Not so fat tails

[IV_Trader]

more than 30% annual gain if one can handle 10/1 negative to positive ratio...

Conditions :

Buy SPX strangle ( OTM , wings=2.5% away from current price ) , when time to expiration = 5 days.
Cost of straddle= 50 cents (on the ask), all profits are based on intrinsic value only , so spread is a non-issue.

 

[Li Ka Shing]

Hi,

Do you mean strangle? Not straddle, right?

Interesting, but it's only 2 years, maybe if it's longer there will be bigger fat tails in total...