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sj8070

Registered: Nov 2010
Posts: 10

09-11-12 04:54 PM

for the last few days I have been comping Implied vol (same for both calls and puts due to put call parity) and Actual downward vol

Implied vol is in fact higher by a touch on the S&P.

Selling OTM puts is a long run winner, clearly due to the increased prevalence of Long RM portfolios hedging with OTM puts

But my work on binaries is not finished, I have something, I'm just not sure why or how it works

more to follow

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