But one usually buys insurance to eliminate the risk... :D
If the trading program can react immediately to market changes, ie. in this case within few seconds, then the type of hedging I mean just will...
No, I don't have that much money, but I'm willing to take the obligation. Marketing this system? It's a free public domain system, man. If I had...
No, the system is freely scalable to any amount (ok, since a basic hedging is involved one has to take care of the commisions for hedging; but as...
Hmm. I must admit I made an error in my calc because I assumed 100 short calls at strike 100 (and did another error: then PnL would be $-18075 and...
Thx for that interesting thread. There, one participant has posted this interesting link: "Nonstationary Models for Time Series"...
newwurldmn, I re-thought about your above posting. What do you think about the following deal I'm offering you: I can give you the said guarantee...
Yes, it's still available. If seriously interessted --> PM me, as I won't and can't discuss it publicly any further. All relevant info was already...
I initially wanted to publish a scientific trading book with a chapter devoted for this system as the main attraction. But yesterday I had a weak...
You have to be realistic. Sure you can trade 1mm, but not in just one stock and 1 option; you rather would need to trade multiple different stocks...
No, in nearly all of my postings in this thread you can find also "volatility changes" mentioned together with the others. Or, are some people...
As said my calc shows a net loss $8075. But the topic was about change in (historical) volatility.
Imagine this: the net impact of a drop of a stock position can be eliminated by buying a put. Isn't that zero risk then?
Simply imagine there is a 24/7 market, or that one can manage to trade the same stock 24/7 at different exchanges around the globe. Then simple...
You would make a net loss of about $8075 :D Resulting from a -146.15% loss in the options position. The gains of the stock aren't enough to...
Mark-to-market is not done usually by oneself, but by the broker etc. It has IMO no impact on the position itself. It is just an informal value...
Can you give a proof?
Hmm. being early assigned usually means losing all or part of the credit, or even more. Assignment happens because the counterparty (ie. the...
The important fact is this: the options seller wants to keep the credit, so usually he hopes to hold the option until it expires, because early...
Doesn't really matter whether it be a change in IV and/or in HV. Example: A 3-month option of HV=30%: Spot=100.00 Strike=100.00 ExpDays=63...
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