King of P ?
Thanks , Neo. One thing come to mind : why trade when I can write a book about it... I wonder if the author ever used this staff by trading his...
you cannot to avoid it , see my previous posts on this subjuct.The only way to collect IV "arb" if ALL basket stocks will go to the SAME direction.
looks like the use of vanilla spread (credit or debit) is very close to exotic position (touch/no touch) , especially for the short time period....
yep , but actually I will make money if market goes up or down as long as all (or most) components will go to the same direction (collect IV...
This month I bought every Dow stock (except of GM) , sold covered ITM calls(for each) and bought DIA puts , I took the same position only ones...
yes , very close , especially for Index. Different story for some individual stocks when and if you excluding One Time Event % change , then you...
Andy , some time ago I wrote a simple formula to calculated ATM combo premium when historical data is not available. X=ATM combo premium= (XYZ...
here is my final take on this strategy : its worked in FALLING iv/vols environment when price action was lagging the vols ( Vix at 30 , but price...
r-man , nice job but... what kind of conclusions can you get from only 9 points of historical data ? Its to little for brother statistical...
went long Index - short components this month , left out crazy GM. DIA premium on ATM straddle is so low , represents only 2% of the nominal ,...
probably pros can give better answer here , but I'l try...I don't think that single stock vs. index correl is important here (and maybe even very...
thanks for the link T-F. the house edge is appx 9% on all touch(no) touch. here how to calculate it : 1. Create any touch bet with payout of...
I see what you are saying , I will run the test in couple time periods ( and one of them will be 8,9 or10). Riskarb , I need exact price of the...
I am not familiar with Think or Phil's method , maybe its very good and in this case one should not listen to other poster's ideas , just keep...
1. Why would the max loss of 20k(and never a dollar more) require 40k in margins ? 2. I knew somehow that I will not be able to explain it clearly
let's assume one is ready to sell 100 credit spreads (10 points spread) for 40 cents for each put and call: Max gain=100*100*0.8*=8000 Max loss...
I will try to post scenario after market closes , I'm not so good in explaining , that's for sure...
OK then. I already know how do it : I will build touch position (via vanilla long options) with pre-set conditions: 1. Time=30 days 2. Must...
sure , Sam , but only if riskarb don't mind. I don't want to pollute his thread with my opinions (just with questions sometimes)
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