Despite the very real problem of futures/spot fidelity, etc, I think your biggest problem is one of misleading data analysis. That is, I see your...
You won't be able to define your break-even points because you can't predict vol in the deferred month. You can make an educated guess, but don't...
Dismissing for a moment the issue of theta, can you tell us what type of risk you are willing to assume, given that you've momentarily eliminated...
I wouldn't normally weigh-in on this type of thread, but Cache, you have got the patience of Job.
Ageed. I was just pointing out more explicitly that the opposite of statvol>implied does not necessarily imply a + p/l. It's just one of several...
I'm not exactly sure what you're asking, but if you're questioning the theory, it's simply the way options are structured. Nothing mysterious...
Who knows if it will work, because magnitude and duration are unknown. Nevertheless, you might take a look at put diagonals but with some number...
At least as I read your posts, the differences between the non-proprietary models won't be an obstacle, so use BS if you have reason to prefer it....
http://www.cboe.com/micro/put/ The data is long-term, more than 20 yrs, just like their BXM index. My point was not to advocate for...
No. You'll have to approach this heuristically, as per atticus. For what it's worth, as a partial answer to a related issue, the CBOE put...
The index ETF options or liquid equities are pick 'em markets. That's not necessarily the case as expiration or earnings nears, but for the most...
:eek:
Expressing market neutrality by simply putting on iron condors? Of course not, John. Who gives away money? But you know that trading into a...
I don't want my comments to seem as if there is any mystery in all this. My suggestion was to compare what you've considered with an alternative....
I thought that might be the case. Have you looked at trying to string them together through the life of a trade?
Could you clarify if you're you trying to "string together" the positions all at once or whether you're adding these positions as you manage an...
I assume you mean that the average intraday high to low averages 3% of the share price. What do you mean by "1% standard deviation?"
Your position has become a bit more complicated than simple overwriting, but let's take a look at it. There are still a lot of missing pieces of...
I think your advice to the OP will be of more use if he reflects on the questions I asked of him. It will force him to think more specifically...
Maybe, maybe not. If he's indifferent to a daily p/l, then May 6 is just a gnat on an elephant. By May 10 he was flat again, assuming he just...
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