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Hi Walt,
I am interested in your use of the Hist Vol ratio which I have used for
breakout trades in futures but not using options. My question relates to
your exit strategy. Have you have ever found the Volatility ratio useful
in telling you that you should be out of the trade (for profit or loss)?
Perhaps if you get a move from sub 50% to some higher level, say 100% or
150% or perhaps even to some average (or "normal") level of the ratio?
Man thanks
Philip
> Current Positions in Markets:
>
> Dec Cotton -- Long ATM option straddles
> Dec Coffee -- Long ATM option straddles
> Nov Soybeans -- Long Calls
> Jan Soybeans -- Long ATM option straddles
>
> In the case of each commodity listed, these trades all have a high
> probability of profit given market circumstances. I use an indicator
> that combines psychology and mathematics to determine when an option
> is underpriced, when people will be ready to buy and sell, and when
> the likelyhood of volatility "spikes" are present. Good tools in the
> public domain for tracking such opportunities are low ADX readings
> and historical vol ratios of 6 days and 10 days compared to 100 days.
> In addition, I pay particular attention to patterns that are condusive
> to sharp breakouts (Triangles mostly).
>
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