RWM ok to hold longer than a day?

[Quanto]

Shorting 230 vol; buying 73 vol. Why not? Time decay! Or we’ll arrive at a figure which results in no loss on the stress. Easy!

That's above your cognitive level, sicko!
It's in fact not 73. We just keep DTE equal with all legs b/c of the shortcomings of that tool when DTEs differ.
The real IV of the LP is nearly equally high like the other leg. Depends on the real DTE of the LP leg, which, as said is less than 21... Maybe DTE=10 or so, depends on when the stuff becomes that cheap as in the example.
Our main protection using an other LP was already opened together with the rest at initiation. This above LP gets added many days later, ie. when it gets cheaper... See "Step 2" of "The Plan"...

 

[destriero]

ATM IV is normally calculated using today's Bid/Ask prices for days till expiration (DTE), ie. your 2nd case.
The easiest/simplest method uses precalculated IVs (if available):

ATM_IV = ( IV_of_nearest_Call_strike_to_stockprice  +  IV_of_nearest_Put_strike_to_stockprice ) / 2

Other more accurate methods exist, but require much more computing work.

More accurate methods… like implying 160 beeps in edge on the same date to model theta?

Keep you donkey fed.

 

[destriero]

That's above your cognitive level, sicko!
It's in fact not 73. We just keep DTE equal with all legs b/c of the shortcomings of that tool when DTEs differ.
The real IV of the LP is nearly equally high like the other leg. Depends on the real DTE of the LP leg, which, as said less than 21... Maybe DTE=10 or so, depends on when the stuff becomes that cheap as in the example.
Our main protection using an other LP was already opened together with the rest at initiation. This above LP gets added many days later, ie. when it gets cheaper...

It’s really not. You cannot arbitrarily reduce vol to arrive at a prem on a future date which allows you to keep your ridiculous stress above x. What a stupid scam you’re running. More accurate methods lol.

 

[Quanto]

It’s really not. You cannot arbitrarily reduce vol to arrive at a prem on a future date which allows you to keep your ridiculous stress above x. What a stupid scam you’re running. More accurate methods lol.

You are wrong. IV is in reality not reduced. It just looks so, b/c DTE=21 is used when in fact say DTE=10 is real....

 

[Quanto]

Folks, just ignore the spam of this idiot named @destriero, as he is not ever interested in a solution, but wants only disturb a/any fruitful discussion.

The more people complain about his spam via the Report button, the sooner the moderator will ban him from the discussion.

 

[destriero]

I get what you’re doing. You’re modeling 1 expiration and solving for vol to keep the stress above x and implying the hedge at a later date can be an approximation at 73 vol. Just model it at 230 vol at a shorter expiration and input that prem to solve for the vol-line. It’s stupid, just not as nearly so… and what is the stock drops, huh?

why buy the quarter put at all? All your trades model at 100% hit rate? Just cover the fantasy position at hyooge gains!

You arrived at 73 bc it kept the stress above x (or) you input your IQ.

You are wrong. IV is in reality not reduced. It just looks so, b/c DTE=21 is used when in fact say DTE=10 is real....

 

[destriero]

So market tanks and vols rally and this dude buys the put at 25 cents? Yeah, no. This thread is an IQ test.

 

[newwurldmn]

Shorting 230 vol; buying 73 vol. Why not? Time decay! Or we’ll arrive at a figure which results in no loss on the stress. Easy!










dirtfloors

Goodboy arb?

 

[destriero]

Goodboy arb?

Ser,

That is a solid analogy. Buying WMT and covering in MSTR due to their announcement soon that WalMart plans to on-chain their self service checkout.

 

[Quanto]

So market tanks and vols rally and this dude buys the put at 25 cents? Yeah, no. This thread is an IQ test.

This is originally intended for an EventTrading where a high-impact-event is expected to occur before expiration (hence the High ATM IV).
In this case the stock price and IV do not make any big moves till the event.
So then due to time-decay the OTM options get cheaper and cheaper, even reaching 0 (in reality 0.01)... b/c IV does not play any role at expiration... Ie. the impact of IV is waning towards the expiration. That's pure maths to grasp!