Consider me egoistic. But I can not reveal the strikes. This strategy rocks! I love it... even if it is flawed in the eyes of some traders...
Another modification of the base strategy. Notice this: The structure has a slightly negative delta and a negative vega. If the market...
There is no theta bleed... it is very minimal compared with a straddle. But wht do you mean with DN's?
I have just created a structure with a similiar PnL graph. This time, the structure consists of "only" 5 positions. However, I have one...
Many thanks for your inputs! I see this strategy has gained some interest. Let me just tell you that the difference in maturities is only one...
you are right... but one has to consider this: IV is negatively correlated with the underlying (in case of equities). so if the IV moves, it is...
I agree with you that there is vol risk, because the trade has a slightly negative vega. However, I am not sure that I understood the second...
As you can see in the picture, the vega of the position is slightly negative. Vol is likely to decrease when the market rallies. When the market...
I agree with you that commissions will probably be a challenge. As I wrote before, the trade consists of eight positions. However, one can save...
The strategy consists of eight positions. It consists of options with two different maturities. Each option position has its own size. In this...
Thanks for your comment! There are adjustments to this trade: 1. If the market goes up, the trader sells calls. 2. If the market goes down...
Hi, I have been working on a complex option strategy that has a very wide profit range. It seems to have an excellent risk-reward ratio and...
Thanks for the reply, Atticus... I read about the SO spread that it is the SP500 - 2 x SP100. This spread is basically bullish, meaning that it...
I have recently read an interesting article on so-called 1-5 trades on futuresmag.com...
Many thanks for all these replies... The thought is just this: If there were liquid variance swaps on each stock, then a pure exposure to...
The reason why I am looking for a positive vega, positive theta trade is to benefit from the increase in IV due to upcoming earnings. The...
Can you please show me an example? A wide box is an arbitrage trade, right?
Hi ETNYC, Yes, I am looking for an option structure that profits from an increase in IV and that has a positive time decay as expiration comes...
Hello, Does anybody know an option strategy that gives you a positive vega and a positive theta? The strategy should consist only of options...
If you think US will go broke, well, think of Europe...
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