re: option straddles ... andrew Hi Andrew ... stripping out risk via volatility is big bickies in the US ... a cruise of the websites is worthwhile.
Your is a bona fide approach and well worth developing further ... you can refine the strategy as you go along.
I noted the examples you posted previously. The couple of straddles that failed to perform were due to the PUTS not firing according to OPM modeling ... ???
Worthy of a post-mortem ... if this a recurrent issue then this could be noted as it occurs and pozzie closed out to protect against loss ...
One exercise would be to run the actuals against the OPM in a spreadsheet ... noting the daily deviations.
My BC works on REAL TIME and allows me to view pozzies in this way ... the reason I was able to observe I/Vol fluctuations as they were occuring.
Keep up the good work ...
Cheers ...
This is only my view ... read the red stuff.
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re: option straddles ... andrew Hi Andrew ... stripping out risk...
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