Still trying to understand this. But would you say this position is trading against an overly sticky strike market? And part of the modelling is...
I'm talking about the volatility after earnings week expiry. How could earnings itself cause this? Example, MSFT: [ATTACH] How is volatility...
To the extent that the thing your trading is a martingale, that is, the fair value in the future is the value now, there is a theorem that says...
Check out CRWD 1 week forward vol at 32%. [ATTACH] Realized 7 day (about 7 trading days between now and Sept 8th expiry) is almost never below...
Isn't the yield on cash in IBKR really close to buying treasuries yourself? Sweeping cash manually at EOD costs the 1c spread which is as much as...
Yes but what matters is risk adjusted returns. What is the sharpe? If the sharpe is is better than the index, you can leverage the better sharpe...
Did you shift RV to be about 20 trading days after IV?
As others have said the weekend is giving you a completely unrealisitc diagram. Vol needs to be recalculated using trading days. Friday/Monday vol...
Vomma is higher for OTM then ATM (where it's close to zero). Therefore going long OTM strangles and neutralizing vega by selling ATM straddles has...
INTC new lows last couple of earnings. Down at least 5% last 10/12 earnings. Market's offering 3:1 odds that it doesn't happen again. OK. [ATTACH]...
100% loss.
[ATTACH] Just fitting the histogram over the last 12 cycles. [ATTACH] Post your own fill if you've got something better. I'm guessing this way...
Building on MrMuppet, skewness is the technical term they are referring to.
The fair value of a spread is it's expected value (suitably discounted)....
If you use the same number of days the software which gives you an IV, both trading days and IV will be wrong but their product IV*sqrt(time)...
The expected value (under a lognormal distribution and for smaller IV/time to expiry) of an ATM straddle is about .8*Spot*IV*sqrt(years to exp)....
60 Day December contracts going for 29%. Mean 30 day realized vol since Jan is 22%. [ATTACH] If you were able to sell a 60DTE straddle at 29%...
This kelly bet size uses only the first 4 moments of the distribution of the returns? How did you derive this? I though to get the 4th order...
I think there must be a miscommunication. My figure exactly matches his figure 14 on the article you gave and both conclude that hedging at the...
I'm working on the mathematical proof. Had to review ito's lemma and such. But for now, the expected value is independent of the hedging vol....
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