Writing options for a living

I am certain he will try if you can make a better argument than the aforementioned. This pseudo-intellectual crap is getting tiresome.
 
Quote from riskarb:

Expectancy is model-dependent. Beat the model and you have a +expectancy.
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Beat the model also mean the model is not accurately reflect the actual market. In this case, it also mean if the model tell you there is zero expectation, it is not true in actual market.

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http://www.fengshui-123.com
 
Quote from fengshui-123:

Beat the model also mean the model is not accurately reflect the actual market. In this case, it also mean if the model tell you there is zero expectation, it is not true in actual market.

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http://www.fengshui-123.com
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Selling index skew contradicts the above statement.

Woefully out of your depth. I am certainly not going to waste any more time on you. No soup for you! NEXT!
 
Quote from Maverick74:

I think we got lost in semantics.
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I think so too, but we got there in the end - good debate.

Quote from Maverick74:

And the reason this thread is so long is not because of this little detour, but rather many on ET thought there was some implicit edge in just selling premium. But let's not go back there.
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Amen.

Quote from riskarb:

This pseudo-intellectual crap is getting tiresome.
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I have a soloution for you - I'll let you have it when you really get up my nose.

Quote from fengshui-123:

Beat the model also mean the model is not accurately reflect the actual market. In this case, it also mean if the model tell you there is zero expectation, it is not true in actual market.

-----------------------------------------------------
http://www.fengshui-123.com
More...
You'd have to look at the market in which you trade options before deciding how well the model reflects the actual market. Each options market (e.g. commodity / equity) will have different smile and skew characteristics, yet there is only one model - BS. The accuracy of the model will vary from market to market.
 
By adding to your initial position 'after' the favorable move you don't change the expectancy of the trade. The expectancy 'after' the favorable move is already positive. What you change is your payoff distribution. You are making the small payoff more certain by sacrificing some of the upside potential. This is a good strategy but it isn't changing the expectancy.

Good thread. Regards :)
 
Quote from gbos:

By adding to your initial position 'after' the favorable move you don't change the expectancy of the trade. The expectancy 'after' the favorable move is already positive. What you change is your payoff distribution. You are making the small payoff more certain by sacrificing some of the upside potential. This is a good strategy but it isn't changing the expectancy.

Good thread. Regards :)
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The expectancy has to change because the trade has changed. You can't make adjustments to the trade without the expectancy changing going forward.

Also, a little FYI for you, the expectancy of the trade changes on a daily basis. The trade may have started out as a negative expectancy trade, but if you mark to market your position every day, the expectancy will always be different every day going forward.
 
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