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Ice_
Jan 2, 2016 4:23 PM

Selling volatility on the S&P500 

FX:SPX5001D
S&P 500 index of US listed sharesFXCM

Description

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-1 Call at 2090
-1 Put at 2010

Backtest probability: 83.5%
Sharpe Ratio: 0.82 (2 years of backtest)

Trade closed: stop reached

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strangleS&P 500 (SPX500)neutralVolatility
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