I back tested the SPX butterflies for Jan 2001 to Jan 2002 - 12 trades with a next profit of $1564 on ~$4000 max risk. I included slippage and...
Yip, I stole the graph from an econometrics website, and then edited on the sigmas and other text. I'm not sure what periodicity they used when...
Yip, I've thought about this a bit more, and I'll try to explain better: I've stolen this example from John Hull's textbook. Assume the...
Thanks, I'll look it up. Another good one is Taleb's "Dynamic Hedging" - not too much math, and great explainations of some complex topics. Your...
I think that this is a really interesting reality. We (i.e. model users) have consistently ignored more complex models that are more "accurate",...
No problem, I apologize. My two-finger typing style sometimes makes me out to be a bit of an ass (or even more of one perhaps). I can see why it...
Nice! I particularly like #3 - it fits well with a strategy I currently use with BWBs. Are you making fun of my kindergarten-like need for pictures?:)
This is a bit of what I've been looking at. It can be modelled in OV - I'll put it on the list. Either of these strategies will be somewhat...
As I understand you you: 1)Create fly 2)create condor 3)Buy FOTM? Thats an interesting idea. Are you able to put up risk diagrams for your...
As a simple example, suppose you had a situation where you flip a fair coin and if you get heads, you win double your bet and if you get tails,...
My (limited) experience with flies has been a bit more directional - using "broken wing" butterflies as a direction play - really more of a ratio...
Here's the other half. U
Sorry, beer > typing. Ugly
Here's another idea... Steve Lenz and co published a study in Option Traders Mag about using ATM iron butterflies as a delta neutral +theta...
Apologies for explaining (poorly) what you already know. Once again, all of my answers are provisional, and may possibly be completely wrong......
Ugly inside and out, I guess.
Yip, I'll give this one a try, although I am by no means an expert. Please don't assume that my answer is accurate. Hopefully someone smarter can...
I agree with that statement. I also want to point out, I don't think that these butterflies have + expectancy. I'm just trying enjoying looking...
Exactly, it would seem to imply you could buy butterflies on either side of the current underlying with the body at 1sigma, and expect.......I...
Unless you were trying to shill it on ET!!
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