ma's on futures are much less useful, especially on continuous right after the roll, put the 50ma on the cash and extrapolate from there using...
worst economy in the country.
...or you can take advantage of skew and buy put ratio spreads and own long puts for free.
the system says sell on monday, but sometimes you have to deviate :-).
are you using backspreads to accomplish the net long?
my statement is for the spx, and uses vxo as the input, which is known today, and the numbers are correct.
and if you are that good at predicting direction, just trade directionally.
the probability of just a 1 sigma call or just a 1sigma put being hit in the spx over the last 26 years is about 14 percent, more for the calls,...
I tend to agree, the difference in credit compared to risk should be a function vols in any market. I'm glad it works for you though.
not quite at 10 billion yet ;-).
better in what way?
so the brain teaser is; what are the odds of a put strike randomly sold 1 sigma away being hit? and...what are the odds of either side of the...
that's fine if costs are not prohibitive and mean reversion does not take you out back.
when setting up dn's 1 sigma away there is about a 34 percent chance of the strike being hit. this translates to about 85 days a year. however,...
what has your research indicated here? is there a box size, such as 2 daily atr's, which is profitable for sar swing trading?
thank you, i'll have to look into it further. my research with breakout models has resulted in too small of profit factors, perhaps volume can...
agreed, vega is pretty much neutralized. as time passes delta will also increase.
I'm also unclear as to how this can be used profitably. can you elaborate, thanx.
have you looked at longer term puts for lower theta or put backspreads?
or even a backspread. also, after some time has passed, a ratio spread may fit the criteria.
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