I'm staying.

Same. Then bags be heavy

For what, exactly?

The ability to use this model to price specific options contracts?

What do you mean subs?

Would be an interesting exercise, coming up with an entry price for every contract.

Difficult? Not at all.

But it takes a lot of compute horsepower as it is to come up with pricing for ATM plays, or slightly OTM plays.

So it's not something I can do for all 5200 tickers.

Loose and I operate on different timescales. No reason we can't both be right.

Yes--in a very limited fashion.

Updates every day at ~6:30pm. See the links. Model currently takes ~2 hrs to process all ~1.5M contracts using EOD data

Most days will have plays.

It applies as long as there is no arbitrage condition.

Go home u/VisualMod, you're drunk.

1. MiBian

2. Slope of theta. Ideally want to be out of the play before the slope increases.

It varies.

Some trades are entered and exited in as little as 3 hours.

Other trades take 2 weeks to realize gains.

Need to see the chart to get a sense of the magnitude of the reaction to expect.

Yep.

I have no doubt you can improve on the sharpe ratio with more intelligent exiting.

I don't post P/L. I do post win rate.

But otherwise, yes. It's based on whether or not expiry price > entry price.

Valid point. And thank you again for sharing the supplemental DD.

Thank you for sharing.

Is there any chance this is a sell the news event?

Market will reprice and institutions will adjust their derivatives positions to reflect.

At which point gamma max and delta neutral will need to be reevaluated.

Tuesdays and Thursdays are harder for me to join.

Gamma Max has a higher win rate, but lower average win size.

Delta Neutral has a lower win rate, but higher average win size.