I'd like to short an ATM straddle for the most premium, not the intrinsic. It is not always possible as the underlying could be at none of the...
There are great answers above, but I think you will also need to factor in the level of accuracy/confidence of your prediction. For example, if...
I don't know what he uses but TOS has a spread hacker to scan spreads.
I wonder how you define this. The variance of the portfolio's daily value?
Well said, Kevin. Put-call parity makes no assumption about return distribution, mean, volatility, and all that stuff. There is nothing to be...
By microstructure, do you mean bid-ask spread, level 2, or more?
Not sure if I follow. I think most of the time the put skew gives fair put prices. It wouldn't be fairly priced if there was no skew, because...
Thank you for bring that thread up. If I saw it earlier many of my questions would have been answered. I think @destriero attributed the long-term...
Sure, models can be off, sometime far off. But most of the time they can be used as an approximation. Are you using a model-free approach?
Thanks for the replies. I'll take the conclusion that the market thinks S&P 500's 10% average annual return is rather risky and uncertain in the...
Well, assuming the return is equal to risk-free interest rate would not prevent the broker from liquidating the account, either.
One thing I don't understand about Black Scholes is why the mean (drift) of the stock return lognormal distribution is set to the risk-free...
Consider two scenarios: 1) Short 1x put that expires on day X. If assigned, do nothing. Otherwise buy 100 shares on expiration. 2) Buy 100 shares...
Thanks for the interesting study. However the prediction error still seems too large to be useful in the trading strategies that I can think of.
Does anyone have one?
Thanks. ThinkBack is an interesting tool. Is this historical data downloadable?
I do this mostly for learning. While I may place a few trades during open sessions, I have more time after hours for browsing option chains for...
What do you mean by unrealistic bid/ask pricing? Too wide of bid/ask spreads? I have seen a few vendors selling end-of-day options data. Do you...
I find reading option chains a easy way to learn options, either using trading software or websites. However, it is not always easy to get the...
Dumb question maybe: what did you mean by "D1"? Also, the reason I'm interested in the margin of collars is they seem to have a smaller slippage...
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