Hi Ricky, I don't have the exact composition of the asymmetrical fly role but it will not be difficult to figure it out as based on my weak memory, the risk graph looked exactly like a ratio spread done for a credit. I am sure if you break your head:-) for a few minutes, you will be able to crack it. I haven't done it myself but I do think that adding 1 or 2 extra short options at either the middle or outer strike of the normal fly may do the trick...
Cheers Vikas
On Thu, Oct 29, 2009 at 12:39 AM, Ricky Jimenez <rickyjim@bestweb.net > wrote:
On Wed, 28 Oct 2009 12:18:00 +1100, Viky <vikas.basantani@
gmail.com >
wrote:Thanks Viky. Did you happen to copy down exactly what the trade was
>Hi Ricky, based on my notes which are usually more difficult to read than a doctor's prescription:-), the next adjustment was the asymmetrical butterfly roll which created a profit "tent" in the P&L. So if the underlying continued moving higher, you could make a profit bigger than the original credit on the IC. The downside, of course, was that it was a more costly adjustment (as compared to normal fly roll) and had a bigger loss if the underlying went to the sky.
in the "asymmetrical butterfly roll". What interested me was the
argument for the trade dd not just rest on the expiration P&L but also
the short term P&L graph.
Did anybody notice that on Dr. Summa's website there is l
advertisement for his book, "Options on Futures, New Trading
Strategies".
http://www.wiley.com/WileyCDA/ WileyTitle/ productCd- 0471436429, descCd-tableOfCo ntents.html
There is a chapter in that book, "The Coulda-Woulda-Shoulda Approach
Is Not Going to Make You Any Money". Hmm, I wonder if that is a
criticism of the methods of another one of Chris' speakers. Anybody
here have that book?
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