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.
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...