I think I can say the same about some people... :D
If I had besides Delta also Gamma in my calculations, then I'm sure you and your ilk would come with another factor, another greek, that you would...
I have seen many papers and websites who only demonstrate delta-hedging without any gamma. So what do you say now? If I'm not wrong, then even...
As already said: Gamma isn't added in the game yet, doing just pure delta-hedging only...
Hedging does not differentiate between the initial hedging and the rebalancings later; it's always the same one algo. Btw, I have Gamma in no way...
Now, let's also take selling puts and buying puts into the game: Let's say CallDelta=0.55 PutDelta =-0.45 (ie. the complement of CallDelta,...
Can any of you answer this regarding dynamic delta hedging: Has one to use the same CallDelta when 1) selling calls, 2) buying calls? These are...
I'm not using the classical textbook definition of dynamic delta hedging, but a slightly different variant of it. So I might have found a strategy...
That thing is indeed complicated, and I think that not many people in the world do understand it, not even the many book authors and...
Come on, nobody would do anything for a zero return, don't you think? I don't know about others, but when I would sell options and then even hedge...
Can you make a statement about the profit one can make with options selling combined with dynamic hedging?
Weird world! When I in my testing framework do simulate options selling with dynamic hedging, then I always make a profit of approximately the...
If by hedging one can manage to get 0 then this is IMO still very valuable... :) Because then one just would need to add an "offset" to the...
ironchef, I'm busy with other stuff at the moment, but wonder what you mean by "~+- zero profit"? Did you test options selling? And if so, is in...
By selling options you can be like a bank or like a company who issues bonds or shares: like giving a loan to someone else and getting an...
I think your system is not complete yet --> back to the drawing board!... :D This happens to many who only backtest with historical data and/or...
Hi Baron & Co, what about an API for ET access? For example for submitting a posting to an already existing thread. Would be useful especially for...
Ok, I found it again, here's it. It's even 93% !: "The Fed caused 93% of the entire stock market's move since 2008: Analysis"...
Like I suspected: "California’s Drought Could Upend America’s Entire Food System"...
I had some good reasons... :D And I don't need any ill advice...
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