100/120/130 132 in calls for 8.00 BE = 108 & 126 (upside BE = OTM strike - (debit)/2) PNL is symmetrical outside of strikes and therefore debit = requirement.
I am going to keep the journal going until the agreed-upon sixty days has elapsed, but will not be competing directly with Vanzandt as he forfeited and had me blocked from his journal. His marks and fills are absurd. I will use mid if the trade is not taken or I take a trade in a synthetic. I will account for microstructure and edge loss by taking a 0.5% penalty (of trade debit) per transaction calculated when the experiment is over. That is my average edge loss in index as a price-taker in my IRA, so I will apply that to all transactions posted at mid. My goal is to achieve a 30% gain after accounting for edge loss, with a PTT draw-down not to exceed 10%.
Have you READ this post? Does he read like a guy who knows how to balance a checkbook? https://www.elitetrader.com/et/thre...l-6-29-18-09-01-18.322594/page-2#post-4683271
This is for the hater out there using a E Street Band & Soprano's pseudonym: Top down. XYZ 100C is NBBO 3.00x3.20; 3.10 mid. Let's assume that we know the share price, expiration, STIR, div. "The" pricing model solves for volatility using 3.10 as one of the PM inputs; hence the volatility is "implied" by the OPTION PRICE. You can price at bid/ask, but that's immaterial for the discussion. NBBO = National Best Bid Offer. You need all of those other inputs as well (spot, exp, rates, divs) to derive the "implied" volatility. IOW, an expiration of June instead of July will boost the vol-figure (time as synthetic vol). I am not touching the impact of rates/divs. The 3.10 number (and the other shit) results in an implied vol. This implied vol-figure does not tell you the impact of b/a size, liquidity, microstructure (impact of actual buying and selling)... it offers ZERO color on where option will fill WITHIN THE SPREAD.
Being new around here I have to say I hope all threads are as educational and entertaining as this one. But I have to ask, is this vanzandt guy for real or just a troll? Because for some reason it seems like a few people here see him as a successful trader and everything in this thread has proven otherwise. My favorite line is this one, a "simple trade" as he calls it: As others already pointed out, there was 0 volume and only 16 open interest for this contract. The fact that he went on irrelevantly about the volume and price of the underlying makes me think that he's never actually traded an option before. Even a newbie trader would know how to read an option chain.
I apologize for my nasty post to you yesterday. I don't know what bug crawled up my a**, but it's nothing that a little lithium can't cure.
He never stated that the order hit the tape. He equates “not budging” with ease of filling the order due to lack of volatility. Yes, he’s a moron. His comments are contradictory. He doesn’t get that the lack of liquidity would negatively impact the ability to fill inside the spread. He sees the zero liquidity as proof that it would be easy to spot a fill... if he were not paper trading?! The guy is obviously destitute and I’d wager that Baron will never see the guaranteed St Jude’s donation. Vanzandt will just stop posting and adopt a new handle.