Complex option strategy with superior risk-reward profile?

I have just created a structure with a similiar PnL graph. This time, the structure consists of "only" 5 positions.

However, I have one important question. If the structure has a position of 15 QQQ puts @strike 66, what is the equivalent position in MNX or NDX?

I noticed that the ratio is not simply 1:4 (MNX) or 1:40 (NDX). There is a residual... How can I replicate a position in QQQ options with NDX or MNX options?



Thanks a lot!
 

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It is humorous to me when someone thinks they have the secret trade and won't disclose strikes. Many a trader has dreamed of free long DN's to avoid of the pschological damage of theta bleed.

'Hope it does well for you.
 
Quote from EliteThink:

It is humorous to me when someone thinks they have the secret trade and won't disclose strikes. Many a trader has dreamed of free long DN's to avoid of the pschological damage of theta bleed.

'Hope it does well for you.
More...

There is no theta bleed... it is very minimal compared with a straddle. But wht do you mean with DN's?
 
Quote from samer1:

There is no theta bleed... it is very minimal compared with a straddle. But wht do you mean with DN's?
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free delta neutrals probably.. meaning you don't have cost of carrying the stock
 
Another modification of the base strategy.

Notice this:

The structure has a slightly negative delta and a negative vega. If the market rallies, IVs will fall (this correlation is siginficant!). Hence, the strategy offers very good protection.

I am still waiting for some answer on how to use MNX options instead of QQQ options. How can I replicate 20 QQQ options with MNX options? How do I choose the strike?

Thanks!
 

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dude.. without knowing what general combination your putting on.. your blowing in the wind with anyone trying to help you adjust right?
 
Quote from cdcaveman:

dude.. without knowing what general combination your putting on.. your blowing in the wind with anyone trying to help you adjust right?
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Consider me egoistic. But I can not reveal the strikes. This strategy rocks! I love it... even if it is flawed in the eyes of some traders...
 
Quote from samer1:

Consider me egoistic. But I can not reveal the strikes. This strategy rocks! I love it... even if it is flawed in the eyes of some traders...
More...

5 strikes * 10 = $ 100 commission
+
your current pnl.

i wanna see how this ends
 
It's unlikely this will go anywhere other than commissions. In a continious black scholes world, There won't be some optimal position where the 53 strike is more optimal than the 54 strike.

There's only like 3 parameters that matter here, you don't need 5 positions to manage that.

And the fact that the OP is being so secretive indicates that he doesn't understand how options models work.
 
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