Most people seem to be citing the same issue: the data should be adjusted/smoothed before attempting the calculation, and this is probably a good...
Oh wow, this morning I woke up all excited to read the replies to my question that had poured overnight.. ..and then I discovered that a good...
hey all, anyone here ever tried (or is already using) a local volatility model? I am trying to implement it with dupire's formula, following the...
@TheBigShort good point, I would add however that the greeks on the butterfly tend to invert while the thing moves in the money. Here you start...
if you did this for each individual name, commission-wise you would create a very complex structure to extract a minimal reward. On the other...
It's amazing how many different indicators you can make out of the same data series. It's like when politicians cite statistical data..
The issue is that a long option always has +vega and -theta, while a short gets +theta and - vega. You can have them both positive only with a...
I would not say that indicators are completely useless. They are just a graphical way to read and quantify price and volume changes over time (I...
Moral of the story: never short a black hole.
your main trade is buying puts? Would you like to explain a bit your strategy (without going too much into the details of course)? I'm really...
to the OP: yes you can do this strategy (I also do something similar) but never take too much risk. How much is too much risk? Among option...
@tommcginnis sure you can't blame computers for distorting prices, but can you blame them for sudden bouts of volatility? I would say hell yes...
ultimately, it all boils down to having realistic expectations about the returns you could generate. That's why most people deep inside still...
the issue is that if those 1.2 billion people decide that the market is going the opposite way as you do, you are going to be steamrolled, no...
@tommcginnis haha you got me.. Been trying to do that for a while now, and I am starting to see some promising results. So far, the best (naked)...
Really? I thought he was associated with a certain yellow bear.. first time I hear that he's also called that way.
It's the Chinese name for the steamed bun..
If you really have to short, always go for the straddle/narrow strangle where gamma is highest and you are paid for the risk you take, never for...
Hi all, I am trying to calculate the expected value of an option at a certain point in time when the value of the underlying in that point is...
Too bad you're in Shanghai! Any event in Shenzhen anytime soon?
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