I don't know why you think the comments are negative. They are constructive questions. You have not answered many questions, and one question has been asked 6 times. Why do you post if you do not want a dialog with others? There are only a handful of people here who can help you with this, and if you do not want help then just say so and we will ignore your posts. None of us have all the answers. If you do not know the answer to a question then just say so and we won't ask it again. If you prefer to answer questions that are numbered, we can number them to make it easier. Now as to your latest post, you say #2 - AveBasketPrice*TotalShares/DiaPrice/100. Is AveBasketPrice anywhere on your sheet? What is the AveBasketPrice? It looks to me that if you take the Total Debit (for the shares) and divide that by the DIA price and by 100, then you arrive at 125 which is the amount of puts you bought. But this has nothing to do with the calls sold. #4 - You don't have IV anywhere on your sheet so how does that show up in your calculations?
hallo ,i'm relativlely new to options,but +dispersion looks very interesting to me.what are the long term experinses with that strategy?how much profit is to be expected,what are the biggest loses,under what conditions? and 2:is the sell of naked stradles on an index a viable strategy on his own? thanks
ludmil, To begin to understand dispersion trading you need to be at an advanced level with years of option study. There are no public track records or usual educational sources of information except for high level academic papers. If you have read this thread, which I guess you have not, then you will find some sources available from EGAR. I am also guessing that because of your numerous misspellings, that English is not your native language. When you type a post, there is a spell checker button available at the bottom to solve that problem. If I were you, I would learn about selling index options from those threads on that subject. I would also learn about selling Iron Condors from such threads such as: http://www.elitetrader.com/vb/showthread.php?s=&threadid=49586
you are right,english is my 4 language-but i hope what i write is understandable but i readed that threadi don't understand the mathematics,but the idea conforms to the dispersion of stock prices described by mcmillan-overpriced index options and fat tails.and of course hedgingdo i miss something from the general filosophy?
does anyone ever traded DXL instead of DIA ? Perfect correl , same (and sometimes lower ) vols. I bought 7 - 1080 jan puts in the last two days instead of 70- 108 DIA puts and saved a bit on commissions. Why this product is so illiquid ? No volume what so ever.
Should be the same as DIA else an arb to be had (which won't last for long). How did you balance that against the component stocks, or was that a stand-alone trade ?
true , most of the times same vols as DIA... Yes , trade was a balance against basket stocks and partially against basket naked puts (like u did it in your file)
Yes there is an arb with the DIA and primarily with the DJX, since DXL is nothing but a jumbo DJX. And the arb is done by the floor when people like our friend put a DXL order in. The DXL has been trading only 2 months and his 1080 put did 0 volume today and has a whopping 7 contract open interest. Gee, I wonder whose 7 contracts those are??? If the owner of those 7 contracts has to sell, I wonder how much he will have to pay the MM to do the trade? Compare that lack of liquidity with the tremendous liquidity of the DIA or DJX. The 108 DIA put by itself did over 1300 contracts today and has an open interest over 19,000. The 108 DJX put did over 700 contracts today with an open interest of 14,200. Generally speaking, the higher the cost of a index contracts, the less liquidity there is. Now let's look at the "savings" of replacing the liquid DIA with the illiquid DXL. As it stands now, the DLX spread is $200, while the DIA and DJX spreads are $10. So multiplying by 7 gives you a spread cost on the DLX of $1400 vs. 70 x DJX spread for a cost of $700. Wow, that's a greater cost by $700! But wait. I almost forgot. You saved a few dollars on commissions! Smart Move.