Probably not the advice you're looking for, but my best counsel is never to give your friends free financial advice. If you're right they won't...
It's a consistent phenomenon, especially intra-day, that when an index goes down the implied volatility of its options goes up, and vice versa. I...
If you buy index calls for example you are long delta and long vega. It's possible for the market to drop yet IV goes up enough to offset your...
It's been a little lower Mark - 22.48 on 9/11/09 and 22.19 on 9/23/09. Tell me what your outlook is for stocks and I'll tell you whether to be...
Bernie Madoff claimed relatively modest profits of 1% monthly. But in reality he couldn't produce even that - despite having enough money to hire...
All true. My question was about terminology - how to describe a smile-shaped function vs a frown-shaped function in mathematical terms. I...
One more question - from a mathematical point of view, is negative convexity (the "frown-shaped" curve) the same thing as concavity? And if so,...
Yes, I think "positive convexity" and "negative convexity" are exactly what I'm looking for. Thanks. Your point about delta is exactly what I'm...
Somehow the extension got cut off - here it is again. It's a word file.
Forgot the file - here it is.
Maw, I'm sure you can answer this question if only I can express what it is I'm asking. So far I haven't done a good job, based on the answers...
Any time you are long gamma, the shape of your P/L curve could be described as a smile shape, or a U shape, or a saucer shape, etc. Any time...
If you expect horrendous slippage when exiting your futures position in such an event, why do you think there will be less slippage when...
Thanks for posting this. If you scratch the surface of the guys who promise to teach you how to make an easy 5% monthly trading options, you'll...
Vega is the sensitivity to a change in IV.
You didn't say what you're trading, although the quote looks like eur/usd. In any case, here's my problem with what you propose. Quite aside...
Sure - if it's a small market with few big players and you have a clue from day-to-day participation who's doing what, that would be a different...
I completely agree with xflat on this. If you want to guess the reason any given trade took place, you'll do just as well to flip a coin. I...
Right. If futures are at 70, then "equivalent calls and puts" would be, say, the 80 calls and the 60 puts. When option traders talk about "the...
NO NO NO! The options pricing model doesn't assume you are an MM -- unless you trick it into thinking you're an MM by feeding it the MM's...
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