SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Apologies for explaining (poorly) what you already know. Once again, all of my answers are provisional, and may possibly be completely wrong...
I think that you need to use std deviation as opp'd to a simple mean because probability distributions use variance of measurements as opposed to simply the measurements themselves. So in the Brownian motion equations and BSM we use the square root of the sum of the squares of the movements as opp'd to just the average movement. Using the average movement to calculate a distribution will create a very bizarre distro histogram. The average or mean value should be zero in a random walk? Thus we square them and then square root them to transform them into absolute values and a positive sum total.
I am worried that I may not be understanding and answering your question very well (my fault not yours). However, there is a clear answer as to why there is no free lunch - the market maker ate it.
I'll take the admission of read as a compliment. I suppose the normal and modest convention is to say "thank-you". But me thinks the truth is you are just yet another dopple manifestation of the very same rascal who regularly attempts to elevate his own relevance all over ET through incompetent efforts to silence anyone not conforming to your personal trading religion du jour. I'll remind you that this is an open forum & the more expedient thing would have been to ignore my post if it troubled you.
If you have a personal issue with me take it up in private & I'll be more than willing to accommodate a personal interview and an exchange of techno-babble (if you think you can profit by it). But the truth is I'm not selling anything nor looking to buy anything. Failing that invitation I'd suggest trying to learn to not feel threatened by every person here who simply desires to share a moment of trading joy with others in a mutual area of interest. Good gosh - what's so wrong with sharing that and why does that offend you? If you are going to assume the role of Custos Morum please wear a tin badge or something so people know who to bow to or avoid. And do be prepared for and be intellectually and otherwise capable of defending that role if somone decides that they want to spank back.
But I can see here by your comments that the fundamental problem is that you consider yourself to be a much more experienced bovine scatology artist than I. In the interest of decorum & civility to others I suppose the easy thing for me is just to apologize for failing to recognize you as the self appointed doorman that one must get past to get initiated into The Club here. But I have a moral problem with that. You see my complaint is that your recent past posts presented no credible evidence that you were qualified in that role. Frankly all the evidence suggests your speciality is less oriented toward discrimination and admission skills but rather more specialized in the art of inciting hostility toward newcomers here.
Looking for a fight or seeking to elevate your own pecking order here? To me this all looks like a simple adolescent testosterone and size perception problem. Either way - I'm your Huckleberry so PM me and resolve this matter in person & spare the others here your personal contempt or kindly shut up.
TS
Just sharing a moment of joy Mark. It's not boasting - we win some and lose some. Censor elsewhere.
TS
Here's another idea...
Steve Lenz and co published a study in Option Traders Mag about using ATM iron butterflies as a delta neutral +theta strategy. They demonstrated good results (around +25-30% pa). The interesting thig is that they didn't use volatility as a screen. I've attached the article
A butterfly is really just a condor - I wonder about putting these on as an income strategy when IV is up. And of course diagonals when it's down.
The problem obviously is what is up and what is down!
Ugly
Steve Lenz and co published a study in Option Traders Mag about using ATM iron butterflies as a delta neutral +theta strategy. They demonstrated good results (around +25-30% pa). The interesting thig is that they didn't use volatility as a screen. I've attached the article
A butterfly is really just a condor - I wonder about putting these on as an income strategy when IV is up. And of course diagonals when it's down.
The problem obviously is what is up and what is down!
Ugly
Uglyboy - interesting. But I missed the article attachment. Can you post it?
TS
My (limited) experience with flies has been a bit more directional - using "broken wing" butterflies as a direction play - really more of a ratio spread with a hedge than a butterfly. The trimodal greeks of the butterfly have always freaked me out a bit, so I haven't really used them much. Anyone with more experience - please comment. I recall that someone was considering starting a journal about these?
Ugly
Ugly
Re article-
Unfortunately what put me off is the phrase AFTER you sell the ATM straddle THEN you buy the wings. Totally not doable in a retail account.
I have been working very diligently on establishing condors/B-flys PRIOR to selling the FOTM as a hedge. The goal has been to do the B-fly for credit and the condor for tiny debit. Using the few days that do have movement I find I can do it on the put side but the call side is more difficult as the vols (premium) shrink when the market moves in your direction. Still a work in progress.
There is one more element to this option business that all you algorithmic/math/left brain types forget about. Constructing and managing options I believe (very strongly) also require the use of the "right" brain. There is a creative process involved and the ability of the right brain to develop, visualize and constantly evaluate depending on market movement /conditions is a critical part of option trading.
Perhaps this is what makes option trading so very difficult...it requires the use of the "whole" brain?
edit...snow is fantastic in all the rockies
Unfortunately what put me off is the phrase AFTER you sell the ATM straddle THEN you buy the wings. Totally not doable in a retail account.
I have been working very diligently on establishing condors/B-flys PRIOR to selling the FOTM as a hedge. The goal has been to do the B-fly for credit and the condor for tiny debit. Using the few days that do have movement I find I can do it on the put side but the call side is more difficult as the vols (premium) shrink when the market moves in your direction. Still a work in progress.
There is one more element to this option business that all you algorithmic/math/left brain types forget about. Constructing and managing options I believe (very strongly) also require the use of the "right" brain. There is a creative process involved and the ability of the right brain to develop, visualize and constantly evaluate depending on market movement /conditions is a critical part of option trading.
Perhaps this is what makes option trading so very difficult...it requires the use of the "whole" brain?
edit...snow is fantastic in all the rockies