Huh? No. If the puts are 50 points itm they will be auto exercised given capital and risk permission limits. If his limits do not permit...
Short vol funds like LJM are exclusively short vol. I evaluated a few funds who never buy an option unless forced to. Neither will they trade...
Amazing how consistent the condor value is to the straddle. This sounds a bit skewed though. What expiration you looking at?
Expected value of random risk is zero minus costs. Good thing I don't sell it randomly, but rather into favorable market conditions.
Yes my methods are more complicated than 1 liner buckets. I'm simply pointing the crowd in the right direction. We have enough data to know we...
Not sure what you're asking. Take any atm straddle (aka 1 st st deviation of an expiration). From the atm sell the 1 straddle difference out...
learn the basics, then come back
Lol, $10 div into a $100 stock? Why do you think the American call is worth $9.96 more? This is options 101. P/C parity always holds .
"No way to this consistently" is exactly what I am challenging with my data. Feb 5th was a Monday, in which the week before saw the vix almost...
https://www.reuters.com/article/us-usa-fund-volatility/exclusive-ljm-partners-shutting-its-doors-after-vol-mageddon-losses-in-u-s-stocks-idUSKCN1GC...
Definitely are large funds dedicated to short vol. They are unsophisticated, IMHO. I once went around the country analyzing a handful of the...
Here is a piece of a research report I did. May be tough to decipher BUT basically this chart shows how short vol is FAR more profitable in low...
Sort of, yes = why IMO most short vol funds fail. The market is leptokurtotic, and volatility is clumpy. While in general I am not a big fan of...
He didn't lose. You didn't understand his very accurate, informative response. I suggest you try reading what he wrote again and digest it this...
Right before 9-11 I was working on a desk that sold thousands of puts to some lucky (wink wink) trader. Remember the boss man teaching the entire...
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