thanks for replying , R-A . I will put the real # below to clarify it more: XYZ at 100 , IV=25 Long 60 days ATM straddle ( gamma=3.9) ,...
thanks for all the sources , SS , I will take a look . I don't think that those simple calculations (in your sample , 2:1) will work on the combo...
Below is a sample of position : Long 60 days delta neutral combo Short 30 days combo I'm trying to figure out the ratio based on...
looks like every type of the spread journal concentrates on the Index as a trading entity. Is this a liquidity issue ? Why to narrow search for...
I find what was wrong in my formula , the real odds was 21%(payout of 285k that represents appx 15% of "house adventage"). I went with DAX...
I calculate the no touch odds to be at 31% ( hence , the payout = 209600 including the premium paid). I don't understand how they took/offered the...
mastic , that what I meant when I said i'm not trying to confuse anyone... In my answer to Alassio , I try to point to all pros and cons when one...
the less components you using the more chances you have for ALL ( in your case 5) of them to be at the same side of the axis (all positive or all...
great posting , mystic. Would you be able to post similar doc before 11/21 ( DEC entry) ? I would like to paper test it. Attached is Excel P&L...
1. if XYZ's IV was at 60 two years ago (while VIX was 30 , ratio=2) and it's current IV at 30 ( VIX at 15 , so ratio is still 2) is current IV...
mistic , just ignore him... With new IB 75 cents per contract , total commissions are approx 0.20 % from the total and this includes all 30 longs...
thanks for the info , VG. If one can successfully pick "cheap" volatility candidates , why he needs to lock the position in the partial hedge and...
I see what you are saying , mystic. Is that what Egar suggesting and pros are doing ? To go long on components that have a favorable SV/IV ratio...
no , many of them lost their WS jobs and then find out that relative/benchmark performance ( read : when you trade other people money) is quite...
it's not my way of thinking , it's a fact. Reverse dispersion can be done (when ratios = favorable to reverse , actually this month is one of them...
the "huge difference between index IV and basket IV" is fully compensated by basket ABS % change vs. Index's change.
sell a "cover call' on the 5 Y Treasury Note. Figure out the the ratio ( a bit complex). This will work at the best in you can obligate to add...
agree on the part about chasing no risk/free lunch
how all the above will help to erase the -expectancy for initial retail position ?
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