I have done a fair bit of modelling using the Corradu-Su model ( corrected for an error in the original specification ) and have a reasonable...
You are forgetting Sossy's magic number ... sell Iron Condors for premium 1/3rd the width of the strikes
You can't "invent" something that already exists ... it's a ladder
The "evidence" has mysteriously dis-appeared ... just email them and ask if you can watch the WDIS videos that have been "dis-appeared"
Do you know "which" TT personality recommends this ... when they started recommending it ... whether they actually follow that rule themselves
What makes you think they "just manage winners and stay small" when all the evidence is ... they spend most of their time managing losing trades...
I guess you are assuming that long vol is the equivalent to be being long vega ... which isn't necessarily the case Which vol are you expecting...
Matt Interesting blog ... thanks I think your approach allows interpolation of term structure, but Baozi was looking for a way to calibrate the IV...
I carry a bunch of Index Put BWB's as Black Swan Hedge ... structured for small debit / credit
How are you evaluating Vega effect on Calendar ... raw vega or weighted vega ?
I use the Corrado-Su model ( provided in Espen Haug's Option Pricing Formula Book ) to calibrate the option chain for Index options with European...
Much depends on why you want to model the vol surface in the first place Plenty of alternatives to consider - See the Volatility Surface by Jim...
Just in case you missed the outcome of her 'technical error' ... https://www.elitetrader.com/et/threads/karen-at-court.312629/page-13
It is just the equivalent of a put ladder ... another example of TastyTrade just making names up ... when a perfectly good one already exists
Sossy was mentoring TT employees to show that anyone can trade the TastyTrade way ... the shows were called Where Do I start
Despite the thousands of hours are archived video at TastyTrade ... the links to the shows in which they blew-up accounts have mysteriously...
Except the only traders that TastyTrade have disclosed performance for ... managed to blow up their accounts
There is no "extra" return The difference between the price of the call / put calendar spreads is due to the carry cost ... which in this case is...
If I have the calculations right for 3.4 strike spreads ... call calendar priced at +0.0316 ... put calendar priced at (0.0141) ... time box of...
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