The AUG2008 puts have less time till expiry. So they're more sensitive to the underlying price movements, hence the higher deltas. The JAN2010...
Hi Does anyone know of a good, free if possible, Monte Carlo simulator? A standalone one would be preferred. I found one, from NeoTicker,...
if margins are not your main concern (i.e. you can afford to tie up a little more margins), and you want to maximise your profit with each point...
I'm told MM price in weekend decay on Friday afternoons. Personally I like to take a snapshot of my long theta positions before the weekend on...
Ron, Thanks for the book recommendataions, they're much appreciated. I'm always on the lookout for these. Agree with what you say about losses...
I've actually been trading it for close to a year, trading very small. The results are pretty similar to what was backtested. Not really...
Thanks, I appreciate looking at this from all angles, so I welcome all input. My drawdown on total capital (assuming I bet 50% of capital) is...
nazzdack, Are you using Kelly's formula to calculate that? I got around the same figure when calculating with Kelly's formula. And that's 50%...
Thanks for the response. It trades about 12 times a year. Target profit of 30 - 50% annually, max drawdown perhaps 20%. The max drawdown...
If you had a system that has a winning percentage of around 83%, but it loses twice as much on average as it wins, what would be a your plan on...
Hi, What kind of position sizing methods do (time) premium sellers here use? By premium sellers I mean you trade things like credit spreads, iron...
Margins for verticals will also change. The margin req'ments are the strike difference between shorts and longs, minus the credit you recieve....
Unless you name the instrument and the strikes you plan to sell, you're not going to get a meaningful reply. :D
Firstly, your margin requirements to sell that same strike put ITM in a further out month is going to more than double from what it was when you...
Depends on how far OTM is the put that you're selling. If you're selling it far OTM, the credit you're getting is very little compared to what...
Walt, I think the ROI is the least of your concerns at this point. You can worry about fixing that later if this strategy works out. Firstly,...
If you're going to handle delta hedging by buying/selling the underlying, have you considered the impact of the need for increased margins for...
Hi Walt, Did you mean to say you'd buy the call and put calendars slightly OTM instead of ATM? From reading all the replies it seems you're...
matador, thanks for the input. What I meant by not wanting to lose more than I'm prepared to, was before entering the trade I have a maximum loss...
Would love to hear suggestions on ways to prevent buying back vertical spreads when IVs are jacked up. Scenario: I've sold a vertical put...
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