I do attempt to speculate on the future shape of the curve and have been successful with spreads taking that object as a focal point. I don't know...
I can imagine how it is possible to hedge out contango (or backwardation) in the Vix futures through calendar spreads at a ratio. If the contango...
I read that LiveVol has correct Greeks on Vix futures options, but that service is rather expensive and I don't plan on using it for anything...
This seems topical at the moment, with the recent spike. Seems there's been extra written on it lately. So just what are your favorite ways to...
Does anyone here modify their short straddles by using differing expirations in the legs? I have been playing with that as a way of expressing a...
There is a 2x inverse VIX etp: https://www.bloomberg.com/quote/X048:GR I notice it doesn't seem to recover very well from the big spikes in...
Don't assume the arb has been grabbed up just because it's out there. Why can't you be the arbitrageur?
Just noticed the thread and am intrigued about "zeroing out the roll," which I've been working on. It seems to me it is possible to put on ratio...
Which pairs generally exhibit the greatest daily ranges these days? Last I thought about it, it seemed to be USDMXN, GBPAUD, and GBPJPY. What are...
XIV sure seems to behave a lot like long Vix futures calendar spreads. When the vix goes down, XIV goes up and long Vix futures calendar spread...
Well, selling premium going out far enough raises about the same as what is recoverable by liquidating the long underlying (close enough anyway)....
I was considering selling calls on uvxy to hedge tvix, which doesn't have options. When tvix was at about 6, uvxy was at 27. If long 2000 shares...
Hello traders: Do you know of any software or site that allows users to graph OTC options? I would like to plug in the needed factors (e.g....
Thank you very much, TskTsk. You're saying the quote currency is considered the domestic currency? Thus, JPY is domestic and USD is foreign in...
Sure, this is all laid out explicitly in the books of Lawrence McMillan, such as __McMillan on Options__ or __Options as a Strategic Investment__....
Good points. Intriguing that your gamma remained stable by taking alternating long and short positions on alternating strikes. You mention...
Hi folks, Which interest rate is considered domestic and which is considered the foreign rate for purposes of calculating pricing and Greeks of...
Thank you very much, dmo and TskTsk. I found a wonderful spreadsheet done up by Espen Haug which provides all the various Greeks with graphs for...
Thank you Tsk. I'm unclear on d1, v, and T. Can you name those variables? Do you know of a shortcut for computing gamma of gamma (which, as you...
Hello everyone, I was wondering if it is possible to calculate the gamma of the gamma--that is, the change in gamma relative to the change in...
Separate names with a comma.