Isn't the difference that VN sells naked, no hedge. I'm proposing hedging and expecting that while adjustments with underlying will lose money,...
If you "knew" the future stat vol for the spot was going to be less than the ATM implieds were telling you when the trade was put on, then...
Wouldn't there be an inherent edge to shorting OTM puts and keeping delta neutral with underlying? If ATM implied is best guess for forward stat...
rdemyan: Yes, I'm thinking of the actual iv for each strike calculated. Of course, you'd have to make some estimate, but it seems possible if...
rdemyan: What would the curves look like if the skew was taken into account instead of using constant vol?
Choad, Great data. Where did you download the information on the SPX?
For a systematic writing plan, I've been looking at the SPX because I like the idea of European exercise and cash settle, but I've heard that this...
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