G-Tool presentation in Trading Group 1

[HaraldM]

Dan Harvey showed the results for bearish and bullish Risk Reversals. Thank you for that! What I didn't get: the bullish Risk Reversals have a condition that the min debit is 0.10 but in the table you showed all Risk Reversals have at least a 0.10 Debit and maximum 0.75 Debit - see below:

 

[DGH]

Hi HaraldM. The cost of the call/put pair is a primary determinant of its qualification for consideration as well as the sort order. Gary is still tweaking the parameters.

 

[garyw]

HaraldM:
Thnx for your post.
The constraint "MinDebit" reflects the minimum cost to you for that candidate! The one you marked will cost 75 cents, which is greater than the 10 cent minimum cost, which is correct.
I may attempt to reduce confusion by changing the name of that constraint from "MinDebit" to "MaxCredit" on an upcoming update.

As Dan mentioned, the reports are expected to undergo some changes. For example, you are using one from last week, prior to the "daily reports on the website".

Please be aware that the syntax in BOLD reflects a TOS order to result in the trade desired. TOS's "whimsical" use of sign is beyond my control.

Regards,
Gary

 

[HaraldM]

HaraldM:
...
The constraint "MinDebit" reflects the minimum cost to you for that candidate!
...

Hi Gary, thank you for your explanation. But I'm still confused. For example: the cheapest bearish Risk Reversal (in my example above) is the first one with 0.07 credit. That is less than the minimum debit of 0.10.

Thank you again for your short answer!

 

[garyw]

HaraldM:
Your observation is correct for the top Bearish: Long Risk-Reversal! The new constraint term (Maximum Credit) should clarify.
To restate: The intention of the 10 cent constraint is to consider only candidates which provide a credit of 10 cents or less, implying most will be debits. Since we sort the candidates in the order of this cost, the lower cost (or possibly credit) appear at the top of the selection.

Example of terminology planed:
---------------------------
Risk Reversals for Option Series SPX181019 (19 OCT 18) on Date = 10/04/2018, Time = 12:29:44 (Pacific), SPX LAST price =2896.19
Sorted by Trade Credit with Top 10 Candidates (by credit) listed

Bearish: Long Risk-Reversal candidates below: widths: 5 to 15, low long 0.05 EM to 0.20 EM , upper short @ EM-> 0.50 to 1.00, MaxCredit=0.10, Maximum Delta:-5.00
BUY +1 -1/1/1/-1 CUSTOM SPX 100 19 OCT 18/19 OCT 18/19 OCT 18/19 OCT 18/ 2955/2970/2885/2880 CALL/CALL/PUT/PUT @0.02 LMT MARK | {Delta / Short CALL EM% / Long PUT EM%} {-7.76 / 86.73% / -16.89%}
BUY +1 -1/1/1/-1 CUSTOM SPX 100 19 OCT 18/19 OCT 18/19 OCT 18/19 OCT 18/ 2950/2960/2885/2880 CALL/CALL/PUT/PUT @-0.05 LMT MARK | {Delta / Short CALL EM% / Long PUT EM%} {-7.03 / 79.35% / -16.89%}
...
------------------------------

Should you observe anything else misleading in any of the reports, please notify me.

Regards,
Gary