Is that a sound strategy? Why don't they suggest buying lottery tickets...provided you buy at least one big winner?
In general what I have noticed is that while the IV does increase semi-consistently prior to earnings, this is mostly a result of the option...
Thanks for your reply sle, would you say that in an underlying move up skew tends to steepen (and the whole surface gets pushed down) while on a...
I agree on the McMillan but there's several other good books that will help you lay a solid foundation for your trading: "Option Volatility and...
What about an overall shift of the whole IV curve? Wouldn't that happen as well? Not only riding the curve (if sticky strike) but also the whole...
What is "beta vol"? Vol normalized by the underlying's beta?
If you think about the IV skew that is displayed usually (not always though) by Individual equities and equity indices: [ATTACH] You can see...
Hello, I know there are a lot of very knowledgeable and experienced option traders in the forum so I am hoping someone can help me understand...
Thanks for the reply, I am looking for information on Individual Equities and Equity Indices. I seem to have understood that for small price moves...
Hi sle, I always appreciate your thoughtful responses in this forum. I have been trying to find resources to get a good handle on IV skew/Term...
But on January 2018 on the day of expiration it will converge with spot and will be settled based on the value indicated by ticker VRO
Impressive. What percentage return is that? (how much did you put in initially)
Based on your experience or what you have seen in the markets, do OMM use variance swaps at all to hedge/control their book's risk or are...
I have always found it funny with Vega that it measures how much the premium will change when the IV changes, but the IV is actually extracted...
I agree, but if you go so far ITM as to make theta almost negligible the price of that option will be high (almost all of it intrinsic) and will...
If you are wrong or only partially right you also lose with the passage of time (theta) and if the perception of the market is that the underlying...
The first thing you have to ask yourself is whether you should actually use options for your strategy. It appears that the only parameter you have...
That is if we assume Black-Scholes is completely correct (IV across all strikes and all expirations are the same) which we know it's not (skew)....
I was going to reply to this thread and then noticed JackRab said all there is to say about this subject. Read his words, think about them, read...
hi Kim, can you explain your concept of a "calendar strangle"? It seems to me that what he is doing is a synthetic long call (long underlying +...
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