ikkyu

Black Swans, Portfolio Theory and Market Timing

Sorry. Volatility is rather high. Right now, 10% ITM SPY DEC 2009 calls run about 20% of what the equivalent underlying position would be.

If i recall correctly, Taleb mentioned about 15% of a port in speculative call positions. He mentions venture capitol specifically, where winners win big.

Nonetheless, for people who can not visually process simple weekly and monthly charts for mean reversion, i think you have provided an good tool. What you haven't addressed is when to EXIT! That makes this a tool that requires an investment strategy or a trading system.

Cheers from Osaka,
john