Butterfly has 3 legs of strikes, with qty x, 2x, x, respectively.
Are there any useful constructs with more than 3 legs?
Are there any useful constructs with more than 3 legs?
Constructs with more than 3 legs
- Thread starter earth_imperator
- Start date
Robert Morse
Sponsor
Iron Condor and Box spread. Both have 4 legs.
I suggest you put on a 2 week butterfly on a $20 stock and see how it moves. You'll learn more from that than a 1000 questions. And it's only a $20 stock so you shouldn't lose much.
Yeah, the more legs the harder to handle it as a whole.
Even just 2 legs are sometimes hard to get filled.
I'm doing some low-level research on such multi-leg combinations...
For example even combining just 5 strikes in upto 4 legs can get complicated:
Code:
v=5 k=4 --> n=30
1 : 0
2 : 0 1
3 : 0 1 2
4 : 0 1 2 3
5 : 0 1 2 4
6 : 0 1 3
7 : 0 1 3 4
8 : 0 1 4
9 : 0 2
10 : 0 2 3
11 : 0 2 3 4
12 : 0 2 4
13 : 0 3
14 : 0 3 4
15 : 0 4
16 : 1
17 : 1 2
18 : 1 2 3
19 : 1 2 3 4
20 : 1 2 4
21 : 1 3
22 : 1 3 4
23 : 1 4
24 : 2
25 : 2 3
26 : 2 3 4
27 : 2 4
28 : 3
29 : 3 4
30 : 4
n=30
n_each_digit=15
n_all_digits=75
n_per_k: 1:5 2:10 3:10 4:5
choose(v, i) :
5,1 :5 sum=5
5,2 :10 sum=15
5,3 :10 sum=25
5,4 :5 sum=30
choose(v, i) * i :
5,1 :5 sum=5
5,2 :20 sum=25
5,3 :30 sum=55
5,4 :20 sum=75
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I'm doing some low-level research on such multi-leg combinations...
For example even combining just 5 strikes in upto 4 legs can get complicated:
Code:v=5 k=4 --> n=30 1 : 0 2 : 0 1 3 : 0 1 2 4 : 0 1 2 3 5 : 0 1 2 4 6 : 0 1 3 7 : 0 1 3 4 8 : 0 1 4 9 : 0 2 10 : 0 2 3 11 : 0 2 3 4 12 : 0 2 4 13 : 0 3 14 : 0 3 4 15 : 0 4 16 : 1 17 : 1 2 18 : 1 2 3 19 : 1 2 3 4 20 : 1 2 4 21 : 1 3 22 : 1 3 4 23 : 1 4 24 : 2 25 : 2 3 26 : 2 3 4 27 : 2 4 28 : 3 29 : 3 4 30 : 4 n=30 n_each_digit=15 n_all_digits=75 n_per_k: 1:5 2:10 3:10 4:5 choose(v, i) : 5,1 :5 sum=5 5,2 :10 sum=15 5,3 :10 sum=25 5,4 :5 sum=30 choose(v, i) * i : 5,1 :5 sum=5 5,2 :20 sum=25 5,3 :30 sum=55 5,4 :20 sum=75
Did you know that the CME gives serious performance bond discounts on futures condors? They have 4 legs. Man, you should see the glory of how fucked up it is, because there is no strike per se.
Your mind would be blown.
Is this real, or are you just talking some nonsense to irritate me?
How are their 4 legs then made up if they don't use any strikes?
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The "strike" in those cases is not a price, but simply the expiration dates.
Here's an example...
The average performance bond across those months is $8000 per contract.
In the case of the green box, you are long (short) October and December, and short (long) November and January a total of 8 contracts. That's $64,000 in outright margin, and look at that discount! Just $650! Nice!
The blue box is much simpler. Long (or short) October and January, and short (or long) November and December. Instead of 32K, you put up 700 bux.
But as you can see, there are 4 legs. The idea is to capture the moves on each leg as you see fit. The most efficient way to do this is with an exchange-traded spread instrument tag that handles all legs in one fell swoop with each trade made. All-in, then all-out. That is @bone territory. It is something I messed with manually years ago, and saw those discounts in my statements when trading CL, but then lost my way and got caught up with equity indices. Bleh, hehe.
https://www.cmegroup.com/markets/en...de.margins.html#marginsTab=INTRA&pageNumber=1
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How does the CME call this type of constructs, or their such products?
Something with "ratio" I guess.
Something with "ratio" I guess.