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In a frictionless world a long straddle would ALWAYS be an exact 50/50
bet....assuming no change in volatility. Recognize that a short
straddle would also be an exact 50/50 bet. The only option strategy
EVER that would be a loser 90% of the time would be buying a 10 delta
option or a spread with a similar payoff.
People love to throw out 90% numbers when it comes to derivatives. They
are almost always not based on fact. The common assumption is that 90%
of options expire worthless. That is also a fiction. 30% of options
expire worthless and that number in and of itself say NOTHING about
overall profitability.
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