Recent Content by sambian

  1. delta depreciation

    No, it isn't. MasterAtWork made a good point on page 5 - "For every initial level, a forward or a future got a delta around 100% (interest rate...
    Post by: sambian, Jun 25, 2010 in forum: Options

  2. delta depreciation

    A real example: stock price is 5.74, delta for strike price 6 is 0.5008.
    Post by: sambian, Jun 24, 2010 in forum: Options

  3. delta depreciation

    No, and this was my point. "Delta" in BSM formula is calculated from several inputs, one of them is volatility. If volatility changes, delta...
    Post by: sambian, Jun 24, 2010 in forum: Options

  4. delta depreciation

    I'm curious how can you do that.
    Post by: sambian, Jun 24, 2010 in forum: Options

  5. delta depreciation

    This seems intuitively true, but is not correct, if you are talking about Black-Scholes-Merton "delta". Try any BSM calculator and set volatility...
    Post by: sambian, Jun 24, 2010 in forum: Options

  6. Options on leveraged ETFs

    So in theory your trades should be profitable. I would never do them, because for me the theory behind the option pricing formulas is completely...
    Post by: sambian, Jun 10, 2010 in forum: Options

  7. Options on leveraged ETFs

    You are right. But theoretically IV on all strike prices for the same expiration date should be the same, and this is not the case, therefore we...
    Post by: sambian, Jun 9, 2010 in forum: Options

  8. Strategy for Gaussian Market

    http://sambian.wordpress.com/2010/02/07/29/ Here is a description for the optimal strategy for Gaussian market. The problem is that such market...
    Post by: sambian, Apr 28, 2010 in forum: Strategy Building

  9. Implied Distribution from Skew

    This is not correct. ln(1.2) is not equal to -ln(0.8). If the asset is today at $100 and the natural logarithm of the price change is either 0.2...
    Post by: sambian, Apr 10, 2010 in forum: Options

  10. A truly riskless system?

    Because I'm worried about your financial health. You should thank me for that. The expected value is 0, as you already showed us. The fact that...
    Post by: sambian, Apr 9, 2010 in forum: Options

  11. A truly riskless system?

    I'm willing to put up $0.01 to play the game. You already owe me the net worth of Bill Gates + Warren Buffet, so I suppose you are the one who is...
    Post by: sambian, Apr 9, 2010 in forum: Options

  12. A truly riskless system?

    I backtested it with FAZ and FAS and with SPXU and UPRO since inception. In both cases there were huge trends and buy-and-hold performed better...
    Post by: sambian, Apr 9, 2010 in forum: Options

  13. A truly riskless system?

    Cool. This means that I have reinvented the wheel :D So actually all the criticisms that I got here should have been directed at Claude Shannon :)
    Post by: sambian, Apr 8, 2010 in forum: Options

  14. A truly riskless system?

    I would like to take a look at this book, but can't (for now). Can you tell us more about what is written there, did it mention that the Kelly bet...
    Post by: sambian, Apr 8, 2010 in forum: Options

  15. A truly riskless system?

    I am worthless piece of shit :) This can be your consolation :) How much are you worth, in total? This should be the more important question,...
    Post by: sambian, Apr 8, 2010 in forum: Options