Recent Content by longthewings

  1. Credit Put Spread.. ATM vs OTM

    I agree, and your inequality makes the right point....basically, pricing is an absolute necessity. I also like the distinction between risk...
    Post by: longthewings, Nov 20, 2016 in forum: Options

  2. How to read Theta value in this example

    IV is not the unknown variable in BSM. IV is directly observed. It is the market price. The unknown variable is the instantaneous (actual)...
    Post by: longthewings, Oct 30, 2016 in forum: Options

  3. So what is Hedging exactly?

    A simple debit spread is a risk-reversal and therefore unstable to spot, vol, skew, and passage of time. Maybe you can consider it hedged at the...
    Post by: longthewings, Mar 29, 2016 in forum: Options

  4. Former MIT physicist behind Blackheath Volatility Arbitrage Strategy and Risk Management

    I think they likely view the strategy as an attempt to harvest the variance risk premium. I know there is a lot of debate about various risk...
    Post by: longthewings, Mar 26, 2016 in forum: Options

  5. Options pricing model

    I would argue that it would be a mistake for you to try and move beyond black-scholes at this point. Black-Scholes has a lot of flaws, yes, but...
    Post by: longthewings, Mar 24, 2016 in forum: Options

  6. The best options strategies

    Yes. I agree it is a very tall order to bridge the blackboard with the real world. All of the things you've mentioned are very real, difficult...
    Post by: longthewings, Mar 17, 2016 in forum: Options

  7. The best options strategies

    Yes, the outcome is different in terms of P&L variance. An unhedged ATM call option is just a ramp payoff to the upside. You will lose the...
    Post by: longthewings, Mar 16, 2016 in forum: Options

  8. The best options strategies

    If you buy or sell a fairly valued option and delta hedge at the correct actual volatility continuously, then you will earn the risk-free rate...
    Post by: longthewings, Mar 16, 2016 in forum: Options

  9. Implied Volatility surface oddity

    Sorry...from the original post I thought you were discussing a different area of the graph. Looks to me like a jump condition priced in for an...
    Post by: longthewings, Mar 11, 2016 in forum: Options

  10. Implied Volatility surface oddity

    I believe this is likely due to the fact that you're showing the surface using puts only. Often times the listed closing mark on a given day for...
    Post by: longthewings, Mar 11, 2016 in forum: Options

  11. The best options strategies

    Dynamic delta hedging MIGHT reduce the variance of your P&L, depending on what you are trading. How do you even know if you're calculating your...
    Post by: longthewings, Mar 9, 2016 in forum: Options

  12. Is Volatility an Asset Class?

    Interesting question. But aren't there many assets that are bounded? Theoretically, a simple treasury bond is bound by 0, since market...
    Post by: longthewings, Feb 28, 2016 in forum: Options

  13. Vol. Surface

    If I thought it was going to go up, I'd probably just buy the underlying. Yes, skew can be negative, positive, flat, or symmetric (smile)....
    Post by: longthewings, Feb 28, 2016 in forum: Options

  14. Is Volatility an Asset Class?

    Interesting conversation here. Starting from the theoretical side, in a complete market with efficient pricing, continuous trading and hedging,...
    Post by: longthewings, Feb 28, 2016 in forum: Options

  15. Vol. Surface

    One simple example with a vertical would be to assume that it is approximately like pricing a binary (the replicating portfolio for a binary...
    Post by: longthewings, Feb 27, 2016 in forum: Options