When i'm looking @ the various wingspan possibilities (condor vs butterfly vs albatross) i find myself just kind of intuitively (rightly or wrongly) being drawn to one when i look @ the options chain amd greeks (granted, @ a rudimentary level). what i am wondering is whether there is a more statistical (read: intelligent) way of selecting the wingspan that gives me the greatest statistically advantage and/or most favourable risk/reward given the parameters (underlying price, IV, etc)?
easier question: when selecting between a 'regular' call condor, albatross, etc and the 'iron' version- is it simply a question of looking at the pricing of the calls vs the puts and seeing if there is a price advantage in one over the other? ie: simply if selling the calls gives me a credit of .95, and selling the puts= .85, i write the calls and there is no other analysis to do. correct?
finally, kinda a long shot related to the first question: is there a database/program which shows generic (ie: not stock specific) statistical history of the probabilities of various strategies given different parameters you plug in. ie:
long straddle on a stock priced @ x, with x days til expiration, with an IV of x= x % historically have been profitable, x % have expired worthless, etc.
probably a pipe dream, but figured i'd ask- maybe learn what data source has the closes thing to it.
i ask because my studying made me recall an arrogant ass i met in 1998 who kinda belittled stock managers (ie: my job) as clueless unscientific gamblers- he was an equity options trader. he claimed he knew the exact statistical probabilities of his trades beforehand and, given his sophisticated risk management, over time his returns were predictable and positive. he claimed to average >50% annual. i know he was successful, but, in our business, success can often be due to marketing prowess and high management fees- not returns. he did say that, @ less than $40mm under management (very little in our business), he wouldn't take additional money because he wouldn't be able to do as well.
ot: if you want to see a great example of marketing over returns- look @ the fees and returns on superfund (ie: thank god regulations prohibit me from telling you more about how lousy we are. PLEASE don't read the prospectus until after you send the $)
easier question: when selecting between a 'regular' call condor, albatross, etc and the 'iron' version- is it simply a question of looking at the pricing of the calls vs the puts and seeing if there is a price advantage in one over the other? ie: simply if selling the calls gives me a credit of .95, and selling the puts= .85, i write the calls and there is no other analysis to do. correct?
finally, kinda a long shot related to the first question: is there a database/program which shows generic (ie: not stock specific) statistical history of the probabilities of various strategies given different parameters you plug in. ie:
long straddle on a stock priced @ x, with x days til expiration, with an IV of x= x % historically have been profitable, x % have expired worthless, etc.
probably a pipe dream, but figured i'd ask- maybe learn what data source has the closes thing to it.
i ask because my studying made me recall an arrogant ass i met in 1998 who kinda belittled stock managers (ie: my job) as clueless unscientific gamblers- he was an equity options trader. he claimed he knew the exact statistical probabilities of his trades beforehand and, given his sophisticated risk management, over time his returns were predictable and positive. he claimed to average >50% annual. i know he was successful, but, in our business, success can often be due to marketing prowess and high management fees- not returns. he did say that, @ less than $40mm under management (very little in our business), he wouldn't take additional money because he wouldn't be able to do as well.
ot: if you want to see a great example of marketing over returns- look @ the fees and returns on superfund (ie: thank god regulations prohibit me from telling you more about how lousy we are. PLEASE don't read the prospectus until after you send the $)
:eek: