- Question about Volatility when selling premium?

Discussion in 'Options' started by Diceman34Mules, Jan 24, 2004.

  1. Building on my first post in this thread...

    Gallacher in The Options Edge does an empirical investigation of this issue and concludes that 30% is a reasonable expected ROI.

    Max Ansbacher seems to do 20-40% ROI by selling OTM S&P options.

    I would not characterize either of these approaches as "aggressive" (and Ansbacher is actually quite conservative and risk adverse). So, I submit that these data support Saturnine's statement quoted above.
     
    #41     Jan 31, 2004
  2. I referred him to the Liffe site for P&L curves, I think I mentioned the diag. is long vega... The vertical condor/fly has very little short vega exposure.

    Sell those puts HD!

    riskarb.:D
     
    #42     Feb 1, 2004
  3. Will do, my friend. I have a sneaking suspicion (or is it an unabiding hope) that they may become even more enticing over the next week or two. Ahh, dreams die hard. . . .
     
    #43     Feb 1, 2004