Let's go ! I think It's like trying to learn how to sail in a bathroom. Now if we take Donnap's example, - a 3 years call 47 with 5%...
I do agree. Knowledge has to be shared. That's why I posted the derivation. There is no secret here and I wonder why Tradingjournals wanted to...
Sometime.
Donnap's example was a 3 years call vol=5% in a BSM world :)
Okay I think I got it :D You derived it like that: 2*spot*(delta-0.5) ATM, N(d1) and N(d2) are symmetrical around 0.5. That means,...
"The "delta" however doesn't tell us anything about probability of ending in the money." Very good point . If you ever try to price a simple...
Well let's go :cool: How do you derive it ? (I stated that you implicitly get your numbers from the deltas, because every public sofwares do...
Hi Magic Sorry, but you don't :D Where on earth did you get people know the right probabilities of an asset to be at a particular level :)...
Good luck. Masteratwork
This is one of the riskiest strategies. If the underlying moves slowly up (low vol) you'd lose money on both, spot and option. Masteratwork
Hi, Some informations here :...
If you already have a fair value in mind, you don't care about market prices. What you care is realized volatility until maturity. That way you 'd...
So this is Wealth (t+1)=Wealth (t)*1.5 if "tails" Wealth (t+1)=Wealth (t)*0.75 if "heads" The good point is that 1.5*0.75=1.125. Hence a...
"No offense..." Cooldown, that was just a joke . What I see is just that you're averaging your position. It's just like to say : guys, you...
No offense, but if you just bought and held $, it would be worth $1000 ! What makes your assumption of long term profits holding ? I took...
I agree your datas If you want, but I still don't get your point. You got a portfolio that was worth $1000 ans is now $562.5. Where on earth did...
Hi Sambian, So you started with $500 and â¬500 1-If â¬/$ = 1 then your portfolio is worth $1000 or â¬1000 2-If â¬/$ = 0.5 your...
Implied risk neutral distribution is the risk neutral distribution extracted from market option prices. This risk neutral probability...
Kevin, Another name was "market gamma" some years ago.
ha ha ha, my bad, you're right :) . Masteratwork
Separate names with a comma.