So, is that basically what vol.arb is all about? What do vol.arb traders/funds usually prefer? slow bleed? Now, those 2016 straddles...
Do you think an end-of-day historic database made of settlement prices provided by the OCC would make some sense? I was told that settlement...
I have seen that VIX futures are in contango >80% of the time. So, dealing with short term contracts might turn out to be really difficult, being...
I understand that trading long straddles involves buying both calls and puts so major time decay to suffer as well as major vega exposure, am I...
I am sorry, I am new to this; delta hedge it with what?
That is easy! Delta is always 1 and there is not vega, theta etc...so in a synthethis straddle one leg in not affected by time and volatility
Well, I have heard that many investors dropped their ETN/ETF VIX positions over the past few months. That must have made the VIX futures drop down...
Both options and futures base on equity index (cash market) So for example ftse100 options and ftse100 futures. My goal is to set a delta neutral...
Hi, I read the first 25 pages and wanted to ask what about long synthetic straddles on mid-term expiry? The goal here is to create a delta...
Suppose I want to calcuate IV and greeks for a long maturity option, like DEC14, I understand providing the current spot price in the bsm formula...
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