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.
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3 comments:

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.

August 18, 2009 at 3:54 PM
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!
Gustavo

August 19, 2009 at 4:54 AM
Gene said...

Gustavo,

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.

August 19, 2009 at 7:27 AM

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