I also suggest taking a look at the (long) post by mav on page 30. thanks mav for the (rather philosophical) post without mentioning any greeks
Mike, Any update after your 2004 post (on page 29) on this. how did it go? Any improvment/suggestion?
Just saw this thread for the first time. Let me add this little-known fact: If you are long the wings and short the middle at a ratio that makes you premium neutral, then as IV rises you get longer and longer vega, and make money. As IV drops, you get shorter and shorter vega, and ALSO make money. Don't believe me? Put it up on your simulator and you will see for yourself. To the Riskdoctor - Hi Charlie! I traded in T-bond options with you from '84 to '87 (dmo was my badge). Loved your book - I can vouch for the accuracy of the anecdotes - you have quite an amazing memory to recall them in such detail! For the fans of Charles' books - he was quite the amazing plunger in those days. When a broker had a thousand of something to buy or sell, Charles loved to be the guy who yelled "sold" - leaving everyone else in the pit with their mouths agape. At the time, 100 lots was more than most locals would take - even the ones working for institutions!
Hey DMO, Good to hear from you. Some of those 1000 lots were nasty, weren't they?. Hated some of those! Getting back on topic, attached is an image of the double slingshot which can be achieved many different ways. Watch* the 2-Hour lecture on the pros and cons of the Slingshot variations: http://www.riskdoctor.com/cgi-bin/forum/ikonboard.cgi?act=SF;f=33 Charles Cottle *Must join the free forum for access to the movie.
It's slim pickins up there. That's what 6 years on a message board will do to your hairline. A cautionary tale for sure...