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So effectively it works outside of a bear market? Interesting. I also like the idea of diversification even if it's across 2 or 3 commodities rather than 5 or 6. I know I'm getting ahead of myself but a slightly more conservative exit point and diversification is perhaps all we need? Regarding "other commodities" are you thinking energies; NG and CL?
/rsm005/
Can you help answer these questions from other members on NexusFi?
Does anyone have a value for the increase (percentage wise) of the implied volatility of far out of the money puts
before the big sell off and the implied volatility at the peak of the sell off.
To a small extent I had tried to prepare for the event. I was using ratio credit spreads, but still had losses
( approximately 20%).
I'm thinking everything else. If I don't have to worry about Black Swan events, which I think happen more often in other commodities than ES, then why not trade other things.
With other commodities you have to be closer to make money. There isn't much premium out 2 STD. That is why I went heavily to ES.
Interesting thought. How far out would you go given the added protection and the lack of premium 2 std dev out? I've been looking across the board at commodities to diversify as well.
Also....does the same 50% decay idea work across all commodities?
I've been trying to compare using a vertical spread vs naked during periods of high volatility. During normal periods of ups and down they both perform similar, but on periods of very high volatility spikes the vertical spread performs better. Unfortunately thinkorswim thinkBack does not go beyond 2013 and the values get inaccurate the farther out of the money. Can someone test this to see if these values are correct. It is using SPX but should be similar to /ES (which thinkBack does not support). Selling a Nov 1800 put on Aug. 5 vs a Nov 1800/1760 vertical then comparing the P/L from 8/20 to 8/28. They perform very similar up to the volatility spike where the spread performs better for the same max profit. I did other examples using the thinkorswim platform but have been without electricity since yesterday and up to now due to a recent tropical storm so cannot access them in my computer; just re did this one on my laptop to verify if these numbers are way off.
