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Face palm. Lol

Now that is a scary trade. Gambling at is finest.

This is how we do it. If we dig further into how they support markets during "volatile" times its done overnight or in the start of futures. Thank you Plunge Protections Team and bye bye fundamental investors that ignore price relationships. #Sleep Well Portfolio...

This is beautiful! I would love to play with this.

This is one of the highest viewed forums on Aeromir right now, wow! You are absolutely right about the spread being too wide in the presentation. It was hard for me to get the illustration across with just a small spread relative to the size of the skew. One way to look at it with smaller...

After discussion on Trading group 1 with Tom Some have asked how risk parity has compared to The Sleep Well Portfolio. I would like to first say that I love the concept of risk parity and how it has changed the way we construct modern portfolios. Here is a chart of the two since going live at...

The very reason why you are saying "I could tell that from the premium received at a certain distance from the ATM when trading put credit spreads", was the skew effect on the spread you were modelling. Its just another way to measure it. Looks like you already have a system for saying the...

Thanks for your feedback on the presentation. You hit the nail on the head with it being only conceptual. The presentation was to bring up the subject of skew and see how it effects the risk of trades that are "market nuetral". One of the main considerations a hope people could take away was...

I looked into it and it looks like the dates are not matching up. I was on 2/6/2018 and the picture on tos is on the expiration of the chain I chose for ONE. Here is the TOS lookback...

That could be a great way to look at it. Another way could be to measure the derivative of rise over run of every option on the chain. It would tell us the overall steepening or flattening and at the same time we would see the inflection points. You said you didn't want to get into it, but...

see below

Oh for sure net iv for a structure is all over the place. Maybe something to take note, like... For this structure with 0 delta I'm at whatever net iv. See if it correlates to expectancy. I have not used iv that way though. Strange about the ONE issue. I have cev and surface turned off. I will...

I would like to clarify my thought process for my presentation on skew. As many mathematicians are likely cringing at what I said. I am always looking for relationships that apply to trade performance and am attempting to normalize variables as best as I can, without getting too detailed vs the...

All great points and all with merit. I am excited that the conversation has drummed up some research and conversation. I look forward to hearing what others use and if it correlates to trade results. I definitely am not saying that this is the best way. What I was pointing out is that by using a...

To sum up some of the confusion for the math of Skew for the 2018 slide

We would love to see what you use and find a way to incorporate it into the subject. PM Tim and he can set it up.

Most of you know me from the Sleep Well Portfolio and I am excited that so many of you have found a use for it. My other specialty is Options on Broad based indices and after talking to Tim Pierson we decided skew shape would be a fun topic. The recent highs in the SPX have created a huge skew...

Its a long video but totally worth your time if you are interested in portfolio construction and how human behavior can lead to even the most advanced portfolios failing. The more people doing different strategies in the markets help the stability of the markets. In order to be different though...

Hello all. I just saw this today. It looks like I might have to change the format so that it is easier to locate. Here is the welcome and overview https://my.aeromir.com/go/u.class-welcome/tagid/1660 Tom is working on getting the spreadsheet I use directly on the homepage of Sleep Well...