Poor Man's Covered Call vs traditional long stock portfolio
- Thread starter morganpbrown
- Start date
and if you feel like you’re in control, you’re not going fast enough.
that was my quote.
Bullshit. Nobody speaks highly of me. Stop with the lies.
Finally got some of the back-end code working for my B-S tool. Using google apps scripts and a google sheet. Beats visual basic, but if I add any more complexity, it's better to use a real language.
First thing I did was sample IV for a variety of expirations and deltas. Then I fit a plane to the IV(DTE,delta) picks (see the heat map). Dunno if this kind of thing is done, but I needed a mechanism to supply B-S with a realistic IV as DTE & delta change. It has been a real eye-opener to me just how much IV varies within a given underlying's options.
I simply modeled the diagonal that I have on now. Long the 90 DTE, 70 delta SPY call, short the 27 DTE, 42 delta call. So the spread is net 28 delta. When I simulate a steady decline (-0.1%/day) in the underlying, something interesting happens. The P&L curve stays pretty flat until net delta hits ~45. This is about where I would roll the short call anyway.
I do note that the net gamma flips from negative to positive, about when things go to crap. So I guess that's some more homework.
I'm still unable to read greater significance in the greeks, but at least I have pictures to stare at. Maybe some insight will set in via osmosis.
My thesis is that SLE is Euan.
Still scratching my head on how the Syn straddle performs better than outright shorting the natural at 60D, but coming from you guys I don't have the slightest doubt it does!
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