Sure coach, will be glad to do it. I have to run to a meeting right now, but will do it later today and post the graph.
Get the trial package to see if you like it. You have to pay about $50 for it, but you get the full printed documentation and DVDs. I you decide...
Span for equivalent on ES cross fly at 1385 and short calendar at 1360 is $9,268 initial and $8,518 maintenance. Taking into account the credit...
I got something very similar to you. Looks good even with a 10% increase in volatility - the dip gets deeper and wider, but risk/reward stays...
I'm very happy with it. I think it is a good investment. It does everything you expect from your typical analysis tool, but it also understands...
I think I solved the mystery. And there's a big gotcha ! This is what it looks like on OV with no slippage. The drop on the right is correct....
I think I found the source of the difference. If I turn off slippage, I get the same shape as you. I think OV is being too pesimistic because...
You are right mo. The initial loss at T+0 is because I used coach's prices. But I'm still getting the same shape.
No, it looks like for anything above 1385 you'll have to pay the intrinsic value for the OCTs while most of your gains on the NOVs will be used to...
No, I left the vols as given. OCT EW 1385 = 9.6%, NOV EW 1385 = 10.6%, DEC EW 1385 = 11.4%
All I did was to enter your trade (-25 EW OCT 1385, +50 EW NOV 1385, -25 EW DEC 1385) at the prices you gave on an OV paper tradaing account. The...
Coach, I modeled it on OptionVue and this is what I got. Greeks at entry are -23 delta, -2.48 gamma, 21.54 theta and 382.8 vega. Span margin is...
rally, are you talking about CTM spreads here? My OCT 1335/1350 call spreads are way ITM now. I sold them for an average of 5.9 and can close them...
Here's the +2% one. I guess the idea is to wait for a vol spike within the first 9 days. If this doesn't happen, you can bail out at b/e.
Thanks risk, this sounds like an interesting strategy to explore when volatility is low. For anyone interested, attached is the model for 40...
Murray, Have you made any research on how DD on the SPX/RUT compare to ES/ER2? I guess now that you have access to haircut, the haircut vs...
I totally get your point now, except for one thing: I'm not scalping short gamma and I arbitrarily assigned the profits to the spreads. But...
Sorry Coach. I'll shut up :)
Not trying to be argumentative, but I think we are talking about 2 different things. The way I see it is long gamma scalping, you buy dips and...
I understand, and respect, your point but I don't see why the same arguments cannot be applied to long gamma scalping. I think the main...
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