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That's fine, like I said, I was just noting that, I'm not grabbing a pitchfork. Out of curiosity, given you have relevant data already prepared, I've always wondered what is the maximum absolute move the SPX has made in a 5 day period from close to close in your data? and how many times has it...

Not jumping on any witchhunt bandwagons, but I will note that the screenshot of your spreadsheet where you show SPX 1% moves has a cell that contains the words "See forum for more info".

Yes straddle margin is definitely the other issue. The fly is probably the best choice given you can lock in your max loss on entry, makes it easier to manage the position. Interesting thesis paper here, ties in with what i previously mentioned around earnings straddle mispricing in lesser...

Thanks for the replies. Lindq - As i mentioned in my first post - I've found some companies were the sale of a straddle the day before earnings and purchase the day after has been profitable the last 8-10 earnings events. This to means that the MM's consistently over estimate the implied move...

What are peoples thoughts on trading earnings on stocks were the atm straddle is clearly mispriced and shown a consistent short bias? ie. a stock where selling the atm straddle the day before earnings and buying the day after has been profitably 9-10 times in a row? Few thoughts, position...

Hi All, Long time lurker, first time poster. Looked high and low for some guidance in relation to the issue raised in the title, with no luck. I thought I'd give here a try considering the depth of knowledge of many of the posters. Essentially I have some 6 and 8 leg strategies that I want to...