Ok first of all you're taking a lot of liberties here. You're calling me out and you have no idea who I am or what I know or don't know. I am in...
Agreed. To each their own...it's what makes a market. Although I will say that I've never encountered a formula quite like Black-Scholes....
In this instance, assuming you bought/sold 1:1 I would not worry too much about vega. The point is to try and earn the spread between the two...
"When the stock price is $67, it's less than the $70 strike price, so the option is worthless. But don't forget that you've paid $315 for the...
Yes, on the blackboard vega hedging is highly questionable. You're hedging a parameter from a model that's wrong. But hedging options with other...
Just for "fun" (me at least), here's a little toy I've been playing around with. It basically amounts to "back-of-the-envelope" analysis of...
One thing to remember from a risk management perspective is that by utilizing said vertical spread, you are expressing a view on vol whether you...
Not sure if this is the problem, but my platform sometimes resets to defaults. Right click on the column title bar and click customize. Then...
You're using a model to calculate vega. That model is wrong. Don't think for a second that simply putting on position with an initial vega of 0...
I think you have to be careful with vega. At least adjust by root-time (if trading calendars), then add.
I'm sure a lot of you are familiar with this piece, but I'll post it anyway. Some good stuff on this topic....
I tend to almost always hedge with other options to cut down on model risk. Moreover, hedging with a linear instrument can get nasty in certain...
Thanks. So a quick follow-up question then....as you rehedged, did you update implied vol as the market moved? Or did you lock-in the original...
I often trade SPX options. Lately, I've been trading skew and having decent results. However, in an effort to continue improving my trading, I'd...
So.....based on the parameters you described (2% 4-day drift rate and 6% sigma), a sample path of your strategy (assuming the full-account is...
Why? The underlying is priced at $0.60. There's only 0.40 of intrinsic value.
You've gotten greedy here. Yes, TSLA et al have some pretty juicy premium just begging to be sold. But always wonder if perhaps the market is...
All they're doing is plugging in options from stock-based comp into Black-Scholes in order to come up with a value to put in their financial...
It is exceedingly difficult to try and replace income from a steady job with option trading income. Trust me I've tried it. Options are...
Thanks. Yeah Baird's book was the only place I've seen the actual term "wrangle" used. Although Taleb devotes a couple of pages to two different...
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