ES Options - capturing decay every week

Discussion in 'Options' started by DisciplinedHedg, May 25, 2012.

  1. Averaging into a buy write fund during DD would seem like a good idea in getting better returns from that fund. Most buy write funds that I've seen suffer primarily 1 or 2 DD per year if that. But the more infrequent they are, the deeper they are it seems.
     
    #11     May 25, 2012
  2. Rule-based. ATM straddle at ~55 so you chose strikes 55-points OTM for the strangle. What I would define as excess premium as the straddle would be delta1 at those strikes, yet the strangle would be an ATM risk.

    I don't do this, but it's what I would look at if trading a cash-secured passive strategy. It's as much of a skew trade as a play on realized vol. The straddle is simple as the skew would be far less of a consideration than in the strangle.
     
    #12     May 25, 2012
  3. newwurldmn

    newwurldmn


    Interesting idea.
     
    #13     May 25, 2012
  4. newwurldmn

    newwurldmn

    That's a different topic: entering into the market at an opportune time.
     
    #14     May 25, 2012
  5. What would be the margin requirement for a short ATM ES straddle?
     
    #15     May 28, 2012
  6. with my broker its ~the same as short one side. Margin of course shifts when the market moves significantly away from the strike.... so about $5700 per straddle. You can buy a waaaay OTM P & C to lower the margin cost creating an iron B-fly but then of course you give up some premium.
     
    #16     May 29, 2012