Very interesting.. I got 2 questions: 1) why don't you just sell some wings in the very moment you roll? Why waiting later? 2) in which ratio...
in a choppy market and in a trendy market the lookback period should be different. You should have a secondary system to adjust the lookback...
update: tested also the last period (2021~2022 until now), results and equity curve are similar to the 2016~2021 period
Hi all, I developed a system that I think might be ready for live testing. On paper, the stats look good. The test was done on a basket of 2334...
Yes, neg. gamma is a bitch. do you use a specific threshold? On that topic, someone infinitely more knowledgeable than me said that he preferred...
Hi all, just would like to know what's your approach when managing a naked short. Everyone feels like a genius when making money selling naked...
you can try implementing a local volatility model. There are many models around. The one in the link uses Dupire's formula and (compared to...
Well that's the point. I don't think it its a good idea either. Wanted to know if anyone could improve upon that..
Alright.. Verdict of the board: (yet again) no free lunch..
www.optioncreator.com basic functions but it's free, you can input as many legs as you want and you can see the final payoff as well as the...
I'm not in the US and not trading US options that's why I can do it, its not illegal here, or at least I have the option on my broker interface...
such a long dated option is more influenced by changes in implied volatility than changes in spot price
well it was just an idea, just wanted to hear if anyone had a more creative idea..
yes of course if entered at the same time they cancel each other. I figured I could first wait to see if the long makes money, then close the long...
haha there is no illegal stuff involved.. the market rules here are very different from the US. I just discovered there is this possibility,...
..you could at the same time be short and long the exact same contract (same type, strike and tenor)? With the caveat that at the end of the day...
If your handle was proey_mcpro they would warmly welcome your criticism
today has been a disaster. instead of a move down, I got a massive push up, touching 3.058. I haven't done anything because actually most part of...
this is like the martingale strategy for stocks: stock drops and you double down, stock drops again and you double down again etc, when stock...
I don't think he offended anyone. It's more likely that either: 1)nobody was willing to spend political capital to save him 2)it was something...
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