Simulation Strategy

Comparison of previous team's work and Iron Condor comparison

Row 1 - Spring 2010 optimal policy

Row 2 - Updated 2010 policy with slippage and other assumptions

Row 3 - Spring 2011 optimal policy using the Iron Condor

Terminal wealth ratio (TWR) and days to expiration - Updated Assumptions (slippage)

 

Prediction Model

 

Volatility Smile and Skew Illustrated with Difference in Strike Prices

 

Simulated profit with actual profit

 

Bear Call and Bull Put Spreads and AverageProfit in an Up trend

 

To see more please see our Final Report