what do you experience in terms of spreads you are paying for the OTMs? i would think the market gets pretty thin once moniness leaves ATM. as far as i know ansbacher is always quite short in the market. quick in quick out. and all that pretty near to expiration.
Yeah, in the SPI options there are no market makers in the OTM options, so most of the time there is no spread., no quotes up at all. So can be a bit tricky getting filled cause you have to either wait for someone to put up a quote and then try to 'haggle' with them by countering their quote on the same strike or moving to a nearby strike and putting up your own quote. In the american markets there are market makers even in the OTM options so there are at least quotes up but fairly wide spreads. So have to just try and split it. He has an example of a trade of his in the power point presentation on his site. At least from the example he definately sells closer to the money than I do and does try to keep the trade fairly short and close to expiration. Says he doesn't like to make 'complicated' trades betting on the Greeks and mainly wants to capture time decay.
If you are reading everything he writes in books an articles etc., you see that it is really not a complicated strategy. He seems not even to use hedges, only a price stop. Why do people not believe that's all to his strategy? If he is diversified in different markets and has discipline, it can work well.
Do you sell naked or spreads? If naked, how do you intend to hedge your position if price starts moving against you?
Question is without changing the parameter, will your model remain as profitable in a bear market? If one parameter needs to be changed in a bear market to be profitable, then it all depends all how reliable your analysis of bear market is, right?
Do you sell naked or spreads? If naked, how do you intend to hedge your position if price starts moving against you?
Right. The model is still very profitable with either parameter, in bull or bear market. If not, as you know, it would be flimsy.
Ansbacher trades simply, as does Yu Dee Chang. Ansbacher trades over 1000 contracts at a time, sometimes much more. Just the active trading to hedge at all times would cost enormous slippage. They watch the exits and let the market decide if they are profitable or not. The math behind the model tells them they have an edge.
It depends on what one considers fancy. Their premium writting method consits of these components and others . 1/ Reversal timing and cycle analysis 2/ Proper pricing based on deviation premium from At The Money premium based on real time volatility. 3/Spreads are not placed at the same time at certain conditions. 4/Protective options are bought very often way ahead of time. And couple more ..... There is no easy way, sorry..