Recent content by admin

  1. admin

    John Locke - M3.4u

    Reference video: John mentioned that he normally does a 60 point lower wing and 40 point upper wing, but he decided to make the upper wing a bit wider in this example. You'll notice that from a delta perspective, it's essentially a 60/40/20 delta NetZero style setup, which is likely an easier...
  2. admin


    Hi Raj What I would suggest is that you first backtest the Rhino on RUT, using either OptionNet Explorer or OptionVue. That will give you a good feel for the trade, after you've run the backtest over multiple years. Once that's done, you would need to convert the delta adjustment levels over...
  3. admin

    Question: About that "Weighted Vega" CapDisc. presentation...

    Here's the spreadsheet (attached).