Re-centering a short strangle

[MrAgi1]

that RRR gets much worse after every one of these adjustments

@BlueWaterSailor I am back again. I was scrolling to my old threads once again to learn a new thing or so from the replies. I noticed I did not properly understand that line I quoted.

Assuming we ignore commissions and spread costs. Also assume volatility is fairly constant. Lastly we always roll immediately when either strike is tested. So what other reason would make the RRR get much worse after each adjustment?

Especially in the case when a narrow strangle is used, which results in a flat T+0 curve(the blue graph) as in the picture below.

 

[BlueWaterSailor]

@BlueWaterSailor I am back again. I was scrolling to my old threads once again to learn a new thing or so from the replies. I noticed I did not properly understand that line I quoted.

Assuming we ignore commissions and spread costs. Also assume volatility is fairly constant.

"Our theory is easily proven correct. Assuming a spherical cow in a perfect vacuum..."

In the real world, those things actually matter. In the case of volatility, it matters one hell of a lot.

When it comes to finance, I have very little interest in purely theoretical discussions that have zero real-world application.