Not so fat tails

Discussion in 'Options' started by IV_Trader, Mar 12, 2006.

  1. more than 30% annual gain if one can handle 10/1 negative to positive ratio...

    Conditions :

    Buy SPX strangle ( OTM , wings=2.5% away from current price ) , when time to expiration = 5 days.
    Cost of straddle= 50 cents (on the ask), all profits are based on intrinsic value only , so spread is a non-issue.
  2. Hi,

    Do you mean strangle? Not straddle, right?

    Interesting, but it's only 2 years, maybe if it's longer there will be bigger fat tails in total...