So I knew I can't post a link in first post (as it would make me banned) but it seems that I can't post a link in second post either. Google...
Hi sells a system, but doesn't trade anything himself.
That author has an axe to grind against trend following. I wouldn't take anything from him seriously.
You have to sell at price higher than the price at which you bought to make profit. That's all it takes to be profitable!
Thanks for your answer.
Of course I made a mistake. Here is other example - result the same:
- sold short term call
- bought long term call
- assigned on short term...
I'm wondering what would brokers do in the following situation:
- I sold ATM put
- I bought ATM Call
- I was assignment on the put, -100...
Have you read the article?
It's an excuse to make BS valid and give it some scientific touch.
For example, my model for a human height is:
heigh = magic * pi
Ackman short squizzed, buys back, Soros sells him with profit. Haha
Also, what about the fact that realized vol is usually lower than implied? There was some research about it, but can be easily calculated. Of...
You can't argue with the fact that you lost money on put and the person who sold it - made money. You would be even a bigger winner if you hadn't...
Or you can store all data in proper sql database and hope that db engine will do some caching for you.
Yes. On the other hand I just realized my calculations must be wrong (the same prices pluged into excel showed vol of 0.31
2% is a long term average. IV above is calculated for the next 7 days (You can double check calculations with prices I posted. Starting price was...
IV = 0.237
98.61 98.59 98.50 99.90 99.90 99.90 95.25
I'm buying straddle 7 days, underlying at 100, strike 100. Price changes are normally distributed, stdev of 2%.
I think I understand difference between straddle payoff and vol. In simple terms: if price is trending, payoff will be +, if mean reverting...
If BS is valuing options correctly, how come buying ATM straddles makes money on average?
All doubles. When calculating vol I use days/365.0 as time. There should be no rounding problems, I showed some code in previous pages.
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