http://www.cqf.com/ Has anyone taken this course? Would appreciate any feedback, particularly on its usefulness to actual practitioners (i.e....
if you're interested in the Nikkei index, it's available on TOS under /NKD. It has historical volatility data. IB should have them too.
The Vega curve of an ATM fly resembles a smooth "S" if one looks at minor price moves (1-2%) and looks like two mountains on both sides of a...
Hi MTE, thanks, didn't know that. Haven't used SPY a lot so it's good to know.
prolly cos gamma gets very very high during expiration week and a small move can wipe out a huge chunk of your gains. also expiration week has a...
heech, thanks for pointing that out. I've come across that also in my reading yesterday although I skimmed through it and do not understand how...
That is a very wise thing to do. I seldom practice what I preach though. When a new idea occurs to me that I'm really excited about, I papertrade...
which page is this? perhaps we can look at it together and shed some light on it.
There is a negative gamma curve even with a single option because I make the assumption that they are selling options in the target backmonth...
I think it's because it's referring to the target (i.e. portfolio) option's FUTURE gamma. Not it's instantaneous gamma but the gamma when the...
I think Papertrading is more useful for a trader with some experience with the real thing (perhaps he's testing a new strategy), than a new...
Good call at purchasing Hulbert's, a smart choice. Just wanted to address the above thoughts. It'll ony be education if what they're teaching you...
I think you mean to hold to expiration. Not a good idea because you never know what the underlying will do the next morning when the component...
Went to do some research yesterday and it seems static hedging is mentioned in some other books like Wilmott as well. Only there it's addressing...
Hi MTE, thanks for the tip. Any books to recoomend that discusses this?
Don't put too much money in there. heard they didn't do too well. I've come to believe that the ability to smell bullshit is the first step to...
what were your total portfolio Vegas (reverse calendar + straddle) when you say you lost money when IV rises? Vega is not static, if my...
http://ideas.repec.org/p/wpa/wuwpfi/0409016.html Wonder if anyone has read the paper "Static Hedging of Standard Options" by Peter Carr and Wu...
i see. to hedge the vol risk you need to spend some of your capital to put on another similar (meaning long gamma) strategy that profits from a...
ben111, I don't think you're hedging the Vega risk of the position so much as you're trying to hedge the risk from the volatility skew between...
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