It has been said that "volatility is the wrong number to put in the wrong formula to get to the right price ... " Sometimes there is more...
I think you've got it ... To illustrate the point, I monitor both Raw Vega and TimeWeighted Vega. If I compare ATM straddles across 6 expiries,...
Vega is not 'additive' across different expiries. Should consider both Raw Vega and some form of Weighted Vega. If you use SqrtTime to weight the...
and / or increase in RV
Yes, but if you trade OTM options ... and and want an estimate of what the price might be if option becomes ATM under high vols etc ... quick and...
You got it ... there will be minor differences if you use an option model as I used Vol x Sqrt(DTE/365) X 0.40 as approximation ( x 0.3989 to be...
It can be useful to get a feel for what the option price might be for extreme moves if you are long / short OTM options. I have a little...
But ITM Puts avoid exactly the risk you wanted to avoid though ""Clients holding short stock positions are at risk of having these positions...
Any Reason why you would want to short stock / buy OTM call when Short Stock + Long OTM Call = Long ITM Put
Basic Options stuff
Yes, P/L same as positions synthetically equivalent if you dissect out the 15-185 box Try it in the analyser if you want to prove for your self...
Selling 1x 15 straddle / 1x 185 straddle for a credit of $200 ... is the same position as selling 2 x 15-185 strangles for a credit of $30 ( $200...
All bearish trades ... I know small sample ... but might be worth investigating whether the model is overly biased to picking downside flies as (...
Looks like TastyTrade just went back to fix the problem ... and made it worse ... today's Market Measure on "Expected Move" for SPY with Spot =...
Andy Do you have any stats on % of trades that are bearish/neutral/bullish that your model produces ? Cheers James
Couple of quick points 1. Both methods ( Spot x Vol x Time or Straddle ) of estimating the Implied Move are rough approximations that are only...
You should be able to model the various scenarios, and evaluate impact of Vol Changes. Impact of Dec17 Vols falling to say 10% ... should look...
You are trying to get a feel for where / how the strategy may lose money. You can get a better feel for this if you dissect your position into...
What happens if back month vols fall to say 10% ?
Des ... a "share fly" ( +1 stock / -2 calls / +1 call ) or similar is one of my preferred trades for covering upside delta's ... synthetically the...
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