That's nice but it would help if we knew your position. Did you really buy the stocks and sell ITM calls, and if so why did you not just sell...
Thanks Neo. If only we had a mathematician here to decipher the code. The 2 scenarios from this article (attached) are much more realistic than...
Dantes, dispersion is not usually done for 3 months. It is done for expiration cycles or 1 month. The probability of a $50 stock vol 10% moving...
This is an update of the post showing the historical relationship between index and component volatility. For the Dow, the weighted implied...
You agree with who? Nobody has said that. Think about this again. You ALWAYS hedge. Correlation merely refines the hedge which is first of...
Another reverse dispersion post. You need to clarify because I can't believe you spent all that money to buy the stocks. If you did,...
It has been made clear from the beginning that there are two types of dispersion trading -- regular and reversed. The reverse dispersion is...
You asked whether he was hedged and he is. But the fact he is hedged does not mean he is has correlation risk. It is the partial replication...
With regard to the reverse dispersion strategy, one option authority says that it is generally not profitable to buy the index put options and...
Because the difference between the component IV and the index IV is substantial, these ideas are worth taking a look at. Is the reverse...
Go back and read your post where you said outliers were killing you, or maybe that was IV_Trader. If you are short an ATM component straddle and...
Those are your own words from near the beginning. Outliers start ATM and disperse. You don't want that in the reverse dispersion. I don't...
Still working on reverse dispersion even though you've been getting killed by the outliers? This may be the time for the reverse since index IV...
SV = Statistical Volatility SV = HV IV is usually higher than SV (HV), especially for indexes. You buy and sell IV.
No. It depends on the relationship of IV to SV. IV on the index can still be expensive.
I had some old monthly data I was working with recently and thought you'd like to see how the historical volatility of the index compares with the...
I have posted what Egar calls the following the main formula for dispersion. Taking the square root of both sides gives the volatility. Notice...
This is another attempt at a reverse dispersion. The index calls are cheap compared to the puts, but you are not hedging against puts. Even the...
The reverse (or negative) skew of index options has been there since the crash of 87. The dispersion strategy we have discussed here so far...
Thanks IV_Trader for putting numbers to these scenarios. I assume that the time period is about a month. What your scenarios are telling me if...
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