trading option pitchforks

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Quote from researcher248:

Trying to re-construct this past PF...
What rule of thumb to use to ascertain whether "skew-premium" is fat or thin?. The historical OTC combo seems to be independent of actual PF quotes. Or is that what you "eyeball"?

As previously discussed this is a "bull strategy" that exploits skew. It worked well even after 50 point drop move.

1-Anything parallel that is a "bear strategy" ?.
2-For yesterday the PF combo had a huge spread, 3 points sometimes. Getting out at 92 was not easy.
3-Yesterday: I was looking to get/watch/analyze into another PF *bull* combo (THE model turned neutral-bullish), but had no reference to tell whether PF premium was 'rich or poor'.
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Why do you calll this a"bull strategy"? It was put on when spot was at 1345. If the market rallied to 1400 by July exp., the PF would lose around 8 points. Rally higher- lose much more. Not ideal for a "bull strategy".
 
Quote from daniel5198:

Why do you calll this a"bull strategy"? It was put on when spot was at 1345. If the market rallied to 1400 by July exp., the PF would lose around 8 points. Rally higher- lose much more. Not ideal for a "bull strategy".
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Because it's one-lot risk up, 3 lot risk down.
 
Quote from researcher248:

Trying to re-construct this past PF...
What rule of thumb to use to ascertain whether "skew-premium" is fat or thin?. The historical OTC combo seems to be independent of actual PF quotes. Or is that what you "eyeball"?

As previously discussed this is a "bull strategy" that exploits skew. It worked well even after 50 point drop move.

1-Anything parallel that is a "bear strategy" ?.
2-For yesterday the PF combo had a huge spread, 3 points sometimes. Getting out at 92 was not easy.
3-Yesterday: I was looking to get/watch/analyze into another PF *bull* combo (THE model turned neutral-bullish), but had no reference to tell whether PF premium was 'rich or poor'.
More...

$1 off mid is filled within seconds. I am using mid to keep it clean.
 
The original PF was around 86 mid... whats PF

if the skew is 'rich' or 'poor'.... whats it mean for a skew to be rich? high vol on the wings?

flat vol-surface/gain to sticky delta.. is this referring to not much of a vol smile? sticky delta?

"skew-premium" is fat or thin? again vol smile?? what is fat what is thin...
 
alternative to a risk-reversal for isolating skew... what


(HF) account.. high frequency?

The Pitchfork combo (PF)?? whats a pitchfork combo?

rolling 30-day OTC straddle-vol??? whats OTC
 
Quote from cdcaveman:

alternative to a risk-reversal for isolating skew... what


(HF) account.. high frequency?

The Pitchfork combo (PF)?? whats a pitchfork combo?

rolling 30-day OTC straddle-vol??? whats OTC
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C'mon Man. I can't think for you. My suggestion is that you loiter in another thread.

OTC = over the counter.
 
Quote from atticus:

C'mon Man. I can't think for you. My suggestion is that you loiter in another thread.

OTC = over the counter.
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you guys are like the techie geeks of computers in the derivatives lingo.. haha
 
Quote from researcher248:

smile :)
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thanks... that was quick and easy... i understand all that .. i've heard refferences to derman alot.. i've read all of taleb...
i understand alot of the concepts.. i just don't get all your abbreviations... and i'm going to loiter where ever i want.. haha i'm learning! theses are genearlly where my thoughts run..

to figure out: how to be short a large numbers of small moves and be long a really small number of really big moves. in such a way to take replicate and take advantage of a distribution of a high peak with fat tales. What should be the ratio of small moves to large moves. How small and how often are the small moves. How large are the black swan jumps or large moves and how often do they occur. Can you be short the noise of the market and long the stock market crash in such a way to make money on the routine noise and lots of money on the jumps (crashes) ..
Thats whats rolls around in my head.... VOLATILITY


those are the things i generally am trying to quantify!
 
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