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Profit when Algorithmic Trading Systems Cause Flashcrashes

Profit when Algorithmic Trading Systems Cause Flashcrashes

Автор: Dr. Jon Schiller PhD, 174 стр., ISBN: 1481046780

I decided I needed to write this book on Weekly Options trading to see what tactics could be used for the small options trader to combat the volatility caused by Algorithmic trading executed by the big traders such as Banks and Mutual Funds. In 1986 I began Trading Options using Naked Index Spreads with a simple algorithm: Sell Call Options 2 standard deviations (2Sig) above the market and sell Put Options 2Sig below the market. The Initial Credit received for these naked spreads was placed in my brokera??s trading account. If the market remained less than the Call strike price and greater than the Put strike price at Options Expiration on the third Friday of each month, then the Initial Credit became my profit for the Month for Monthly Options. I now prefer to have less capital at risk so I use covered options trades. When Weekly options became available, I switched to using 2sigma Condors: I sell call options 2 sig above the market and buy call options one strike price higher...
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