Options as an insurance - Why is it not working? Or does it? VAR 5% How?

Discussion in 'Options' started by thecoder, Oct 23, 2021.

  1. thecoder

    thecoder

    Not necessarily, really.
    Just curious, do you mean limiting the risk (ie. the possible loss) to max. 5% by using just options, but then w/o a capping at the other side (or a bigger capping there)? Let's know, thx.
     
    #11     Oct 23, 2021
  2. newwurldmn

    newwurldmn

    my model which is better than black scholes allows
    One to buy insurance for free.
     
    #12     Oct 23, 2021
    Zwaen likes this.
  3. thecoder

    thecoder

    Can't believe! Show me... the money :)
    Or are you just sarcastic, trying to make a bad joke or a satire, maybe? :)
     
    #13     Oct 23, 2021
  4. You could just buy a long dated, deep ITM call option. Unlimited upside with limited downside. Cost of insurance is the extrinsic value of the call.

    Downsides: sometimes poor liquidity, no dividends, short term capital gains
     
    Last edited: Oct 23, 2021
    #14     Oct 23, 2021
  5. thecoder

    thecoder

    Hmm. you sure? How? I tried to test this by buying a deep ITM Long Call DTE=3 yrs, but PL chart doesn't look any good: https://optioncreator.com/sth8uhc
    Or is something missing in the basket?
     
    #15     Oct 23, 2021
  6. Look at fewer DTE. 80-90 delta. Roll when it gets to 90 DTE and you'll keep most of the extrinsic value.

    What underlying are you trading? I cant see it on your option tool
     
    #16     Oct 23, 2021
  7. thecoder

    thecoder

    It's just a generic Black-Scholes tool, it works w/o any market data.

    Best would be if you post a complete example with your source of data and/or tools etc.
     
    #17     Oct 23, 2021
  8. Zwaen

    Zwaen

    Sounds familiar. Do have to withstand and keep in mind the (temporary) drawdown
     
    #18     Oct 23, 2021
  9. taowave

    taowave

    Lol...you will regret "revealing" your better model
     
    #19     Oct 23, 2021
  10. newwurldmn

    newwurldmn

    no drawdowns. But the world isn’t ready for my massive math prowness.
     
    #20     Oct 23, 2021
    Zwaen likes this.