If you wish to evaluate on a %-basis then omega = (underlying price / option value) * (option delta) may be helpful: the %-change in the...
IMO Black-Scholes will do just fine here, but you'll need to input some volatility. Or, here's a text I copied a while ago: You would like...
A cheaper option may be www.stricknet.com Should you run into www.tbsp.com , be warned: their database is incomplete as they remove all options...
Note that X is used both for 22.5 and 52.5 strike: http://biz.yahoo.com/opt/symbol.html so e.g. SIIEX probably used to be a 22.5 call and is...
t-man, no offense but if you have read and understood Taleb then you know his fund *can-not* collapse :D He also explains why in this interview
Can you arb vol diff's across months? That's new to me, but never mind. I expect splitting the months P/L won't be a problem. I'll find time to...
The idea of a true (arithmetic) IV average ( (IV1 + IV2) / 2 ) seems beyond useless to me, honestly even per expiration month. Is that really how...
Got that, but what is the specific advantage of (equally) spreading risk over different months? I mean, you don't spread risk over different...
An apparently simple idea has me confused. I assume the 34 cents is based on 1:1 ratio. The model turns out then your front/back month P/L...
Just an example to better understand: say you model having both call and put calendars on: call cal's are Apr/May put cal's are Apr/Jul...
Div_Arb, I don't think I'll go for OptionVue but still curious: in OV can you model lineair IV: - for each leg separately? - with...
Still on to-do list, just a matter of time (or lack thereof). My idea was to build on our friend gbos's VBA code (assuming he doesn't mind) and...
If you like Taleb you shouldn't miss Mandelbrot, one of Taleb's favorites: http://www.fooledbyrandomness.com/mandelbrotandhudson.pdf Makes...
Hoadley can't do it. In fairness it can do a lot for $70, but not what you're asking for.
Sbelmont, this was the 10th post you tout these sites that answer only the most basic Q's. Not sure what your agenda is but we know'm by now. Thanks.
nravo, there is no easy answer to your Q and BTW your assumption about delta is shaky at best. google this: delta probability "in the money"...
For all practical purposes you'r right. Theoretically though, take Delta. When we have underlying strike days interest option price...
Ursa, I think it gets even more subtle: strictly speaking there is no "actual" volatility, either you look back (historical, statistical) or you...
Not a problem. I was building some code when it occurred to me that it's a 2-step process --> first IV --> then Greek. The 2nd step of course...
In BS, if we know underlying strike days interest option price is there a way to calculate (any of the) Greeks without first iterating...
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