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Long Iron Butterfly, Long Iron Condor, Wrangles and their Synthetics: Risk, Reward, G
- Thread starter CPTrader
- Start date
Quote from riskarb:
Long or short gamma? Where is the peak of the P&L distribution? That's an impossible task for short gamma/+expectation. If you were to sell deep otm call and put spreads the credit received would be miniscule.
That is precisely the issue with deep OTM put/call spreads, you receive negligible credit.
As per being long or short gamma, preferably long gamma, but indiffireent as long as the position does not have an unlimited loss profile. The P & L distribution should roughly peak in the middle of 60% of the range
Quote from CPTrader:
That is precisely the issue with deep OTM put/call spreads, you receive negligible credit.
As per being long or short gamma, preferably long gamma, but indiffireent as long as the position does not have an unlimited loss profile. The P & L distribution should roughly peak in the middle of 60% of the range
With no risk comes no reward. I'm sorry, but this is the reality of option trading.
Quote from Maverick74:
With no risk comes no reward. I'm sorry, but this is the reality of option trading.
No risk, no rewrad, that's traidng, atht;s life.
do I take this to mean that it is impossible to create the position I desire. If so, is there an approximate option position that would meet the previously stated specs?
Quote from CPTrader:
No risk, no rewrad, that's traidng, atht;s life.
do I take this to mean that it is impossible to create the position I desire. If so, is there an approximate option position that would meet the previously stated specs?
The position would need to resemble a wrangle or backspread, but you're talking a -expectation. If you're ok with that then a call/put backspread(wrangle) would be the best fit. Limited gamma/vega risk; far less than a long straddle or strangle.
There is no +expectation trade that satisfies your req.
Quote from riskarb:
The position would need to resemble a wrangle or backspread, but you're talking a -expectation. If you're ok with that then a call/put backspread(wrangle) would be the best fit. Limited gamma/vega risk; far less than a long straddle or strangle.
There is no +expectation trade that satisfies your req.
when you say +expectation, I presume you mean high probability of being profitable/short gamma?? In that vein, wouldn't a long straddle/starngle, have a -expectaion, or do I misunderstand you?
With a wrangle, using my example of a 1025/1145 range and undeRLying at 1106 what strikes would you consider appropriate to construct the wrangle position. Thanks a lot.
Quote from CPTrader:
when you say +expectation, I presume you mean high probability of being profitable/short gamma?? In that vein, wouldn't a long straddle/starngle, have a -expectaion. or do I misunderstand you?
With a wrangle, using my example of a 1025/1145 range and undelrying at 1106 what strikes would you consider appropriate to construct the wrangle position. Thanks a lot.
right, a long straddle has a -expectation. I was contrasting the risks of one -expectation trade with another(wrangle vs. straddle)