Greek , hahaha

1. Its easy to double check , payout must add to "zero sum game" (lol). 7% chance means : When you take this bet 100 times , you will pay 100 times 1$(100$ total) You will win 7 times , 14.3$ each for a total of 100$. The sum is zero. 2. The reverse(will NOT happen) payout is (100/93=1.07...

no , the payout is for every 1$ ( the odds in the example above are just 7% if you took the "will happen" bet). I think it will work with exp>10 , but then one needs more historical data (300 days , 500 ?) and some reference to Stats Vols. I build this type of calculator when I was following...

You can build your own calculator in Excel , works pretty accurate for exp < than 10 days . 1. Export daily data to excel(last 110 days) 2. insert counter formula to calculate how many days conditions=true ( must use intraday hi-low) 3. Divide 100 by result ( if counter=7 , then pay of =...

very weird... all inserted Excel formulas disappeared , displays only values(correct ones). Please disregard.

I made a simple format for testing ( this or other SPX strategy). Note : all calcs on the ASK , one should add/deduct spread as needed. Insert numbers in column "O" only , and double check all ; I did it really fast.

I do my own cals using B&S. I have a lot of "rules and exceptions" to avoid fake and crazy volatility numbers.

end of the range will make wings 3-3.5% away from the ATM strike. Good point , I will recalculate and compare with old results. Thanks for replying

agree on all. Well , I trade stocks only when I expect additional "edge" (which not exists on Index) : spike in vols for 60d position. The results on SPX are just paper , but still looks good. I am not sure if one can make adjustments here ; the only one I see its to buy back one of the short...

OC , did you ever looked at this strategy on SPX : 1. Short 30d ATM straddle 2. Long 60d wings (2% away from ATM) The results looks very good. I do it with stocks ( under certain conditions) and I wonder if you ever tryed the same with Index.

yesterday potential RC candidate , IFIN. While the price action was very disappointing ( only 3.5% , this stock moved 20+ many times before) , position still broke even because of neutral vega. Notice , that long (APR) already at the max loss ; if price will continue to go down , the short...

agree , real profit comes only with large move , but the neutral (or almost ) vega allowed you to participate in potential big price move without risking a lot.

Unless stock tanks big , the "morning after" vols on INFY will definetly break , let's use 27 , then: APR vega loss = (50-27)*.05=1.15 MAY vega loss=(35-27)*.10=0.80 From here your guess is good as my (price action). I do 1:1 ratio calls(or puts) only , and only if stock's price is...

I don't think you can go by simple " lot higher" here. APR vols was at 65 with vega of 3.3 and MAY at 45 with 6.4 , so if tomorrow vols will collapse to low 30 , then APR will lose 1.05 BUT MAY will also lose 90-95 cents. Not exactly vega neutral , but not so bad r/r to take an almost "free"...

IFIN ---> RC possible candidate , maybe even long APR combo into potential after report move. Today , ac

btw , GILD did NOT moved a lot in the last five earning's report : -.3 , 2.6 , 0 , -4.6 , 5.1. You need 6% gain in price from current levels just to break even, But everything is possible. Good luck

maybe you should re think statement " 1k to 100k = nice double digit gains"; otherwise somebody will be tempted to take other side of your trade(s).