I'm looking for some European stocks that has weekly options available. Does anyone know?
I often find my long theta trades getting a small "profit spike" on the open, so I assume some theta is being discounted overnight.
Gamma scalping may be applied to all sorts of trading styles. You can trade it directional by balancing your greeks in a way that makes you...
...what the hell?
Technically it's gamma scalping. I'm also short IV though, since vega is negative when doing this.
It's not unlimited risk if you're actively managing the risk through greek adjustments via either selling/buying options and/or underlying. If...
Guess I'll keep shorting straddles then. It has been profitable lately when combined with proper risk management in form of delta hedging etc.
My advice is to kill yourself.
Positively correlated when looking away from plus and minus signs :) As in higher (positive) theta equals higher (negative) gamma, and vice versa.
You're right, I misread. I agree delta-hedging will realize IVs above 0 within expiration. Also, as far as I understand now, IVs wont affect...
I must have misunderstood something. Are you guys saying the delta hedges I make when IV is higher will lose me more money than the delta hedges I...
What happens then? AFAIK if IV goes up so does theta/gamma. Obv. the increase in theta wont benefit you, but the increase in gamma will make you...
The measurement parts makes sense, but how to translate all this into P/L?
Hypothetically speaking, looking away from black swan scenarios, say I short options at 70% vol, then it jumps to 80% vol, my mtm hurts, but am I...
Makes sense. But how can I be sure the surface moves in a parallell fashion? What about skew and convexity risk? How can I measure that? Or maybe...
So Vega measures P/L based on a 1% parallell move either up or down in IV accross the entire volatility surface?
Say my aggregate vega is -100 for a position consisting of several options, all with the same underlying. AFAIK vega measures sensitivity to IV...
What I'm looking for is basically a way to calculate P/L per scalp when you're long gamma and continuously hedging delta. As far as I understood,...
Alright thanks Dont have any proof, it's a formula I picked up on the NP forums. I've seen it used elsewhere as well so I just assume its correct.
As you know, the P/L from a gamma scalp is 0.5*gamma*S^2 (where S is spot movement). However isn't delta affected by other factors such as Vanna,...
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