Why do you calll this a"bull strategy"? It was put on when spot was at 1345. If the market rallied to 1400 by July exp., the PF would lose around 8 points. Rally higher- lose much more. Not ideal for a "bull strategy".
The original PF was around 86 mid... whats PF if the skew is 'rich' or 'poor'.... whats it mean for a skew to be rich? high vol on the wings? flat vol-surface/gain to sticky delta.. is this referring to not much of a vol smile? sticky delta? "skew-premium" is fat or thin? again vol smile?? what is fat what is thin...
alternative to a risk-reversal for isolating skew... what (HF) account.. high frequency? The Pitchfork combo (PF)?? whats a pitchfork combo? rolling 30-day OTC straddle-vol??? whats OTC
C'mon Man. I can't think for you. My suggestion is that you loiter in another thread. OTC = over the counter.
thanks... that was quick and easy... i understand all that .. i've heard refferences to derman alot.. i've read all of taleb... i understand alot of the concepts.. i just don't get all your abbreviations... and i'm going to loiter where ever i want.. haha i'm learning! theses are genearlly where my thoughts run.. to figure out: how to be short a large numbers of small moves and be long a really small number of really big moves. in such a way to take replicate and take advantage of a distribution of a high peak with fat tales. What should be the ratio of small moves to large moves. How small and how often are the small moves. How large are the black swan jumps or large moves and how often do they occur. Can you be short the noise of the market and long the stock market crash in such a way to make money on the routine noise and lots of money on the jumps (crashes) .. Thats whats rolls around in my head.... VOLATILITY those are the things i generally am trying to quantify!