[darthtrader2.0]

Originally Posted by Northern boy »

Ok I found it, was a long butterfly call. I was looking for something that went positive on theta exponentially. B-E-A-utiful .

thanks for the help .

nice!
how accurate was the assumptions in frequentist black scholes nonsense on vega in what you can price now on the instrument compared with when you posted this? oops...if vega doesn't make sense all the other greeks are just random.
I didn't come to this via a stochastic process. A random number generator didn't just pick me to most this.

[Northern boy]

what the hell are you talking about?

[darthtrader2.0]

Originally Posted by Northern boy »

what the hell are you talking about?

Go back to the day you started this thread and compare it to today....
How much more could you possibly be wrong about shorting vega?
You did not do anything wrong as far what you know...the problem simply sits in what you do not know. Frequentist stats and probablity are nonsense.
Markets are Bayesian, I've bet my life on that idea. If you want to read about stochastic process being ripped to shreads then get E T Jaynes book.
It is literally the bible if your interested in the "quantification of market data".

[Northern boy]

but you don't know what I'm doing. I'm not just shorting volatility on its own... I was looking for an option as a hedge for a strategy I want to improve. What's wrong with using options (particularly a butterfly) to bet against price finishing where it started? I think my sharpe ratio is better off with it than without.

You really think that probability is useless? That, with enough data, the stochastic process doesn't break even. The distances for price to travel and the frequencies in which they should occur relative to one another don't matter? On what time frames even? Maybe the larger the time frame, the less efficient. But how much less efficient? The market isn't random, but it's not stupid either.

I'm not leaving behind that logic unless you prove me wrong. I'm not driving myself crazy trying to debunk my common sense either for something that would be a pain in the ass to prove lol.