- Question about Volatility when selling premium?

[TempusFugit]

Quote from saturnine:

I'm not certain what you are selling premium on, but I can assure you that an experienced trader can generate substantially more than 10-25% annually with short option strategies... I would go as far as to say > 10% monthly is quite achievable for aggressive/informed traders consistently. I may even be conservative with my collective estimation. My comments are in regard to those who are performing said strategies on U.S. securities.

Building on my first post in this thread...

Gallacher in The Options Edge does an empirical investigation of this issue and concludes that 30% is a reasonable expected ROI.

Max Ansbacher seems to do 20-40% ROI by selling OTM S&P options.

I would not characterize either of these approaches as "aggressive" (and Ansbacher is actually quite conservative and risk adverse). So, I submit that these data support Saturnine's statement quoted above.

 

[riskarb]

Quote from Hello_Dollars:

Right, but with a diagonalized iron condor, you'll have positive vega vs. negative vega with a straight IC. You'll also have more positive theta and a wider profit range. The trade-off is more upside/downside risk.

I referred him to the Liffe site for P&L curves, I think I mentioned the diag. is long vega... The vertical condor/fly has very little short vega exposure.

Sell those puts HD!

riskarb.

 

[Hello_Dollars]

Quote from riskarb:

I referred him to the Liffe site for P&L curves, I think I mentioned the diag. is long vega... The vertical condor/fly has very little short vega exposure.

Sell those puts HD!

riskarb.

Will do, my friend. I have a sneaking suspicion (or is it an unabiding hope) that they may become even more enticing over the next week or two. Ahh, dreams die hard. . . .