I am speaking specifically on how the position reacts with a trade to the strike, not away. Strip vols drop, but otm call vols will actually...
Can one of you guys model a 1.50 gain on 1395 vols and post the output?
Good chance of closing lower by $4.00 or more on spoos.
I'll add that the PnL distro is probably >$1500 overestimated at the high based upon likely fills and rise in smile vol. The otm becomes atm vol....
The 1395 strike vols will rise on a trade to 1395 due to the shape of the vol smile. At least 150bp based upon the smile and a small contraction...
Could be. I guess we'll find out soon enough.
OK, sure. My point is that it seems beyond a coincidence that this happens shortly after it's reported by Green. The memo states that this...
FWIW, I stated it was LED by the NASD. I believe the SEC would enforce. The memo clearly states "S7" traders at 4:1 going forward. I don't...
I don't see any risk to 95 at Oct expiration. I had posted before your edits. :eek:
Man, you guys are busier than a cat covering sh*t. I have no problem with the position, bu the credit seems light. A lot of convergence risk to...
I need a refresher on the position here, but I assume it's the 1375/1400 diagonal? Yeah, it's initially vega risk, but every greek conspires as...
No friggin' way your puts are down 35% for Mar and Jun of 07 with the spoos up 70 handles since your 8/5 post. You're looking at 50% losses at...
Possibly, as it would follow recent analogs. Market trades a dev lower, shorts push on a string and panic to cover, while additional natural...
Yes, S7 traders will be at 4:1 intraday if their firm requires a deposit. I don't have access to the memo, only a summary repeated by two...
Not the first test by NK. The last "earthquake" in NK was an underground test of a fission device.
A large firm sent a memo to all of its traders outlining the NASD/SEC decision to move to a retail 4:1 intraday req for the "deposit" prop model....
I've read very little on the subject. I started solving for partials via BSM, Whaley, CRR, Tri, etc... through Hull's first edition and various...
A sample of one.
Event vol ... long both, but small order and variance ... a volatility box [long x // short x+n] ... short the pre // long the post earning's...
5-wide risk-reversals are roughly 75d at $73 due to gamma. So long 150d on the 2 lot reversal and another 35d per call on the additional 2 75s....
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