Not quite. If the implied volatility in the oil calls is the same as what future volatility in the oil spot is GOING to be, then if you keep...
Maverick We agree completely. Osho That's £ 15 per contract, less clearing and comms. I personally wouldn't touch it with a barge poll,...
Some free software here; http://www.hoadley.net/options/options.htm Using a 9% spot vol, the chances of them expiring ITM is less than 1 in...
Hopefully not ! But surely you must appreciate that near time DOTM options are highly leveraged monsters ? I'd be a buyer of those, not a...
Thanks, with you now. Certainly agree that option trading is a zero sum game. On the subject of delta probability..... I wouldn't use an option...
Need a bit more meet on the bones maverick. What are you on about ?
Sorry, I'd only picked up the back end of this thread - gotcha. Agree your last paragraph. Perhaps the best way to gamma trade (if there is a...
With ya so far. Why ? Surely the spot vol need only be higher than the implied volatility purchased for "successful" gamma trading ?
Itâs an interesting debate â who has the edge, writer or buyer. Mathematically itâs very easy to see, itâs simply a case of looking at...
kartik_subbarao Using the delta as a probability is very crude. The delta will vary as a function of the implied volatility on the option -...
Appologies, thought he was a buy-hold man. Yep, agree high gamma - gives a big bang for your buck, but the rent is high (Theta). Horses /...
But the opposite of gamma is Theta and so high gamma = high theta. If I wanted to go long options purely as a substitute to buying the underllying...
The scan risk might be the same, but the liuidation value of the call will be more than the put. So total margin requirement will be more for the...
nonprophet I hadn't noticed the attachment on page 7. I've copied the formula from there and you're right, it works ! Thanks.
nonprophet I refer you to page 2 of this thread, from which I copied and pasted into VBA. Your <b>prob_hitub</b> does not feature there. I...
gbos As an example, Iâm trying to determine the probability that a stock will touch a given price at any time during a specified period;...
gbos I've just started to work those formulas you posted. I can't get any to work. I think the problem may be in the Snorm function ?
How close depends on the volatility and time to expiry. It's close enough for fairly low volatilities and near time options. But becomes less...
gbos Brilliant ! Many thanks.
I too am looking for a formula that will calculate a probability that a stock / index price will âtouchâ a level at ANYTIME given Spot price /...
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