It depends on your trading system but I really doubt it can be useful in general. Implied vol (surface) carries so much information that you will...
I can't comment on the effectiveness of Atticus' recipe although don't forget it's not clinically approved but on the other hand it does have some...
Isn't Friday half day? (Not an American here)
Hey cd, from looking at your Hoadley screenshot, you need to change the risk free rate and the pricing model (to binomial American)
I am using Excel VBA functions from this book : Option Pricing Models and Volatility Using Excel-VBA (Wiley) There are also functions for...
Any thoughts on the Saxo quotes? They are from last Sunday, spot 1.2717. I know that they are not available in the US and I am not looking at fx...
Ask family/friends/bank manager/(ppl in public forums) for funding?
Especially if you don't hold your option to expiry you will have to trade it at the price set by the market. If you take this price value and put...
Saxo is advertised as a respected OTC fx dealer. The screenshot is from my (retail) account: [IMG]
I think I'm getting now how you do the calculations but I had the sense that maybe it was confusing for other posters. I would give more...
+1 Hopefully newwurld still likes it. fwiw I am in a DEC21-/JUN21 15 Put -2 / +1 calendar for 0.79 credit DISCLAIMER: Don't copy my trade I...
OK so you calculate your payoff% by comparing to the option price at time t=0, which is not shown here(?) Maybe you need to give more detail of...
In the table you posted it looks like you get BS prices on the same time t, so your %payoffs are only relevant to price jumps. Obviously not...
Let's say you want to calculate (estimate) the stdev of returns (or vol) over 10 days, name it vol10. You know the vol for each day, say Day1 -...
Are you naked short on this? maybe part of a dispersion trade?
That's true but as I said in the previous post you have to account for the time decay before the IV gain. If you buy the option at 20% vol and it...
In your example, before an earnings report usually the IV is increasing a lot. So if you put something like 60% as your vol value then your...
What volatility value did you use to calculate these figures?
Black-Scholes is probably not the best model for "surprise overnight events". But even assuming that it is OK and thus your values are correct...
It's a shame that a sad individual had to ruin this thread. Many thanks for everything and gl 2.
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