Theta is at its greatest value when the option is ATM and it is getting lower the more distance it gets either in the money or out the money....
Hi MTE While this is always right with long Theta positions (the fact that Gamma explodes near expiration) IV is also growing as your short...
ATM calendar spread is very sensitive to IV (on your case as a buyer you are long Vega). You should be aware that the closer you are to...
You can be long Theta and long Vega - look at time spreads or diagonals for an example. Oded
Long Gamma means buying options instead of selling them. a trader that bought a straddle (long call + long put at the same strike and...
every historical behaviour of an underline is assumed to be priced into the its options - that's why "fast market" is a relative term that present...
Hi John, If you mean that fast pricing are strong or volatile movements in the market than my answer is the following: As a rule of thumb,...
Gamma is behaving as an opposite to theta, When your position is long gamma then it is short theta and vice versa. There for, when gamma is...
Hello AAA, Although you right about the fact that volatility skew makes the options priced with higher IV the more distance they are from the...
congratulation Mark, lots of respect and appreciation for your achievment.
Dendreon Corp. (DNDN) A biotech company that was facing a critical announcement back on April this year. The IV was as high as 430% on the...
You caught me Mark :) Small world isn't it? Regards, Oded
You are 100% right. The only thing is that from a retail point of view there are no arbitrage and the slippage will eat any opportunity that...
hello crgarcia, If you will look at the short call and the long put as an individual position you will find out that it synthetically a short...
Although it is an ancient discussion and for the experienced trader it is pretty much clear that from pure mathematical aspect there is no edge to...
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