haha well there is no profound reason.. I remember reading one of destriero's journals and he was aiming more or less for that level, so I just...
Oh I see.. thanks a lot for all the insight. When you say "split strike" you mean "skip strike"?
makes sense and sounds simple in theory, but I fear that the actual calculation is going to be a pain :banghead:
Can you elaborate? Something like summing the theta of all legs and using it as a proxy for daily expected P&L?
ok wait one sec.. this is degenerating into a TA thread.. here I'm doing pseudo-fly structures (sometimes bounded, sometimes unbounded, sometimes...
also, I don't think using the ATR you could compare it directly to IV, that would be like comparing apples to oranges..
There are many ways to estimate RV. google garman klass or yang zhang..
thanks, not bad advice, but can you be more specific? I'm trying to come up with a set of clear rules beyond the simple "gut feeling"..
hello all, So.. I am often playing with pseudo-fly structures which have the maximum payoff at a certain strike and lose at the wings. I usually...
normally percent change.
Usefulness is inversely proportional to the number of legs.
I'm recently playing a lot with correlation trades.. I noticed that in many cases, even when the correlation % is very high, on average one of...
noob question: can excel handle real-time data? I use it only for EOD calculations, and calibrating distribution parameters takes approx 45...
let me clarify, if I had all the other parts of the puzzle, calculating the value of the strike at 0.5 delta would be easy peasy, but I don't have...
Hello.. a question for the math geeks out there: I'm trying to create a few functions to derive OTC options data, so for instance I have the...
@Pekelo haha I didn't know she ever wrote a book.. I thought everything ended with the conviction.. I drifted away from the tastytrade/selling...
@Pekelo yeah I get it that at the time it was a very polarizing thing.. but hell, when was it? 2019? And this thread is already at page 11 :wtf:
I think that in the end, this Pelosi visit won't happen. The US needs a minimum of cooperation from China on a number of other issues, not least...
I'm wondering why, as soon as the name Karen pops in, the thread becomes as heated as a car left under July sun from 8 AM to 13 PM.
oh wow, it's actually much less frequent than I imagined..
Separate names with a comma.