Destriero - Butterfly Trades

Discussion in 'Options' started by ironchef, Dec 11, 2020.

  1. .sigma

    .sigma

    you keep asking the same questions, dude
     
    #281     Jan 16, 2021
  2. taowave

    taowave

    Neither structure is inherently better,it is really a question of relative pricing and ones assumption on price distribution and "stickiness"....

     
    #282     Jan 16, 2021
    Atikon and ironchef like this.
  3. ironchef

    ironchef

    When I don't understand, I keep asking. Sometimes folks get annoyed and put me on ignore. :p

    But how can I learn if I don't keep asking?
     
    #283     Jan 16, 2021
  4. ironchef

    ironchef

    What do you mean by stickiness, sir?
     
    #284     Jan 16, 2021
  5. .sigma

    .sigma

    Never would put you on ignore, I’m just saying.

    the question has been answered many times before, you just gotta put some effort in on the search bar my friend.
     
    #285     Jan 17, 2021
  6. .sigma

    .sigma

    DURR DURRRR DERRRRRMAN DELTA MY BRO
     
    #286     Jan 17, 2021
  7. ironchef

    ironchef

    I did read some of the answers that is why the post.

    I ran butterfly sim on SPY using historical SPY and HV (as proxy for IV) going all the way back to 1993, with the same reward/risk ratio, the outcome of 121 actually was a little better than 132???? So, I am confused. Maybe my sim assumptions were wrong.
     
    #287     Jan 17, 2021
    .sigma likes this.
  8. ironchef

    ironchef

    Thank you both for your answers.

    Essentially my sim showed they were about equal to first order. So, which one I should pick depends on second order effects. Perhaps stickiness. But how do I know if DELTA is sticky or not?
     
    #288     Jan 17, 2021
  9. .sigma said it, albeit in a rather funny manner. Look up "Derman delta"; the paper isn't very long or complicated.

    ...at least on the surface. Getting sticky delta and how it applies in different situations is a horse of a different color.
     
    #289     Jan 17, 2021
    .sigma, taowave and ironchef like this.
  10. ironchef

    ironchef

    Thank you. I haven't read it yet but will.
     
    #290     Jan 17, 2021