Markets (options) efficiency

Discussion in 'Options' started by IV_Trader, Feb 18, 2008.

  1. I am not sure if I undestand your question ; what do you mean by not necessarily flat ?
     
    #11     Feb 24, 2008
  2. gkishot

    gkishot

    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 …nice try , atty. I think results will be flat/neither…And btw , I am both long and short…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.
     
    #12     Feb 24, 2008
  3. 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 “longs” is 6100$ and for “shorts” is 5850$
     
    #13     Feb 24, 2008
  4. gkishot

    gkishot

    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?
     
    #14     Feb 24, 2008
  5. dd4nyc

    dd4nyc

    What happened IV_Trader? Can you update us on the model portfolio performance?
     
    #15     Feb 27, 2008

  6. week end 2/29


    Starting total premium = 6084$ (intrinsic = zero)
    Current total premium = 5638$ (intrinsic = 2911)

    -7%
     
    #16     Mar 1, 2008

  7. week end 3/7


    Starting total premium = 6084$ (intrinsic = zero)
    Current total premium = 5702$ (intrinsic = 4297)

    -6%
     
    #17     Mar 8, 2008
  8. 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?
     
    #18     Mar 8, 2008
  9. Prevail

    Prevail Guest

    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.
     
    #19     Mar 8, 2008

  10. Thanks , Preval
    There are a lot of tricks to go around 20Y testing. You can create your own “expiration” within the same month by shifting start-end day by one ( 20th to 20th , 21 to 21 , 22-22 …). 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 before…I was bored…


    :p
     
    #20     Mar 9, 2008