xandman ........ You are being bamboozled by AT99, he has you taking the hook, line and sinker. AT99 isn't new to ET and his posts are 100% BS.
What is the most statistically predictable Option strategy?
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xandman ........ You are being bamboozled by AT99, he has you taking the hook, line and sinker. AT99 isn't new to ET and his posts are 100% BS.
DannyBoy, I would like to be here to discuss strategies. Share what works for me and learn what works for others. Investing and trading is a continual learning process and I am a big believer in collaboration. I am trying to avoid discussing any other forum I may be a part of as that is not why I am here. I have a lot of spreadsheets I use for my trading and did not recall the one you mentioned had a note mentioning a forum. I apologize for that.
That's fine, like I said, I was just noting that, I'm not grabbing a pitchfork. Out of curiosity, given you have relevant data already prepared, I've always wondered what is the maximum absolute move the SPX has made in a 5 day period from close to close in your data? and how many times has it moved to that specific point and a point below? ie. if the max move is 10 points, how many times has it moved 10 and 9 times?
Personally if I was selling weekly index spreads, I would probably sell at/beyond the max absolute move over say a 10 yr period (even though the R/R and credit would be disgusting) given you would not have to touch it 99% of the time. For the 1% time you would, I would keep enough of a war chest to roll down around another 40-50 (ideally more) points. Getting filled would probably be a real issue though, might have to go SPY. Only way your going to loose is a good old black swan, could possibly use backspreads to avoid this though.
Personally if I was selling weekly index spreads, I would probably sell at/beyond the max absolute move over say a 10 yr period (even though the R/R and credit would be disgusting) given you would not have to touch it 99% of the time. For the 1% time you would, I would keep enough of a war chest to roll down around another 40-50 (ideally more) points. Getting filled would probably be a real issue though, might have to go SPY. Only way your going to loose is a good old black swan, could possibly use backspreads to avoid this though.
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Danny, not sure what time period you are looking at. Here are a couple of things that may help.
This has a lot of various time periods for SPX moves both in % moves and $ moves. This goes back to Jan 2012.
https://www.dropbox.com/s/5p8xwnexe5zft8h/SPX Tables.pdf?dl=0
This will show you the 50 largest % and $ move for each move since Jan 2012 (I put VIX at 100 or less to pick up all periods). There were 701 5-day periods over this time frame.
Look at the data in the columns under "Historical Raw Data" for the actual % and $ moves. You can see the date for each move at the far right.
http://screencast.com/t/JCPXnjk6
This has a lot of various time periods for SPX moves both in % moves and $ moves. This goes back to Jan 2012.
https://www.dropbox.com/s/5p8xwnexe5zft8h/SPX Tables.pdf?dl=0
This will show you the 50 largest % and $ move for each move since Jan 2012 (I put VIX at 100 or less to pick up all periods). There were 701 5-day periods over this time frame.
Look at the data in the columns under "Historical Raw Data" for the actual % and $ moves. You can see the date for each move at the far right.
http://screencast.com/t/JCPXnjk6
So...I just ran into a relatively new brokerage that all they do is use a very wide Iron Condor on the S&P 500 and Adjust this position over time with the movement of the S&P, theory being, a lower percentage return, yet a more highly probable one. As seems to always be the case, high probability rides along with smaller returns.
Talk about raising a thread from the dead - thats more than 2 years ago.