Unexpected news can trigger fast moves esp. in liquid markets which are affected by world news 24/5. I think this is something that currencies and...
The issue here is getting historic daily option prices. Any sources?
In the above I actually meant to write SPY not SPX (which is perhaps the simpler approach), but your point is well taken with regard to forward...
Robert, thanks for the reply and no, what I'm looking for is much simpler: I would like to visually see how far from the spot price I would have...
I am looking for software that, given a fixed price for an option (say SPX Puts costing 2.00) will plot the corresponding strike prices for this...
Would this depend on the current vol levels? ie. where VIX is currently at?
Could an experienced options trade comment on the following strategy: - Selling OTM PUTs (but not deep OTM units) on SPX/SPY for a credit -...
What is interesting is that their fund was already down -4.74% in January. For those trading at the time, were to crack in the short vol trade...
Which is why I am wondering why they apparently chose this approach...
I do not think that anybody here would argue that similar events haven't occurred before. It would also appear that LJM was as leveraged in 2008...
Right, the profit curve curves up over time, however it does seem that this is what LJM betting on for protection, or?
As of Jan 31, 2018 LJM had the following Put positions: - short Puts from 2,160 - 2,680 (~46 mill) - long Puts from 2,665 - 2,805 (~22 mill)...
Any idea as it why only OTM puts were bid up? This points to a more technical/systemic issue rather than a move driven by fear that would take...
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