Currently back month vols are higher than front month (at least in DAX index options) and I am having difficulties getting positive theta with...
Hi everybody Some time ago I have read here the discussion about the "perfect option position": A butterfly in the front month combined with a...
That's what I did. However, my model doesn't simulate the volatility curve. So I wonder whether there may be surprises.
Well, I will hold it to expiration if it goes down or stays flat. The volatility considerations come into play if it continues to move up:...
Currently I observe a rather steep volatility curve in DAX index options, which allows me to put on the following position for a net credit:...
Since vol implosion is the standard behaviour after earnings come out, why not choose a pureshort volatility strategy and remove directional bias?...
Well, that's actually the point, if you want to have some real protection before the event, it's so expensive that the risk/reward isn't worth to...
Hi all What's your favourite "crash-safe" short premium position? The last months were quite favourable for my bull put credit spreads. For...
I wonder whether the variant trying to profit from component/index call skew differences behaves the same in this szenario: If you sell OTM...
How about shorting the component calls and hedging with long index calls? If the weighting is right, the worst case of a strong upward move should...
Is it an advantage to use a narrow index dominated by a few companies or is it better to take a broad index? E.g. the SMI (Swiss Market Index) is...
If you are reading everything he writes in books an articles etc., you see that it is really not a complicated strategy. He seems not even to use...
Such a strategy should be fairly easy to backtest, provided you have the necessary option prices available. I remember having seen a similar...
Why writing initially only half of the amount of puts and later writing straddles instead of alternating between puts and calls with the full...
The problem with individual stocks is that they have much more fat tailed probability distributions than e.g. an index. The standard model can be...
If you use IV and compute expected value you should get the fair option price value, that's how these models work. You only have an edge if real...
Separate names with a comma.