Comments on: A trading strategy is an option http://www.puppetmastertrading.com/blog/2007/10/10/a-trading-strategy-is-an-option/ Algorithmic trading experiences Wed, 28 Jul 2010 01:46:39 +0000 http://wordpress.org/?v=2.9.1 hourly 1 By: tito http://www.puppetmastertrading.com/blog/2007/10/10/a-trading-strategy-is-an-option/comment-page-1/#comment-5709 tito Tue, 15 Sep 2009 11:07:11 +0000 http://www.puppetmastertrading.com/blog-test/?p=27#comment-5709 None of the strategies that I've described thus far has exactly the same payout/profit function as an option, so not with the examples given. But one could easily write some that do and combine them as you suggest. My broader point with this post is that strategies have potentially non-trivial profit functions which can effectively be engineered by their developers just as the developers of structured products can do. But structured products are relatively arcane, so options strategies or portfolios of options are another way of illustrating the same point that's probably closer to home for most. None of the strategies that I’ve described thus far has exactly the same payout/profit function as an option, so not with the examples given. But one could easily write some that do and combine them as you suggest.

My broader point with this post is that strategies have potentially non-trivial profit functions which can effectively be engineered by their developers just as the developers of structured products can do. But structured products are relatively arcane, so options strategies or portfolios of options are another way of illustrating the same point that’s probably closer to home for most.

]]> By: jbr http://www.puppetmastertrading.com/blog/2007/10/10/a-trading-strategy-is-an-option/comment-page-1/#comment-5697 jbr Mon, 14 Sep 2009 19:01:11 +0000 http://www.puppetmastertrading.com/blog-test/?p=27#comment-5697 So, could we use a trend following strat with a mean reverting strat as a put/call spread? what does the option strike translate to in a strategy? So, could we use a trend following strat with a mean reverting strat as a put/call spread? what does the option strike translate to in a strategy?

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