Johno, I'm not sure that you are doing the kind of "static hedging" I was referring to. The academic papers talk about once a month because...
Not mentioned in the article is a type of hedge using options called the "static hedge" as opposed to dynamic delta hedging, since it only needs...
You're foolish to let what iv trader says hold you back. It is staring you in the face. Look at the sheet in the demo and see the column...
Oh yes that really clears it up. All of us here thank you for the generous sharing of your wisdom.
Thanks for the clue and yes I did read that, but I asked for an explanation, not just an opinion. Despite what the puerile upstart wise-a** has...
Whether our diagonal example is called long or short gets us into option terminology purgatory. As a combination of a short vertical and long...
Isources saved by rho? You've got to be kidding, but maybe you are serious?:eek:
Yes that seems to be one of the issues that is creating some flames here. Essentially you are taking on the entire options world in admitting...
You may be the only one who thinks that. Have you read all the posts? Maybe you should explain your reasoning to the uninitiated. The full...
You have answered many questions in all your typing, but some still remain. It seems that several here have now shown you that when you figure...
If I had to guess what his answer would be, or perhaps what it *should* be, the time premium of the November 85 call is greater than that of the...
1) So now we are talking about 20-30% of the position. I know this is because the short deltas of the protective puts (.71). I believe this...
I'm glad MoMoney is here. Finally some class. Maybe he can help figure this guy out. I don't know how much this gentleman knows about...
ISources, don't take this flake seriously or representative of others here. He is an immature would-be trader who is trying to learn and likes...
Eliot, cost of carry is a cost .... deducted from your profits. The shorter the time, the less costs you have to pay, ergo ..... The April07 put...
MTE, How are you calculating the 8.1? Eliot, don't start a good sentence with a "But". As MTE points out, your position *is* a synthetic...
On the contrary I can't even read these charts. Why are they so small? They should be gifs or pngs and 50% larger. I can help you if you...
If he brings in that otm strike then he's got a standard butterfly -- at least in the example we're working with, and that wouldn't work....
He's running 1 sigma into October so I guess that falls into the range. Not sure I know what you mean here by "well below above fair value" and...
benysl, your P&L figures would be better if you balanced the deltas when the future is triggered between the future and the short options. That...
Separate names with a comma.