Posted by DigiNomad on 15th of May 2023 at 05:25 pm
That and diffusion. Because SPX has 500 components, there's not
much chance of it squeezing to the moon and crashes to the downside
are also much less likely to maintain momentum past a standard
deviation or 2...maybe 3, but only on very rare occasions. If
you sell 16 delta on an index and wait to defend until that strike
gets touched, you are rolling at an extreme, by definition. It's
only supposed to reach that price 16% of the time.
Yes, liquidity is the key
SPX Daily
Posted by junkie on 15th of May 2023 at 05:21 pm
Yes, liquidity is the key here.
That and diffusion. Because SPX
Posted by DigiNomad on 15th of May 2023 at 05:25 pm
That and diffusion. Because SPX has 500 components, there's not much chance of it squeezing to the moon and crashes to the downside are also much less likely to maintain momentum past a standard deviation or 2...maybe 3, but only on very rare occasions. If you sell 16 delta on an index and wait to defend until that strike gets touched, you are rolling at an extreme, by definition. It's only supposed to reach that price 16% of the time.
Do you work on daily
Posted by junkie on 15th of May 2023 at 05:29 pm
Do you work on daily charts or weekly charts for 3 StandDiv's? I would work with 3ATR Keltner channels and a weekly chart for this method.
One standard deviation is equivalent
Posted by DigiNomad on 15th of May 2023 at 05:30 pm
One standard deviation is equivalent to a 16 delta option
ok.
Posted by junkie on 15th of May 2023 at 05:30 pm
ok.
I could try to paper
Posted by junkie on 15th of May 2023 at 05:25 pm
I could try to paper trade with all this information now. Thank you very much, DigiNomad!