Say you have historical intraday data(bid/ask/IV) for an option, you want to test what the profits of buying / selling that option would be under...
Say you buy a bear put spread by buying a PUT @25D and selling a PUT @10D. The 25D has an IV of 14% and the 10D has an IV of 18%. Say you then...
Say you have an ETF/stock/whatever in a consistent downtrend but occasional spikes, like the VXX. You want to profit off this, but limiting...
I have a stock I know 99% will go down, what is the best way to absolutely maximize the return on margin / minimizing risk via options? Selling...
Say I feel the ES isnt going below 1300 this month. What would be the best trade to exploit this in terms of RR and minimizing margin (giving high...
Is there any data service that offers historical greeks?
Since the market is only open 6.5 hours a day, will MMs discount nearly 24 hr worth of theta in 6.5 hours? (Minus some gap risk/overnight risk...
can't you just sell the straddle on say ES future options and then delta hedge it? Or am I missing something?
On the CBOE website it says the SPX index has pretty high options volumes, not sure if this is right but on IB I see no volume or no market makers...
Is this even possible? If so how does one go about doing it?
This question is for someone who has lots of experience and time spent in the markets in the past...would you, on average, in the current...
I tried doing PnL attribution in Excel but it's harder than I thought. Basically I'm looking for some way to attribute my PnL to the various...
Upon a rehedge, you in essence lock in a profit or loss, so if you determine your gamma/delta PnL by the formula 1/2gamma*S^2, you lock in this...
I notice IB is offering two types of delta. One is called "delta bid" and "delta ask", the other is called "model delta". I'm a bit unsure as to...
I know that vega represents the loss/gain that an option experiences with a 1% move in the options IV. So say I have an option position consisting...
How do you calculate the UL price in which your portfolio delta will be equal to zero? Is it as easy as current UL price +/- (delta/gamma)? I fear...
Are there any Excel spreadsheets out there that include higher order greeks like vanna, zomma, charm, speed, color, DvegaDtime, vomma, Ultima,...
I followed the guide on IBs website (http://www.interactivebrokers.com/en/general/education/pdfnotes/PDF-TwsExcelAPI.php) on how to connect IB TWS...
Im curious if anyone has any formula / paper / etc. that shows how gamma changes with time? I'm trying to run some simple simulations. Say I have...
I hear this constantly, how people claim shorting options are better than going long because theta gives you an extra edge, and that most options...
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