I agree RR. But in addition I think the market was reacting mainly to oil prices dropping in addition to a couple good ER today.
When you guys talk about CTM and FOTM, what kind of % out of the money are we talking here? One guy's CTM could be another's FOTM and yet another's WFOTM!
Thats a great point! It's very subjective, although most ppl consider 1 to 2 SD to be reasonably OTM and close depending on the index...SPX I would think close is 10-15pts and FOTM abt 50. I think each person determines for themselves after experience and close calls. On the SPX most doing FOTM iron condors are looking at at least 100pts wingspan.
Sharing a visual I'm playing with. The attached is a chart of the SPX with Bands calculated from a correlated daily VIX value using the formula: StDevOffset = Close(SPX) * (Close(VIX) / 100) * sqrt(DaysToThirdFriday()/365); Plot(Close(SPX) + StDevOffset,"CallSide",1,1); Plot(Close(SPX) - StDevOffset,"PutSide",1,1); The Bands cover a period from 1st day of expire month to expire day or current day of current month. JPeg only shows the last 11 months or so, but I've done the calcs on about 17 years worth of data. Offered FWIW. The Bands are certainly different from traditional charting bands. I'm planning to do a little backtesting to see if the 70% containment rule is close. D
I have been trading Short Iron Condors for quite some time and I have found a few good sites that actually auto-trade these for me. I prefer to only use SPX and a few other European style options but that discussion is for another day. There are a slew of newsletter services who disguise there straegies as an innovative, proprietary strategy when indeed the only strategy they use is the Short Iron Condor strategy. A few services that offer these that seem to do a god job are www.wiseoptions.com and more recently www.crowderinvestments.com. Crowder only offers trades in his newsletter but I think he might actually start to auto-trade condors in the near future. Not sure about that one though. One thing is for certain, I recently came across his White Paper and was amazed by the in-depth discussion of the Short IRon Condor strategy. What seperated their work with others that I have read is that he offered exit strategies. DOes PArnos also trade Short Iron Condors? Does anyone know how good his service is? Also someone recommend some other sites that trade or discuss Sohrt IRon Condors? I think I have pretty much covered them all but I am always happy to educate myself further on what I feel is one of the top three options strategies.
At current volatility, roughly how many pts or % equates to 1 sigma in SPX? How about in ER2? Thanks in advance.
Hey, this is a family friendly sort of place. Please, no porno, fantasies or other salacious activities/suggestions here... TS
No interpretation yet. Just playing with the data (starting with the visual). Objective is to analyze, optimize and simplify spread level determination. From here I'll do some backtest coding to test band containment of SPX prices, then I'll apply various smoothing techniques along with band adjustments for optimization. I'll also be able to use the script to plug-n-play with other indexes correlated with their Volatility Indexes like the QQQQ. Is there a consensus that the calculation is a reasonable proxy for Sigma-1? D