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Dear Gary,
If I construe your comments correctly,based upon history one would have only
a 1 in 10 chance of losing this bet.Most of my mechanical systems can not do
that well.And if you did not mind being long at that price and putting up
the money,I believe recovery is a given at some point
Thanks for the feedback publicly and privately. The other feedback I
received from several others privately has been enlightening.Having survived
and recovered from 40% drawdowns successfully [but painfully] I can fully
appreciate the comments.
The concern of you and others about someone putting on a stupid trade is
gratifying.This is still the best and now the only list to which I
subscribe.
I will continue to study this field and hope to come up with something new,
creative and workable.
Sincerely,
John
>From: gary@xxxxxxxxxxxx (Gary Funck)
>Reply-To: gary@xxxxxxxxxxxx
>To: <realtraders@xxxxxxxxxxxxxxx>
>Subject: [realtraders] Cappello Strangles {06}
>Date: Sun, 28 Nov 1999 15:02:10 -0800
>
>On Nov 28, 3:18pm, Mark Brown wrote:
> > I'll take that trade! I like it. I have an old study I haven't kept it
> > up but here it is. http://24.7.24.185:5083/bands2.htm What do you
> > think the largest move has been option expiration to option
> > expiration? Up or Down? It's up 15% and down has only been 9%.
>
>Good point, but John is looking at March options, which are about
>3.5 options expirations away. On average, the worst case, using
>your numbers above would be sqrt(3.5) * -9% .. 15%, or roughly
>-16% to +28%. The actual figures for a 75 trading day hold
>(without regard to expiration) are slightly higher than that
>for the years 1990-99. The largest 75 day close-to-close downside
>was -17.8% set in 9/28/1990 and +29.6% set in 1/28/99.
>
>I think the wildcard is Y2K. Selling March puts is basically betting
>that Y2K will be non-event, which is not necessarily a bad bet.
>
>
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