No implied vol. VERY simplistically: your own a call. spot is 100. Strike is 110. and there are 2 days until expiry. implied vol says...
ha. cheers
hahaha smashed. sorry. hope you get the idea! FFS. will shut up now. apologies
sorry sell 60 Dec12 synthetics
Oh. got it. Firstly I am a market maker. Hence try to hedge out as much exposure as I can to leave me with vol. exposure only. If I sell say...
?? i wasn't trying to be smart, just home after a couple of beers and rambled. sorry if it came across that way. I wasn't claiming to have written...
Don't confuse the inputs to BSM with the greeks. The inputs feed into the BSM which spits out the option price. The greeks tell you that if...
And I didn't read the numbers in your question properly,, that is WAY too much. Define exactly what sort of box you mean??
Margining is your risk. My model prices using euribor futures for the interest rate, because that is what I hedge with, as that is what my...
Don't know why I attached that quote Martinghoul... I agree with everything that you have said. It was in reference to your anti short gamma line....
Well when I had my ass handed to me last thursday, I started flat vol, long gamma, long theta... a dream right?!! - It was a position that I had...
LONG the underlying. I dreamt of being short!!
I was short buckets of vol and front skew last Thursday/Friday... it was NASTY!! and I must say it felt decidedly worse than being short the...
OK got it!! We been smashed to bits after selling deep OTM puts which have gone ITM by expiry... and our recovery option is now "risk-taking"....
It is exactly the same thing. Your recovery example makes no sense in a liquid market. I am not sure why owning an asset of which we have no...
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