Currently back month vols are higher than front month (at least in DAX index options) and I am having difficulties getting positive theta with...
Hi everybody Some time ago I have read here the discussion about the "perfect option position": A butterfly in the front month combined with a...
That's what I did. However, my model doesn't simulate the volatility curve. So I wonder whether there may be surprises.
Well, I will hold it to expiration if it goes down or stays flat. The volatility considerations come into play if it continues to move up:...
Currently I observe a rather steep volatility curve in DAX index options, which allows me to put on the following position for a net credit:...
Since vol implosion is the standard behaviour after earnings come out, why not choose a pureshort volatility strategy and remove directional bias?...
Well, that's actually the point, if you want to have some real protection before the event, it's so expensive that the risk/reward isn't worth to...
Hi all What's your favourite "crash-safe" short premium position? The last months were quite favourable for my bull put credit spreads. For...
I wonder whether the variant trying to profit from component/index call skew differences behaves the same in this szenario: If you sell OTM...
How about shorting the component calls and hedging with long index calls? If the weighting is right, the worst case of a strong upward move should...
Is it an advantage to use a narrow index dominated by a few companies or is it better to take a broad index? E.g. the SMI (Swiss Market Index) is...
If you are reading everything he writes in books an articles etc., you see that it is really not a complicated strategy. He seems not even to use...
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