Point of No Return. It's a risk measure that TOS uses to assess risk. So if the downside PNR is 30, that means that theoretically, the account...
It is intended to hedge a constellation of broken wing put butterfies of various tenors that are managed to be delta negative and obviously theta...
No offense taken SPY. The reason for the post was to intellectually challenge the concept/plan. The criticism is welcome.
5x is significant. I guess we can forget about the weighted vega discussion.....your results don't lie. Thank you
The transactions look good once I got used to the format. Bang on. Earlier I posted my actual average time to complete a "cycle" (selling to open...
So most of the time, it was net long 3 puts? It seems that you initiated the sim at the "worst" possible time and it still didn't blow up....
Exactly! Very path dependent. I was more lucky than smart but intend on monetizing into a larger structure. I've been trading long enough to know...
Thank you for clarifying. I will look at that. The issue I have with that is that I don't think that the TOS analyze tab/model sufficiently...
No. I had bouts of short convexity until May 2022. Been long in that tail to varying degrees since then.
There is a lot going on in the TOS analyze tab. There are 4 lines each representing 7 days forward. The dates are color coded in the lower left of...
Excellent idea. I'm a young boomer without crazy computer skilz. An idea I could implement would be a daily snapshot edited into a Youtube vid....
Here's a visual of my current structure. All models are flawed; some models are useful. I consider the TOS analyze tab to be useful. P/L day...
I don't want to take the chips. I want to use them as more "seed corn"
Yes, it was a risk I. I was net short more puts in 2022 waiting the structure to grow. My point is that I stuck to this without ruin during a...
I agree with this. I'm saying that I believe I "paid" for the lunch by bearing and surviving the initial early period where I was net short puts....
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