Never knew that. I guess this is one of the challenges of arbitraging index vol against the vols of the underlying stocks. From the...
Why only index options?
He might as well say the same thing about the whole BS model, not just vega...BS relies on a Gaussian assumption which Mandelbrot and others have...
Me too
This is a blinding glimpse of the obvious. Because of the "insurance" nature of options there will be many cases where both the buyer and the...
I sell straddles and strangles on MNX and SPX and had positions on going into last week. My risk management depends and setting stops and...
Or EPP the ETF for Asia ex-Japan. I've owned some for a while but am selling it this week.
I use the options price because that incorporates the level of the underlying and its IV (covering short gamma and vega).
I wasn't trading either back then but if I remember right there were opportunities to get out because the market fell during the day driven by...
Mav: Good question and I too await Waggie's response. In the meantime let me just note that the difference between Clinton and Bush...
Dynamically hedging short gamma would be an arbitrage-like money machine...not possible (legally) in an efficient market. The schemes that I have...
Bingo. Check out the put/call ratios from yesterday: Total Put/Call Ratio 1.31 Index Put/Call Ratio 2.27 Equity Put/Call Ratio 1.10...
Very interesting post: thanks. I only wish that what Bernstein is forecasting would come true sooner. My fear and expectation is that...
Not only do you get company-specific risk with individual equity options, you also get the short-term capital gains tax rate (in the USA). In...
Check out Max Ansbacher: http://www.usafutures.com/aimartofoptions.pdf
You are right. NEVER sell naked options. Only buy options. Please buy lots of options. If it is not inconvenient, could everyone buy some on...
I think you're setting up a straw man to knock down...in my reading he never said that he wants to sell as many as possible; he just wants to...
How can you call a guy a homophobe when he was talking about NAKED PUTS??:p :p :p
Actually you can do more, assuming your broker has given you full trading privileges. At thinkorswim the margin requirement for naked puts reads:...
You go Waggie; keep the posts coming. I don't always agree, but I do appreciate your fact-based analyses.
Separate names with a comma.