Markets (options) efficiency
- Thread starter IV_Trader
- Start date
By flat I mean neither positive or negative. In other words flat means zero.
Isn't that what you mean by flat in your previous post?
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hehe â¦nice try , atty. I think results will be flat/neitherâ¦And btw , I am both long and shortâ¦just depends WHICH ones.
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By results I understand the straddle values at the expiration. By flat I understand the total values will be 0.
Isn't that what you mean by flat in your previous post?
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hehe â¦nice try , atty. I think results will be flat/neitherâ¦And btw , I am both long and shortâ¦just depends WHICH ones.
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By results I understand the straddle values at the expiration. By flat I understand the total values will be 0.
Oh , I see. I meant that sum of all intrinsic values at expiration will be equal to initial premium received (or paid) , which was 6100$. BTW , the total bid/ask spread is around 250$ (1250 stocks * 20c per straddle) , so b/e for retail âlongsâ is 6100$ and for âshortsâ is 5850$
May I ask you a question. In what way your simulation is different from simply selling a straddle on s&p 500 ( at the current market price ) and buying the s&p 500 strangle ( with the call above and the put below the market price )? How far apart are this 2 simulations? Does it play any role in the final results the fact that the long strangle is not at the market price?
This experiment if meant for March only is wrong headed. To reach a conclusion you need to test it for at least 24 months.
IV_trader: have you ever taken a course on statistics/probability?
IV_trader: have you ever taken a course on statistics/probability?
Thanks , Preval
There are a lot of tricks to go around 20Y testing. You can create your own âexpirationâ within the same month by shifting start-end day by one ( 20th to 20th , 21 to 21 , 22-22 â¦). Then you get 30 results in one month. Also, markets efficiencies (or not) should work the same for diff time frames ( a week , 10d , two month).
Like I stated beforeâ¦I was boredâ¦
