Closed nikolas-joyce closed 7 years ago
I think i may need to make vanilla EXOs that roll every week or more frequently than monthly that use deltas equivalent of what we have in these SmartEXOs.
[12:19 PM] ES_SmartEXO_SWP_DeltaTargeting_1X1_Bi_2_3_2_2_neutralOnly3X2_call_side ES_SmartEXO_SWP_DeltaTargeting_1X1_Bi_2_3_2_2_neutralOnly3X2_put_side ES_SmartEXO_SWP_DeltaTargeting_1X1_Bi_2_3_2_2_neutralOnly
I think a deep OTM put and call spread would express something similar and not have $8000-$12000 in costs.
What is the best way to accomplish this? thx
https://10.0.1.2:8888/notebooks/smartexo/VanillaEXO_DeltaTargeting_template.ipynb
Done
alexveden
commented
7 years ago
I think i may need to make vanilla EXOs that roll every week or more frequently than monthly that use deltas equivalent of what we have in these SmartEXOs.
[12:19 PM] ES_SmartEXO_SWP_DeltaTargeting_1X1_Bi_2_3_2_2_neutralOnly3X2_call_side ES_SmartEXO_SWP_DeltaTargeting_1X1_Bi_2_3_2_2_neutralOnly3X2_put_side ES_SmartEXO_SWP_DeltaTargeting_1X1_Bi_2_3_2_2_neutralOnly
I think a deep OTM put and call spread would express something similar and not have $8000-$12000 in costs.
What is the best way to accomplish this? thx