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I have just been reviewing a methodology that trades one time a month on the
Monday after option expiration.In essence one would:
Enter a strangle as follows:
Sell an S&P call at 1530
Sell an S&P put at 1330
Based on past probability one would keep the premiums and the options would
expire worthless.One could also protect the position by buying insurance
call and put at a price that would still make the trade worthwhile.
Can anyone familiar with this type of trade comment on their utility.The
"back data" looks impressive but I have no way of documenting its
truthfulness.
BTW,for some reason I did not see my S&R numbers for 11/19/99 come through.
John
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