You are good to point out the synthetic. More about that later. Yes we are trying to think about manageability, but I'm still not sure what your...
Wouldn't that be the pits? Better know that probability for Oct. Looks to be less than 1% for Sep options at 15% vol.
Eliot, Since we seem to have been found and dumped on by the vanguard of the vulgar and uneducated, perhaps it would be good if you introduced...
Given the above homework list, I suppose the thread will end now until sometime next year when somebody has read all that. The last paper is...
Why do you say that the gamma risk of selling straddles can be more manageable? Often adjusting short straddles mean you're losing money. If...
This paper is excellent. I have read it before and it is good to read it again. I just wish the part on proxy hedging was as clear as the prior...
Last risk graph was not altogether correct but in the general spirit of things. Agree on put prices. Using mean prices the credit on the put...
Eliot, I have constructed your position with EOD data useing mean prices. The call BWB shows a credit of .30. The put BWB has a debit of...
When playing long what? Finish the sentence. First you need to have a decision or at least a leaning toward either dispersion or reverse...
Evidently you have not read my last post above where I clarify the confusion between an index and a basket. The title of the thread says "index"...
rosy, my apologies for jumping on you. The context of the basket was not crystal clear, and generally speaking a basket is constructed as opposed...
Eliot, applause for your effort to find a free trade. Sometimes our effort clouds our vision. It appears that you are trying to create some...
Wouldn't it be great if we could change the weighting in the basket to whatever we wanted it to be? But you don't seem to get the point. The...
We are still in two dimensions are we not? So how does this improve on the correlation between each stock and the index? What is the synthetic...
I didn't ask whether you were buying the calendar. I asked whether you were selling the ES/EW options. If you buy a calendar using October...
Yes I agree with that but this is a double calendar position that is directly shown in a P&L graph. "r/r" is ambiguous. You must mean risk to...
We have discussed this last year in the EGAR thread. Didn't know you were doing work in this area. Last year we determined that dispersion...
Excellent suggestions, although IV hurting the ratio spread depends on which way IV is going. It could help it also. Same applies to the time...
There is a saying we have all heard: "Beggers can't be choosers". That applies to our desire to get a credit and the choice of strikes. In...
Right now is a very difficult time to do 1-2-1 BWBs because of the low implied volatility. One of the ways around this is to look at non-equity...
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