Just a general comment fwiw. It's not an issue of being theoretical. If you don't get useful results then it's just that your theory is wrong...
In theory skewness should decay with time since for long enough periods the distribution should become closer to normal. There is also an...
Sorry it's my fault, I left the question open and general to help discussion or maybe because it is still in this form in my untrained mind. The...
OK so my naive strategy is not the best to put in practice. What you recommend, is it related to the idea of somehow replicating a variance swap?...
It doesn't need to be a losing trade. For example let's say you have a great vol forecast model and you predict the vol to be higher than the...
I am not sure if there is a proper name for this but I am thinking about rolling a straddle or any other strategy (fly etc) on the strike...
So you initially set it up gamma neutral but during the trade do you dynamically delta hedge? I mean it's not good if you profit from a vol spike...
It's interesting that there is a huge retail base trading KOSPI, mainly ppl who try to gamble. There's also a recent paper where the authors claim...
Sle, this is something you have repeated numerous times in your posts and you've even hinted to a few of these opportunities. IIRC you talked for...
Since you made that public: Was it mainly a bet on volatility or price? Or both? (price up - vol down)
sle has been really generous with contributing real gems to this forum. And always by keeping a decent profile. If I ever make money (pink swan...
What is the logic of this trade? There is a premium b/c of higher demand from traders who roll their position to the next month?
Thanks I'll try to "play" on Excel with these suggestions and see how they work.
What about low volume options? Can the small guy compete there? Or is it the risk of getting picked up by an informed trader (I'm thinking of...
Let's say we are happy enough to use a long bfly as an alternative to a short straddle (ATM). For example we think ATM IV is very "rich" and we...
Thanks for that. Better buy a real lottery ticket instead...
This is only a newb question so apologies if the answer is obvious: I'm playing with the option scanner and this is an example that stands out....
Is this specifically to take advantage of the index skew? If you sell 10D-20D puts, what trade would you do on the back month? Do you hedge (how?)...
I think they are both right, looks like one is daily and the other one annual. Just out of curiosity, where do you get the data for the screenshot...
You can compare with the OTC market which obviously is the highest volume. Free Bloomberg quotes can be obtained: ATM 1M:...
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