Days To Expiration Vs Volatility
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- Опубликовано: 2 окт 2024
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Implied volatility... based on ODTE ? How do you determine the implied volatility for the strangle? According to the expiry? Which IV are you to use? The CAll side or the Put side, one might be above 20% and the other isn't...
I want to see average profit, std, cvar, and percentage wins. A 95% win rate with average gain of $150 per trade should net about 15K, but if your cvar is $3000 per trade and you lose 5% of your trades --- um, that's going nowhere fast -- and that's using the numbers from your previous video "Win 95% of your trades with this 0dte strategy.".
What is CVaR?
Conditional Value at Risk
It's the tail risk. That 5% chance outlier movement.
if I had a 89% win rate strategy, I'd just keep it to myself, just saying!
you need to understand risk. look at the losers. 89% is simply a math calculation from the standard deviation. If I sell a SPX 13 Delta (~2SD) credit spread my win rate is 95%. Max win is ~$25 - max loss is ~$3000 (typically $30 from cash and $30 wing). So that's a 95% win rate and I have no problem telling it.
Tastylive had a few weeks ago a video about that 95% win rate (with 0dte SPX), watch it and let the math digest.
OP is correct.
You don't share things that work for YOU.
Once ppl find it, it no longer works.
It's very simple to understand.
(Also, with proper risk management and profit taking, you can actually make gains with a 50% rate)
Just looking at win rate means NOTHING. You have to look at risk/reward.
If you only make 1 cent every time you win, but lose $1 every time you lose...
@@i486DX66 exactly
My response got deleted. (For some reason)