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bretskigretzky t1_ja3bkc7 wrote

  1. So you sold a weekly and I assume dealt with that illiquid spread.
  2. You chose a strike that doesn’t exist.
  3. The IV of TLT’s options are at 15% of its 52-week IVP. You weren’t well compensated.
  4. Inflation nor growth prospects should spike over the next month so your delta is stupid low, if you’re actually going to do this…
  5. Screening bond etfs along side equity etfs for machine learning is stupid.

Wow you just provided the long side of that bet a cheap play. $700 for $840,000 of underlying exposure is a special kind of regarded. That you’ll get a 17% return on your margin is hilarious.

I hope this creeps close to ITM so you can sweat.

Fundamental traders get out even a security surpasses their target price. What the hell is so hard about that?

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nocturnaut t1_ja6umrn wrote

This is the level of careful dismantling I love to see. This isn't even picking up pennies in front of a steamroller...more like bending over and showing the fruit basket to a guy driving a steamroller. Good thing that strike doesn't exist as you pointed out.

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golfdude1971 t1_ja4e370 wrote

I have portfolio margin so margin required is $4,140 and not $840,000. Portfolio margin works very different than regular margin.

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bretskigretzky t1_ja4e944 wrote

I use 840,000 as an indicator of risk - you’d hate to be assigned that.

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manishmehta71 OP t1_ja6k2gc wrote

TLT is one of the 600 tickers you can trade. I have same kind of data for SPX since 1962 when SPX started trading. I think 60 years covers all kinds of markets. I have had extremely good success with SPX using this strategy.

You are right that individual tickers, ETFs will have more risk than indices. For TLT never lost since 2002 equates to 1 in 5,040 chance and for SPX never lost since 1962 equates to 1 in 1 in 15,120 chance.

Plus this strategy is for short term trading only. 40 expiry days or less. It is not for short term trends or investing. So bear or bull markets are less important but daily volatility is.

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bretskigretzky t1_ja6pb7g wrote

60 years and multiple interest rate regimes will spit out nonsense. Way to train your ML with a scope as broad as your balls - you gotta have stones to take on unpaid risk like that and say that the past is a predictor of the future.

God speed

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golfdude1971 t1_ja6re4y wrote

On the contrary 60 years will spit out the most conservative scenario. More history equates to more worst case scenarios.

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