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  1. J

    Hi David... I am still stuck with the straddle puzzle.... could I send you an email?

    Hi David... I am still stuck with the straddle puzzle.... could I send you an email?
  2. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Hi David... Good news is that I made a new friend in your forum ... Sixcarbs is amazing!!! However, we have not been able to correctly solved the puzzle... I sent you a detailed PDF and a spreasheet last Monday...not sure if you saw it.... BUT I just found a new clue to the puzzle... I...
  3. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Using May's numbers, Delta=2840 and Gamma=3021... Do you want to send me the spreadsheet even in raw format and I can play with it ....i can add or delete contracts, play with the signs, etc... sometimes another set of eyes helps?
  4. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Hola...here is the May Expiration SPX Options Chain.... Answer hint - We will know exact May numbers tomorrow...BUT they should be around these levels: May Delta = 2,842 and May Gamma 3,034.... Not sure how hard is for you to compute the numbers.... would be curious if you get something...
  5. J

    Delta Gamma Neutral (Level) of a Short Straddle

    yes I will send you a spreadsheet with may option chain and then we can see how the numbers match tomorrow when he publishes the may expiration numbers
  6. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Well... he ain't a nice guy like you...as a matter of fact he is a pretty mean guy....so he won't tell me what he is eliminating... did you set this up in a spreadsheet?
  7. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Delta = 2,834 ( so I think that is right in the money) Gamma=3,121 So 2 things that I can think about: a) Are you setting this analysis spreadsheet as a short straddle? b) In his definition he says "Extreme out of the Money options may be filtered out for some options".... Maybe we can play with...
  8. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Well...I will know tomorrow morning since this particular analyst sends numbers at 8am.... I will let you know as soon as I get them.... NOW I WON'T be able to sleep all night to see those numbers so I can send them to you... Thank you SOOO much for all your help...Will let you know first thing...
  9. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Hola.... Here is the complete SPX Option Chain data for today (For SPX April 17 contract expiration)
  10. J

    Delta Gamma Neutral (Level) of a Short Straddle

    I will send you today's data at the end of the day.... You are a super star!!!
  11. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Really? WOWOWOWO! You are a genious
  12. J

    Delta Gamma Neutral (Level) of a Short Straddle

    I will send you a spreadsheet at the end of the day since CBOE is still open now... better to get end of day complete numbers.... THX so much for trying so hard!!
  13. J

    Delta Gamma Neutral (Level) of a Short Straddle

    I have been doing some research and I think I found what they are called... it is called a "Zero Beta OR Zero Delta Straddle"... once we get the Delta Neutral then we can figure out the Gamma Neutral
  14. J

    Delta Gamma Neutral (Level) of a Short Straddle

    SO SO SO SORRY for confusion...ALL Data is for April 7.... the reason that you see the date April 11th is because that was the date that I wrote the PDF and I created the spreadsheet...and I just used that tittle...sorry if it was confusing April 11 was just a tittle of document to keep track...
  15. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Dear David, I meant to send you this "more explanatory document" regarding the puzzle that I am trying to solve this weekend, BUT it took a bit longer than expected.... All the best, Jorge
  16. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Hi ... I meant to get out this to You and David this weekend...but it took a bit longer to write it and make it clear.... Hopefully you have some ideas... I will send to David also... your help is highly appreciated....
  17. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Dear David...thx SOOO much for your reply... I will try to write something a bit more explanatory...your last sentence you mentioned that your priority is your "customer work".... how can I become a customer?
  18. J

    Delta Gamma Neutral (Level) of a Short Straddle

    Dear David, I discovered your youtube videos and I was fascinated. While I have studied and understand the basic concepts of options, there is a puzzle that I am trying to solve BUT I am having a very hard time and I was curious if you are kind enough to offer some help. You seem to be a...
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