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