What level ALPHA

Discussion in 'Options' started by Scottsdale, Nov 12, 2006.

  1. When a long gamma strategy is being used; ie a short calendar, long straddle, or short butterfly what's the minimum ratio of gamma over theta that you guys are willing to accept? Also, with respect to the short calendar, what's the minimum ratio of short vega over theta that you are looking for?
  2. I re-posted this at the end of a very extensive discussion of calendars spreads. The moderator may feel free to delete this.