The ATRX( illiquid options) mar 25 call seems to have traded a bit more than usual, so it got quite expensive on friday, trading volalitity 70....
Could you give me an example of the kind of skew selling position you would go into? I am curious, I would like to get some more insights...
Thanx for your reply... The futures are by the way mini futures... so the 4 futures together are having just 80 deltas... maybe still too much......
I have been looking for some way to short the skew found in many optionseries, trying to earn the skew, or at least some of it. I came up with a...
Does someone knows more about optionclub.com as a source for information about volatility and more regarding options? Or do you know better...
MBRM risk management software plugings for exel mbrm.com It is professional ,and costs about 1000 dollar.
Thanks sle for your contribution., i have one further question for you. Probably i might disagree with forward vol with skew level one day......
Here is the formula in a excel file for calculating the FV. I am not positively sure it is correct, there i found it out myself with a math...
mdcigan, thats exactly what i meant. i already have the formula for calculating forward volatility. it is a nice easy formula, you can put it...
I am not talking about skew over different strikes, I am just referring to different months trading different volatility, over the same strikes....
Does anybody know where to get something what could calculate forward volatility? With forward volatility i mean what should become the implied...
To my opinion every strategy regarding options should involve a disagreement with the marketprices of the options. So if you think some options...
i think this strategy doesnt work, but i hope it does, would be too easy no? At least it will work out for the brokers a good deal...
imagine the hypothetical optionprices where the november is trading at vol 100 and the december at vol 25. ok, you will never see it, it is...
go long a volatility 80 month and short a volatily 140 month, and make that one theta neutral, you will see you end up with a shipload of...
a stock at 30 with IV 50 all the months. Dec 30 call â10 at 2.00 Jan 25 call +12 at 5.80 Jan 35 call+12 at 1 March 30 call â7 t 3.70...
this positition was vega positve, theta positive and gamma positive. due to expensive gamma in december... though on thing to be mentioned, dec...
the jan is long, i made a mistake typing... so dec atm short jan long otm march atm short. and make all that stuff delta/vega/gamma/theta neutral.
this was a win-win trade: Cvtx Nov 22.5 call +3 2.30 Nov 27.5 call +7 0.50 Nov 20 put +7 0.80 Dec 22.5 call â25 4.80 Jan05 30 call +20...
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