Unbelieveable ! The dollar cost of an option is almost irrelevant; itâs the implied volatility value that is the only true cost measure. In...
It's actually the other way around. And how exactly could you expect anyone to predict your options trade when you hadn't given your view on the...
Indeed it can only ever be know after the fact (HV that is), but that doesn't make it irrelevant. IV is EVERYTHING, absolutely EVERYTHING in...
smilingsynic There are many options (excuse the pun). But if you're following the thread the debate is about adding a positive expectancy to...
Absolutely ! But buying a strangle at a higher IV than one could close the straddle for doesn't add a positive expectancy, on the contrary....
What would you bring to the party ?
Agreed ! In your example you're thinking of closing a short straddle profitably, presumably because you think the profit will be erroded by...
The problem with this thread is that there's so much going on it's easy to lose the plot :confused:. I'll re-post the original quote... IV has...
The greeks have nothing to to with expectancy. Expectancy is determined by probabilities derived from the normal distibution curve which is a...
Don't agree. It's either a good time to be selling options or a good time to be buying - it's never both ! Where long term option trading...
True, but does that change the zero sum fact ? The net wealth of the option buyer and seller won't change when an option trade is complete....
That doesn't change expectancy. Expectancy is at the point in time the trade is made. If I can use an example you recently quoted with the...
Any chance you could provide a worked example ? Why not use a daily range probability given an assumed volatility in the underlying ? e.g....
What is it ?
spreadgod See appendix 1: Fair value calculation - for a pure cash offer... http://www.liffe.com/trade/specs/corpactions.pdf In...
I would have thought it only right and fair to have a reasonable time value refund, determined similarly to the LIFFE equity options policy....
The article is misleading in the extreme ! What does or doesn't expiry OTM is meaningless. Options are constantly exercised and closed prior to...
I only trade the UK so accept that things may be different in the US. However, in your example above, the 35 calls would have some time value...
You'd need to check with the exchange as to what their corporate actions policy was, but it's normally cash settled at the option fair value...
The Options edge by Gallacher did a detailed study of IV / HV look-back in many markets - financial / commodity and others if I remember rightly....
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