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So, you simulate the pnl one month in advance in a scenario where the Index has moved down by 20%. This is for options which are 30% + out of the money. In your example this would be August expiration and 1400 strike not the 1600 strike. So if you are long X index shares, as you said then you would lose 400x in one month's time. You buy Y puts to ...


0

Interesting question. To answer it directly, try searching for the term 'Sequential Quadratic Programming'. This should lead you to relevant references. More details, if I am reading your question correctly you are hoping to minimize the loss of a strategy involving sequential transactions (buying or selling) of options. I think your question would be ...



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