^That. You can get a 20% discount if you can do the calculations yourself (personally, I would not trust the vendor vols or greeks anyway). But...
If anything, something being very prominent and liquid means that it's pretty efficient and not worth trading. IMHO, of course.
First of all, the two are indirectly linked via realized volatility. Realized volatility is the change in price - to cause vol you need to change...
It's not the process of the delta hedging that requires a human touch here, it's the judgement to pick a stock that might move after hours and is...
Darth Vader would be the recipient of my funds. He is a typical activist shareholder and, as far as I can remember, he got the results he wanted...
Let's assume that you are not facing any scalability issues (and thus not forced to change any parameters due to liquidity or risk constraints,...
I think what they are trying to say is that all large dealers see similar flows. It's probably true (except when it's not :P - like some bank...
Realized skew (i.e. holding a skew position to expiration) almost always statistically overpriced. Given the way incentives work in the modern...
I think you have me mistaken with someone else :sneaky:
I'd not read too much into his presentations/books, as his recommend process is very specific to ML-based strategies. Stuff based on ML has a lot...
Is the general idea that you buy cheap options at/around the close and delta hedge them until the exec cutoff time (possibly at zero(ish) vol?...
Look, there is no higher math in basis, it's as simple as an apple pie. You have futures and you have a basket of the cash stocks that will...
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