My Nerves Are Shot

A lot of testosteron in this thread...

Anyway, HC, could you clarify what exact criteria do you use when you decide to enter into your trades. Lets break it into two separate questions
(a) how do you decide on the timing and level of vol?
(b) how do you decide on the structure of the trade?
 
Quote from Eliot Hosewater:

It's slide number 4, I thought I could stop the slideshow but it insists.
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4_1007home.jpg


No. 4 (tie)
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Quote from sle:
A lot of testosteron in this thread...

Anyway, HC, could you clarify what exact criteria do you use when you decide to enter into your trades. Lets break it into two separate questions
(a) how do you decide on the timing and level of vol?
(b) how do you decide on the structure of the trade?
More...
I think there's a thread in the Journals section... There's also a lengthy thread on the T2W Forum dedicated to HC's methodologies.
 
Funny u guys think some free tool is giving you accurate probabilities of touching, not touching, having a ham sandwich, based on nothing more than some simple math programmed by a high schooler.
 
I took another weekly vertical position Monday morning. Short the 1230 puts, long the 1220's for a whopping .25 cent credit.

Ok, stop laughing...
 
Quote from Arnie Guitar:

I took another weekly vertical position Monday morning. Short the 1230 puts, long the 1220's for a whopping .25 cent credit. Ok, stop laughing...
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I hope you did some size so that we can have another musical chairs thread this weekend.
 
Quote from stock777:

Funny u guys think some free tool is giving you accurate probabilities of touching, not touching, having a ham sandwich, based on nothing more than some simple math programmed by a high schooler.
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To many it has no value based on MG's discussion, but I did use the math I learned at the MIT of the Midwest. :)
 
Quote from spindr0:

I hope you did some size so that we can have another musical chairs thread this weekend.
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No, just one third of my available funds.
I'm a big chicken.
Doesn't mean I won't get nervous if we break through 1250 by Thursday...
 
Quote from HowardCohodas:
To many it has no value based on MG's discussion, but I did use the math I learned at the MIT of the Midwest. :)
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Ok, now that we mentioned schooling, let me make a couple points.

First, lets clarify the actual trading style. You are not really selling volatility per se, you are trading the terminal distribution. My understanding is that your selection is based on the following criteria
(a) proportion of the price of the spread to the width of the spread
(b) probability of touching the higher stirke based on some measure (you have not explained how it works just yet)

If you are using the implied volatility for the POT calculations, then you are creating a degenerate system - ratio of premium to the width of the spread is the indicator of probability of touching. If you are using probability of touching based on some other parameters (e.g. historical volatility, historical distributions etc), it would be a valid approach to capture alpha, albeit a very risky one.
 
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