Thanks atticus. Really appreciate this. It will take me some time to decode (a small piece of) this info. So you use the flies to estimate skew...
My non expert view on this is that the value of the option should be model indepedent. If you consider all the possible paths that the stock can...
The volatility is zero on expiration and the value of the option is either 0 or S-K (for a call). But this doesn't say anything about the...
Could you give us an idea how much of these predictions are based on experience/skills and how much (if any) in some kind of model even if it is...
I've seen the paper - looking forward to your article too. Do you think it still works for VIX? I am currently trying to test the idea on...
The equation is not the most general form but I used it just to show how P/L depends on gamma. Maybe it's better to think about dt as a very small...
P/L is the expected profit over a time period dt, when you delta hedge with the implied volatility (i.e. you calculate your delta value by using...
If you move away from the ATM point the gamma will suffer. Check Hoadley and compare the gamma curve for the spread you suggest to the gamma of a...
(Also someone correct me if I'm off) That would be true for a vanilla option in the ideal situation that i. you predicted correctly the...
How would you do this in practice? Long a daily option / short the weekly? Shouldn't it be the other way round (short daily) in that case?
Not speaking German but they look like two different options with different expiry dates. (17/12 the german vs 21/12 the american) There's...
Maybe you need to control for the market volatility, say the VIX level. So the difference is mostly because of the lower VIX rather than the GOOG...
Well let's say I am not that good with programming and I don't want to spend 250/mo unless I have a good reason :( Another one worth checking...
I should have made it clear in my post that I haven't used optionstar, just suggested OP to have a look. I had a closer look (hopefully I didn't...
It's still there and also more intense in the euro-VSTOXX futures. Is it because of Christmas or is it model dependent? (or something else)...
Hoadley doesn't provide the scanning function that the OP is looking for but it is very powerful with a lot of other functionality for the asking...
I am using Hoadley but specifically for what you are looking I think you should look at optionstar. It can use the IB datafeed and scan, analyse...
Sorry for repeating myself but again the book I mentioned has a detailed discussion on this. btw I'm not affiliated with the author or the...
Really sorry to hear that falcon. Wishing all the best for you. I hope, if I ever be 75, to be as young in the spirit as you.
Let me say first that I strongly suggest you to get a copy of "Volatility trading" by E. Sinclair where you can find answers for all these...
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