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Brazilton KS | The problem with any strategy which requires a bunch of rolling is that it is based on assumptions of what each roll is going to be, and those are in fact quite speculative assumptions. They can go against you as easily as they can go the way you want them to.
Not speaking to your particular strategy, but another thing you have to consider when using multiple offsetting trades is that it's important to be cognizant of the margin situations....when you look at strategies which use options and futures as different sides of the same trade, you can end up with losses requiring margin which are offset by unrealized gains which can not be banked until the position is lifted. | |
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A little example of how selling carry works
