Thanks very much for introducing me to this diagonal spread dissection methodology. I will try to gain an intuition for it.
Of course it is totally possible that my modeling code has a bug and my results are complete garbage! At least I am tracking the actual daily...
I build my IV surface by cut and pasting option chain data into a spreadsheet. Very advanced technology. :D To simulate your case, I would have...
It loses when the move is large, up or down
no, but the trade is profitable for both an up or down move (see blue dotted lines on first graphic) of about +/- $8 on SPY.
Here's a plot of net normalized vega vs net vega. This is for the declining SPY case. norm-vega-neutral until Oct 19, then turns upward. [ATTACH]
Awesome, thanks mucho for the homework and concrete feedback. I guess I kind of look at negative gamma as a "hedge" (Boy, did I get spanked the...
I finally got my modeling tool to a satisfactory stopping point. Using sticky delta to model the IV surface. SPY Diagonal call debit spread. S...
Yes. This. Not that I'm complaining. This stuff is super cool. My current side-obsession. Appreciate those who take the time to transfer...
Holy crap this stuff is complex.
Yeah, I now realize that I'm far from a "real" options trader. ;-) I went ahead and opened an Interactive Brokers account and threw a couple...
This MWM is actively seeking a SAB (single awesome brokerage): https://www.elitetrader.com/et/threads/best-broker-for-options-trading.361922/ I...
So I took @destriero 's advice and looked at Derman's sticky delta/sticky strike work (e.g. https://www.math.columbia.edu/~smirnov/Derman.pdf) to...
No RH pretty much sucks for options. Same with Merrill. It would be a start to see my positions and their greeks in one view. And to visualize...
I assume this is Schwab's platform. Do the other "real" options platforms have the same walk limit order feature?
I have sold deep ITM LEAP options (eg a 95 delta call with 90 DTE) for less than intrinsic value. I don't want to repeat that mistake. It was on...
I am sure this question has been asked and answered, but in celebration of the redundancies in life... What is the best brokerage for "real"...
Yeah, definitely not wedded to RH (or Merrill Edge); it's just where i started. Inertia and pain of changing is the only thing keeping me at RH....
When I said "visualize", I didn't just mean the payoff. I am also interested in visualizing the greeks & IV across strikes and over time. As...
Thanks to both of you for the feedback. Nuts that you can enter such a huge position. Do you end up moving the market at that size?
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