Analyze iron condors as in Table 5.9. Data given in table 5.9 Table 5.9 Gain expectation for
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Analyze iron condors as in Table 5.9.
Data given in table 5.9
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Table 5.9 Gain expectation for iron condors T = 20, r = 0.01, costs and losses as noted in the text Trade: strikes at 55:60:70:75 Stock Drift IV SV Total Gain price (%) (%) (%) loss So prob w/cred.spds 65 w/cred.spds 65 w/cred.spds 65 w/calls w/calls w/calls w/cred.spds 61 40 w/cred.spds 61 40 w/cred.spds 69 -2 40 61 61 69 2 20 0 10 0 40 w/cred.spds 63 w/cred.spds 63 4 20 A 8 20 10 40 6 6 40 40 40 40 40 8 40 40 -2 40 40 20 40 40 20 0+ 0+ 10 15 15 18 prob (%) 11 0+ 91 99.9 69 Ex- pected gain 63 0.030 64 0.058 63 0.019 15 63 0.027 15 64 0.057 18 63 0.021 59 93 -0.002 -1 0.000 0 -0.002 -1 Gain rate. (%) 16 31 10 14 30 11 -0.998 -382 1.035 503
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