Calendar secrets :-)

you two should start a HF.

EI can’t find his asshole with a map and you don’t know that same-strike calendars are equivalent. Marriage made in heaven.

 

Hey @destriero, what do you mean by "same-strike calendars are equivalent"?
Does it apply to my posted data set?

 

Hello Desty, old chum. I see that I've been living rent free in your head for a couple of years now. So satisfying. I don't even need to insult you anymore, cos you are creating your own pain by reliving the humiliation that has been hurled at you over the years.

Go on, Desty, I ask you again....bring it on....give me your best shot. Go on son. But make it good. None of those imbecile-level comments like "You're a fucking piker". You can do better than that, if you really try. See if you can use that tiny little brain of yours to come up with some decent insults.

And you cannot even block anyone anymore, like the coward that you are, cos...oh that's right....cos you've lost your blocking/ignore privileges on this site, cos you were acting like a pathetic little school boy, and the site owner put an end to your stupidity.

 

Most of you expert traders and academicians have better tools and test environments and literature than me.
So, can any of you experts confirm my finding as described in this posting along with an example data set?


Just for the historical record: here are the Q&D crypto-like results of my test program.
Background story: I added calendar spreads just today to my "vertical put spread" program,
and promptly made the said observation and discovery.
But, as said, everything is very new / very fresh, so I just hope it's bug-free.
As a control instance I'm calling you experts out there to test/verify/confirm this finding.

Below, I'm focusing on these 2 outputs (PnL% for Spot and IV same at expiration of the ShortPut):
Sx_at_SP_S=100.0000(dPct=0.00 PL=5.8656 PLpct=6.23)
Sx_at_SP_S=100.0000(dPct=0.00 PL=12.2449 PLpct=12.37)

As can be seen: PnL 6.23% vs. 12.37% is of course a very significant result... Q.E.D. IMHO

Code:

PgmArgs(16): ./yfapi_get_options_data.exe CSP+LP_calc 1 3 0 100 100 60 100 -1 150 100 60 90 -1 150  >$FN
fErr=0 mfac=1.0000 SP(S=100.0000 DTE=60.00 K=100.0000 Pr=23.8934 IV=150.0000) LP(S=100.0000 DTE=60.00 K=90.0000 Pr=18.0278 IV=150.0000 --> Pr_at_SP_expiry=0.0000 Net_Pr=18.0278 Used_Pr=18.0278 Pr_for_SP_DTE=18.0278 Saved_LP_Pr=0.0000(0.00%)) :
  SM=0 CashAcct/3 PutVerticalBullSpread NetPr=5.8656(Credit) CashReq=10.0000 CBraw=94.1344 CB=94.1344 NetAssReq=76.1066 MaxPL=5.8656(6.23% @Sx>=SP.K(100.00)) MinPL=-4.1344(-4.39% @Sx<=LP.K(90.00)) WLrat=1.42 LWrat=0.70 WIrat=16.05 LIrat=-22.77 BE(Sx=94.1344(-5.87%)) S0(PL=5.8656(6.23% Mon=3.11% Ann=44.44%) Irat=16.05) SL_Score=168.77
  Sx_at_0=0.0000(dPct=-100.00 PL=-4.1344 PLpct=-4.39)
  Sx_at_LP_K=90.0000(dPct=-10.00 PL=-4.1344 PLpct=-4.39)
  Sx_at_(LP_K+Sx_at_BE)/2=92.0672(dPct=-7.93 PL=-2.0672 PLpct=-2.20)
  Sx_at_BE=94.1344(dPct=-5.87 PL=0.0000 PLpct=0.00)
  (Sx_at_BE+SP_K)/2=97.0672(dPct=-2.93 PL=2.9328 PLpct=3.12)
  Sx_at_m1SD=86.5731(dPct=-13.43 PL=-4.1344 PLpct=-4.39)
  Sx_at_SP_S=100.0000(dPct=0.00 PL=5.8656 PLpct=6.23)
  Sx_at_p1SD=115.5093(dPct=15.51 PL=5.8656 PLpct=6.23)
  Sx_for_PLpct_50=100.0000(dPct=0.00 PL=5.8656 PLpct=6.23)
  Sx_at_SP_K=100.0000(dPct=0.00 PL=5.8656 PLpct=6.23)
  Sx_at_SP_K*1.25=125.0000(dPct=25.00 PL=5.8656 PLpct=6.23)


PgmArgs(16): ./yfapi_get_options_data.exe CSP+LP_calc 1 3 0 100 100 60 100 -1 150 100 90 90 -1 150  >$FN
fErr=0 mfac=1.0000 SP(S=100.0000 DTE=60.00 K=100.0000 Pr=23.8934 IV=150.0000) LP(S=100.0000 DTE=90.00 K=90.0000 Pr=22.8528 IV=150.0000 --> Pr_at_SP_expiry=11.6485 Net_Pr=11.6485 Used_Pr=11.2043 Pr_for_SP_DTE=18.0278 Saved_LP_Pr=6.8235(37.85%)) :
  SM=0 CashAcct/3 PutVerticalBullSpread NetPr=12.2449(Credit) CashReq=10.0000 CBraw=98.9594 CB=98.9594 NetAssReq=76.1066 MaxPL=12.2449(12.37% @Sx>=SP.K(100.00)) MinPL=2.2449(2.27% @Sx<=LP.K(90.00)) WLrat=5.45 LWrat=0.18 WIrat=8.08 LIrat=44.08 BE(Sx=0.0000(-100.00%)) S0(PL=12.2449(12.37% Mon=6.09% Ann=103.33%) Irat=8.08) SL_Score=209.01
  Sx_at_0=0.0000(dPct=-100.00 PL=2.2449 PLpct=2.27)
  Sx_at_LP_K=90.0000(dPct=-10.00 PL=2.2449 PLpct=2.27)
  Sx_at_(LP_K+Sx_at_BE)/2=45.0000(dPct=-55.00 PL=2.2449 PLpct=2.27)
  Sx_at_BE=0.0000(dPct=-100.00 PL=2.2449 PLpct=2.27)
  (Sx_at_BE+SP_K)/2=50.0000(dPct=-50.00 PL=2.2449 PLpct=2.27)
  Sx_at_m1SD=86.5731(dPct=-13.43 PL=2.2449 PLpct=2.27)
  Sx_at_SP_S=100.0000(dPct=0.00 PL=12.2449 PLpct=12.37)
  Sx_at_p1SD=115.5093(dPct=15.51 PL=12.2449 PLpct=12.37)
  Sx_for_PLpct_50=100.0000(dPct=0.00 PL=12.2449 PLpct=12.37)
  Sx_at_SP_K=100.0000(dPct=0.00 PL=12.2449 PLpct=12.37)
  Sx_at_SP_K*1.25=125.0000(dPct=25.00 PL=12.2449 PLpct=12.37)

 

With Google charts. What the hell that has to do with SP option tables I've no idea.

 

lol no, it doesn't.

 

Just an unimportant detail: the literal text "PutVerticalBullSpread" in above code output is of the old program; this now has to selectively set to Vertical or Horizontal/Calendar...

 

Why a Moroccan goat specifically? Why not just a normal goat? Why even a goat? You could have said a parrot, or chimp, or cricket.
Serious question, what makes Moroccan goats have poor social skills? Specifically the Moroccan species?

 

Prolly because Moroccan goats have all made millions in the financial markets?

 

There are no secrets. Calendar never spreads, it is always 365 days.