Smart Money Sells Straddles!

Quote from galvinlee888:

Whooo... finally someone reveal an edge in this site.

I backtest the strategy and it work well (although somehow my broker refuse to supply me any data for 2008 when I share this strategy with them, and promise them I will trade with ton of contracts and fees .. :eek: ). Thanks buddy for sharing your edge! :p [/B]
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Everything works until it doesnt then it's
LOOK OUT BELOWWWWWWWWWWWW !!!!
 
Quote from i025498:

I don't think a mechanical SPY Straddle Selling strategy can survive the 2008 market crash. Even the first 4 month of 2009 would have broken the system. Starting tracking record from May 2009 was really lucky because the market entered into a period with historical volatility (i.e. actual volatility) lowed than implied volatility (i.e. forecast volatility used in options pricing). Straddle selling generally makes money under this condition.
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Is it a coincidence that the tracking period starts in May of '09 when conditions became ideal for selling premium? (see 2nd data list)

A naked straddle strategy would have been smacked in '08 despite the higher IV. In order to have broken even, the average straddle premium received would have needed to be about 9.3 pts. I think not.

SPY monthly gain/loss (option cycle):

01/08 (16.07)
02/08 3.08
03/08 (3.06)
04/08 6.40
05/08 4.18
06/08 (11.08)
07/08 (5.60)
08/08 3.67
09/08 (5.53)
10/08 (30.91)
11/08 (13.69)
12/08 8.67


05/09 1.94
06/09 3.02
07/09 2.09
08/09 8.84
09/09 3.75
10/09 2.17
11/09 0.54
12/09 0.78
01/10 (1.00)
02/10 1.93
03/10 4.83
04/10 3.39
05/10 (10.25)
06/10 2.61
07/10 (5.07)
08/10 0.87
09/10 4.96
10/10 5.21
11/10 2.59
12/10 4.01
 
Chuck Norris makes money selling straddles, no matter what the mkt does.

Obviously, this is a no brainer, 'cause even when Chuck Norris buys straddles, the mkt pays him money.
 
Quote from Martinghoul:

Chuck Norris makes money selling straddles, no matter what the mkt does.

Obviously, this is a no brainer, 'cause even when Chuck Norris buys straddles, the mkt pays him money.
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yeah, and Chuck Norris does not post collateral, he posts collateral damage :)
 
OK, this went over my head. What does Chuck Norris (the actor?) have to do with trading. Apart from that, IRL, he's a friggin' AH.
 
Quote from spindr0:

OK, this went over my head. What does Chuck Norris (the actor?) have to do with trading. Apart from that, IRL, he's a friggin' AH.
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This is because Chuck Norris' book is long gamma AND earns theta ;)
 
Quote from heech:

When he heard Chuck Norris was hanging around, vega jumped on the first bus out of town.
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The Vegabus is coming
And everybody's jumping
New York to San Fransisco
An intercity disco
 
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