I know that vega represents the loss/gain that an option experiences with a 1% move in the options IV. So say I have an option position consisting...
Usually ATM gives the best premium with respect to time value.
UL price - UL price? You mean UL price (at zero delta ) minus UL price (at current delta)? That wont work, since I dont have UL price at zero...
How do you calculate the UL price in which your portfolio delta will be equal to zero? Is it as easy as current UL price +/- (delta/gamma)? I fear...
Again thanks for your answer. I read through the documents on DDE and VBA and managed to modify the IB API DDE template to fit my needs, at least...
Also, your answer is how to request data for one cell. But how can you request data for an entire column? Say I want a new column which gives me...
Alright gotcha, thanks for the reply. While we're at it, is there any way to make Excel automatically update an active order if I change around...
Are there any Excel spreadsheets out there that include higher order greeks like vanna, zomma, charm, speed, color, DvegaDtime, vomma, Ultima,...
Never mind I figured it out, I was using the wrong function. I've got it figured out now and the formula is up and running. But what exactly is it...
I followed the guide on IBs website (http://www.interactivebrokers.com/en/general/education/pdfnotes/PDF-TwsExcelAPI.php) on how to connect IB TWS...
Firefox has always been a resource hog. 10 minute startup time, 8 tabs open - 1.5GB memory usage / 20% constant CPU usage. Dont even know why im...
Okay I think I got the d1 and d2. I am still unsure about N(d1) and N(d2) however. I know in Excel you can use =NORMDIST(d1) to establish N(d1),...
Nice, thanks for this In the formula above, is time option life as percentage of year? Also is there any spreadsheet or something that will...
Ah yes I see it now: [img] Only problem is I neither have a financial or mathematical background. Could anyone perhaps give me an example of...
Please help, I looked at the Wikipedia article for "Greeks (finance)", but the formula for Color (gamma decay) doesnt make sense to me. It looks...
Im curious if anyone has any formula / paper / etc. that shows how gamma changes with time? I'm trying to run some simple simulations. Say I have...
I always wondered how sharing a "secret" edge would make the edge inefficient. You'd think if more people were buying or selling at a spesific...
Lots of good points. Indeed it is much like selling insurance, which gives you lots of small gains with the risk of the occasional big loss. Its...
I am usually naked short, haven't blown up yet. Everytime I pray to god it wont blow up and it seems to be working so far. Yes thats what I'm...
I hear this constantly, how people claim shorting options are better than going long because theta gives you an extra edge, and that most options...
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