Tuesday, August 18, 2009

08/18 MNX Iron Butterfly - SEP

The SEP MNX Iron Butterfly recovered from Yesterday, I have some contingent orders to sell the OCT PUTs if we keep moving back up.


Gene said...

Hi Gustavo,

Congrats on the IBM trade. I know it's been difficult with the delta neutral strategies.

Have a quick question with regards to your plots (I'm working on my own). Do you include weekends in the plots? I belive the Volcone should include them, but the stock charts should not.

Gustavo's Trades said...

Hi Gene, thank you! Yes, it has been a rough ride to say the least..

On the Vol cone, I don't think I include weekends. Becaus I'm plotting the close values, I want to make the vol cone as approximate as possible. So, what I did was to use the volatility formula for 253 days, I believe that represents the number of trading days.. You can easily check that on the web.

Hope it helps!

Gene said...


Thanks again for the quick replies.

Guess I've been watching too many of Dan's videos on CBOE...he always used the 365.25.