At least one professional trader contributed an interesting idea to this, admittedly, worthless in general thread. Either you have something to...
What you need to look up is "root time vega" Generally you cannot add the vegas of two options with different expiries. One way to do it is to...
You are probably right but human exterme idiocy is the same like human genius. They are both mind-boggling-unpredictable leaving you head bat...
In theory you can initiate the calendar trade to be gamma neutral by adjusting the ratio, so your position has mainly vega risk (assuming you are...
What I meant is use this thread instead: http://www.elitetrader.com/vb/forumdisplay.php?s=&forumid=29
What you do is called gambling. You are no different than the degen who goes to the casino with 700 believing he's gonna be rich. It can happen I...
I understand this (or at least that's what I think). I was only wondering in my OP if in practice, you the traders, make any adjustments. For...
I was only wondering if in practice you make any adjustments to get a better pricing. I don't want to go deeper in theory and drown b/c of my...
In the calculation of implied and realised variance there is no accounting of jumps (if I am right about this). I suppose it's not siginificant...
Sure. Pen and paper would be better for me than looking at Excel on my laptop. And a revision on fractions lol.
Many thanks for posting the spreadsheet and for the whole thread. In nthe spreadsheet, I think you convert the VIX number to a Var strike, I...
But delta hedging does exactly that, it takes out of the equation this "linear path to profit" you described. As I said before I am trying to...
No I don't have any experience at all. I was only pointing that at least for me this simple equation helped me to understand better the concept...
That's more of a philosophical question. But the equation they show for P/L although not accurate has a lot of practical value to explain in one...
Check again what happens to the delta of a call when price falls:...
Useful spreadsheet. I don't use TOS but I guess they calc delta using the B-S formula. The problem is that it is not accurate for OTM options eg...
One of the strategies I am experimenting is trading skew. One of the basic mehods is supposed to be a risk reversal for example. Any suggestions...
This is something I find confusing. Is it not standard to use calendar days for IV calculations for example in the B-S formula, or the VIX...
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One of the many reasons that less new drugs become available. Even gonorrhoea becomes resistant these days:...
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