'What goes up in crash, de/inflation, and depression?' Tears ? Pain ?
If you 'gamma-scalps' an option, it only makes sens if gamma is worth something. If it doesn't (ie if one leg of your straddle is DITM), gamma is...
Why don't you buy a simple call spread 95/110 ? That way you'd know exactly your risk and reward.
Volatility moves much more than for equities for example. In a low volatility context, a marginal variation has a deep impact on every structures...
Hi, My 2 cents. You would have some thing like a dividend on currency options, that 's foreign interest rate. CME provide european and...
Yes it is. A lot of exotic derivatives need extensive calculus/time to be priced. Fast fourier transforms is a mathematical tool to reduce it...
Yes it's widely used in practice, specially for computer implementations. Like series with functions, discret fourier transforms provide a...
My bad, but I didn't want to be rude :) . It's just there are a lot of threads here on ET about that, so with a quick search you would get what...
Yea, it's called Google. 2 or 3 seconds after, it's called Wikipedia, then take a look at 'Computer implementations' and heaven is on earth.
I was kidding Dmo, of course you're right :) The point is how interest rates and dividend are able to skew greeks. That's currency options,...
long theta-long vega meant you'd earn money with time decay and if volatility increases. A long straddle will profit from time decay only...
vega $ -7.12 Daily theta $ -0.55 (I did it 10 times :p )
Hi Dmo, Are you sure about that ? Price this risk reversal Maturity december 12 long call 153.6 implied vol 13.5% short put 141.6 implied...
http://icf.som.yale.edu/pdf/seminars04-05/Maenhout.pdf
No, there is no stupid question about options. Option rules are built on exceptions. Time value is often somehow just a concept.
Donnap is right. Exercise strategies have to consider the cost of a such decision. The point to understand is that positive theta tells you that...
Hi, "A simple explanation is that european style options are priced on a forward. Thus, if interest rates are around 10% , spot is 100 and...
It's a pure case of optimal exercise strategies. Theorically, there is no advantage to stay on a position with positive theta as you 're trading...
Options exhibit deltas>1 only if foreign interest rates are negative or there are storage costs.
A simple explanation is that european style options are priced on a forward. Thus, if interest rates are around 10% , spot is 100 and the one...
Separate names with a comma.