I have again created another option structure that I will put on after Friday's close, when a short TLT OTM put position will expire. I will be...
Hi Kroponer, Thanks a lot for your input. I read it and I think you might be correct. I have to set up the trade first and see how it behaves...
Yesterday, I have created another option strategy with a very nice pay-off profile. Once, my OTM puts on TLT expire, I will trade this one.
The high margin can be circumvented by switching to a margin account. For me, the crash risk is very limited. The white line in the graph...
The strategy consists of three legs and 15 option contracts. I think the commissions are acceptable to get this pnl profile. What I want to...
Lots of option players are into short premium strategies like iron condors, short strangles, short straddles, short otm puts, etc... However...
Yes, it is highly complex. I agree... However, what I want to say is this: Lets suppose ATM IV of VXX is 80%. VXX has a strong trendiness....
I agree with you. However, as I said there are many variations. One might go long a bear put spread on vxx and long a bear call spread on SPY....
Rocky, thanks for sharing this idea with us. I totally agree with you that VXX is totally sexy. What I like about VXX is its trendiness. It is...
It is one hundred percent. So if you short a call, and it expires worthless, your account increases by 100%. The number is misleading. Hence, one...
Backtested strategy: Each monday do the following: 1. Sell an ATM call option with a maturity of one month. 2. Buy an OTM call option (1...
I have created a backtesting tool for option strategies in Excel. I use the historical volatility as an input (instead of implied volatility). The...
So the same problem should also apply to commodities... In case of commodities, you have some commodities in backwardation and contango... If...
I understand your point... I believe that the skew of the IVs of VXX takes into account the downward drift. Remember in Black Scholes the stock is...
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