/biz/ - Business & Finance

>Greater than 100% loss from selling SPX 0 Delta ATM straddles, dynamically hedged.
>Mean returns: 10.5% [230% annualised]
>Volatility: 70% [243% annualised]
>Sharpe Ratio: 0.15 [0.52 annualised]
You don't have to be Claude Fucking Shannon to know that the position size is too high.

Worst of all, it's not even statistically significant [2.52 < 3]. Relative to what? The paper does not make that clear.

But the strategy which sells equal weighted basket of straddles on the SPX constituents IS statistically significant. But look at that skew and kurtosis!
>Yes! A statistically significant mean return of ~5% per month.
>You WILL lose all your money when the time comes.
What a great deal.

>>57084141
>>57083056
I am saving these Pepes, thank you.