Hi Mr. Cottle, I hope that you hang around for a while, will be great to read your posts. This thread has truly turned into a memorable event Has anyone else been able to open the PDF file, I keep getting an error. Thanks wdbaker Denver, Co
I went to the website and got it hear: http://www.riskdoctor.com/images/SlingshotHedgeLV6.pdf Hope that helps wdbaker Denver, Co
Come down to the CBOT. I am here most days. If you send it to me I might have to keep it. They are quite rare, you know.
Are you talking about a passive strategy, or a dynamic strategy requiring re-ajustements. Let's say you dont scalp your gamma, does your position require re-ajustements? Have you taken into account the skew and the IV term structure? and the their evolution in time? Havent had the time to read all the posts yet, but I'll sure do.
Yes, very passive. I wouldn't sell the vertical until 2 weeks into expiration. That would be the only hedge I make. The skew and IV term structure are non events. You are really not holding on to this position for more then 4 weeks or so and the only skew you have is on the front month and like I said before, in notional terms, we are talking about a nickel or dime in cost. In fact, when I leg into these, I have normally already offset the skew so it really doesn't play a role. Also, if you go back and read this thread, you will see that I recommend this strategy on very low vol positions. When you have low vol you're smile is going to be a lot more flat. The smile widens as the volatility rises as would be expected if the marketplace is expecting a large move. If you have any other questions, let me know.
Hey Charles, welcome. Listen, I'm suffering from a major case of "coulda, woulda, shoulda." Thus, I'd appreciate it if you could advise me on how to repair a large OEX short call position that expired this past January 20 points ITM. Thanks in advance.