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Antoxa

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Antoxa last won the day on February 1 2018

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  1. Antoxa
    Удачи!
  2. Antoxa
    Does this include gamma gains? It feels like you take ATM Straddle at Entry and ATM Straddle at Exit and compare them. Am I wrong?
  3. Antoxa
    @Yowster, is it possible to calculate what would be a gain per $1 of move?
  4. Antoxa
    It would make sense to enter around 2.10-2.15 for Feb9 I believe, which is 9.8-10% RV (assuming stock price is around 21.5).
  5. Antoxa
    You never expect Straddle to grow in price as expiration approaches. The idea here is to not lose too much while you get gains from gamma. So if you can manage to get in for 10% you minimize your chances for downside, it will not drop much lower (if IV stays around 10% at ER), but you give yourself a chance to get gain from IV spike or stock moving (gamma). Around 10% gain is pretty solid expected gain from trade like this.
  6. Antoxa
    Yep. Recent 3 ERs were as follows: Implied/Actual 5.3% / 2.0% 5.3% / 24% 9.1% / 19.9% As you can see last two actual moves were huge. So we can expect IV of current cycle to be elevated as well. It will probably stay around 9-10%.
  7. Antoxa
    It is price of straddle divided by underlying's price. At the moment TEVA is 21.5 It's 21.5 Straddle is 2.20 RV is 2.20 / 21.5 = 0.102 (10.2%) This means that market implies 10.2% move by the expiration (Feb9)
  8. Antoxa
    As far as I understand RV represents IV in a way it can be compared with previous cycles. Straddle price = IV. If you normalize it to stock price you get RV.
  9. Antoxa
    Also is you check last ER trade (the one with also expensive Straddle) in CML, it is not profitable. It is gamma you rely on if you enter this trade in current conditions, I believe.
  10. Antoxa
    TEVA Straddle is pretty expensive nowadays.
  11. Antoxa
    RV is a way to understand if a price of an item you buy is high or low. No matter how many items you buy, you still want the right price.
  12. Antoxa
    It says Long Straddle, but it is a Strangle they test:
  13. Antoxa
    Imagine how I feel after 27%
  14. Antoxa
    How do you decide what is a good price for these positions?
  15. Antoxa
    Closed for 1.80 by GTC order this morning. 27% gain after commissions. Not bad, but could be better (mid is 1.98 already).