Iron Condor

Discussion in 'Options' started by TradingPilot, May 18, 2007.

  1. MTE

    MTE

    You can't predict a sharp rise in IV since it is associates with "black swan" type of events.
     
    #31     Apr 20, 2008
  2. MTE

    MTE

    I trade index options. It's a purely mechanical system based on volatility prediction, no R/S, delta or other stop loss.

    The two big losers were Aug and Jan, with Jan having the max loss and Aug about 2/3 of the max. I also had a small loss in Sep, the rest of the months were all winners and with high IV the premiums were pretty good. Overall, the average winner was 3.8% per month and the average loser was 5.5%.
     
    #32     Apr 20, 2008
  3. gkishot

    gkishot

    Is it possible to forecast in general whether IV will rise, fall or stay about the same in the coming days or weeks? What are the best tools available to do that?
     
    #33     Apr 20, 2008
  4. MTE

    MTE

    Well, that's for you to find out. I mean, if you could do that accurately then you'd have an edge. There are many tools to forecast volatility, however, as with everything else, there's no best.
     
    #34     Apr 20, 2008
  5. Well since August, IV had been spiking repeatedly versus the relative calm the prio couple of years. ICs in March may have done well but on average they would have been painful in every other month given the IV spikes. Doing them now certainly takes more balls and ulcers with economic news having way more significance. I do not miss them right now and will add them back when the environment cools a bit :)
     
    #35     Apr 20, 2008