Recent content by dr_trick

Hi all, I was looking at the quotes for the VIX options on CBOEs website and either I am missing a trick or the prices on the put options don't look right. For example, the VIX is closed at 12.38 on 15-May-2015, but the quotes for the Sep15 put with strike 20 are 4.40 - 4.60. Am I missing...

hi, thanks for your reply. I was going to write a proof but I haven't gotten round to it yet. the key feature of the approach is the level. i found that adjusting the bet sizes too frequently was not optimal. the level means that one has consistent bet sizes either side of it irrespective of...

hi, the martingale is a very risky strategy, i would not be encouraging anyone to try that. could you elaborate on the second point please. cheers

hi.. i was not looking for a fixed set of rules for a betting sequence. what i was trying to study was, the effect of risk size on performance for any possible sequence of wins and losses. the kelly criterion is often cited as the most optimal sizing strategy that maximises returns - this is...

hi... I did some simulations. I put results in a paper (http://ssrn.com/abstract=2530595 if you are interested). cheers

Hi, i think i should rephrase my initial post. the experiment is not a trading strategy. what motivated me was this: given any trading strategy, how can one manage bet/trade sizes so that it maximises the probability of being profitable after n trades. a simple way of doing this is to do...

hi, thanks for your reply. you are right, i was looking at the case that one can only exit the game after all 10 coin flips. thanks for the feedback again.

hi everyone, i wrote a blog post (and paper) on a coin flipping experiment. i was testing a simple strategy for bet sizing / money management for a coin flipping game. the results look interesting, i have not applied the strategy to trading yet. i still need to look at variable returns and...

Trading system backing sending you a PM

I decided to focus on 3 underlyings (gld, slv, and vxx). That way my research is focused and the correlation to the overall markets means I have macro exposure. My main issue is how often to trade and how many positions to keep open. For example, I currently have some 6 month options on all...

the call was ITM when I entered the trade, and was DITM by the time i was assigned.

none... i put in two trades and was assigned twice. the first trade was assigned to me about three days before the options were due to expire and the second trade was assigned to me a full 3 months before expiry. now i find myself saying "fooled me twice, shame on me." and i can see clearly...

hi... thanks for your reply. in response to your questions, i'd say: 1. i was looking at the case that the exercise is done to receive the dividend - i suppose this is optimal to exercise the call for the dividend if the cost of a put at the same strike is lower than the dividend received. 2...

thanks. i think the only issue i have with closing the other legs is that the spreads somehow conspire to leave one with a profit that is just under the total dividends pushing the trade into a loss; this is while the stock is trading at a profitable point on the payoff curve.

hi everyone, i'm curios about this: is it possible to rescue an options strategy after an early exercise on short call? for example let's say you traded a condor, which includes a short ITM call, the whole set expires in some time away but you get exercised early on the short call because the...