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MEHF, LLC

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smikros

Stock Index Options

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OTM covered ratio back-spreads in a long/short volatility model using Stock Index Options ,[object Object]
We are currently in record high Volatility ranges that are sustainable for a minimum 6 year time-frame: ,[object Object],[object Object],[object Object],[object Object]
X = underlying price of SPX Y = profit vs. risk ,[object Object],[object Object]
Loving Theta…
Phase 2 – low Volatility
Phase 2 - high Volatility
To a riskless hedge… whatever the Volatility !
Numbers
A thousand words…
The good news… ,[object Object],[object Object]
Venue ,[object Object]
The really good news: ,[object Object]
REAL hedging, Keep the CHANGE

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MEHF, LLC

Editor's Notes

  1. Pro vs. Intermediate vs. lets go to the pictures
  2. Assumptions: Existing economic insecurities notwithstanding and LONG OVER DUE !!!
  3. The initial trade profile: right of the vertical is Premium collected, left is risk/reward, explain different lines are (DTE)
  4. remember that solid lines represent holding a position til expiration which would not happen
  5. remember that solid lines represent holding a position til expiration which would not happen
  6. No one you see, is slicker than he…BEHOLD: the riskless Butterfly. In this case with 35 days to go…!!! Everyone!: THANK YOU, THETA !!!
  7. A Picture is worth…