By flat I mean neither positive or negative. In other words flat means zero. Isn't that what you mean by flat in your previous post? <B> hehe â¦nice try , atty. I think results will be flat/neitherâ¦And btw , I am both long and shortâ¦just depends WHICH ones. </B> By results I understand the straddle values at the expiration. By flat I understand the total values will be 0.
Oh , I see. I meant that sum of all intrinsic values at expiration will be equal to initial premium received (or paid) , which was 6100$. BTW , the total bid/ask spread is around 250$ (1250 stocks * 20c per straddle) , so b/e for retail âlongsâ is 6100$ and for âshortsâ is 5850$
May I ask you a question. In what way your simulation is different from simply selling a straddle on s&p 500 ( at the current market price ) and buying the s&p 500 strangle ( with the call above and the put below the market price )? How far apart are this 2 simulations? Does it play any role in the final results the fact that the long strangle is not at the market price?
week end 2/29 Starting total premium = 6084$ (intrinsic = zero) Current total premium = 5638$ (intrinsic = 2911) -7%
week end 3/7 Starting total premium = 6084$ (intrinsic = zero) Current total premium = 5702$ (intrinsic = 4297) -6%
This experiment if meant for March only is wrong headed. To reach a conclusion you need to test it for at least 24 months. IV_trader: have you ever taken a course on statistics/probability?
everyone knows the sample is too small but it is interesting none the less. thanks ivtrader. we could just do julys for the past 20 years and show a nice premium gain.
Thanks , Preval There are a lot of tricks to go around 20Y testing. You can create your own âexpirationâ within the same month by shifting start-end day by one ( 20th to 20th , 21 to 21 , 22-22 â¦). Then you get 30 results in one month. Also, markets efficiencies (or not) should work the same for diff time frames ( a week , 10d , two month). Like I stated beforeâ¦I was boredâ¦