If the spread is still Theta positive it's worth hanging in there 9 times out of 10. But if you're Theta neutral or negative then leg down (and /...
LM3886 HV is backward looking and serves no purpose. IV is the markets expectation of VOL going forward. So I personally use the IV for the...
Worth every penny mate, should have done it years ago ! Speak soon.
LOL. Been really busy with the day job, oh....and a divorce ! Hope to get on these boards more often, I miss the pearls of wisdom :)
Have to disagree. Nothing wrong with adjusting (though I wouldn't call it a "repair") if a position goes against you. Sell naked Puts and the...
Volatility Skew. Do a google.
Fascinating ! So if (and I repeat IF) the future volatility of the underlying could be known in advance you still couldn't determine the "fair...
Yes. Took a severe battering Sep/Oct, but I survived.
The concept of VaR is a probability of an occurence, which in turn is a function of the volatility of the underlying stock, or if you prefer (I...
MTE is correct. The basic idea is to exploit a discrepancy between the implied volatility of an index option and the implied volatility of that...
Some useful discussion here; http://www.elitetrader.com/vb/showthread.php?s=&threadid=34499&highlight=egar
The further you go OTM the greater the leverage. A ball-park formula is Leverage= Option Delta x (Spot / Option Price). That gives you the change...
Appreciate your advice.
I disagree. There are different ways, but not better ways.
Not always !
M@W and DMO - Interesting comments , thanks. But I'll stick with the market's estimate of future vol, which has served me well, so far.....
Neither does the guy that is selling them to you. Either I'm not making myself clear, or you've missed my point. Out of interest, what do you...
DMO I don't see what else you could possibly use as a volatility forecast (?). The best estimate (IMHO) is the marlet's estimate.
DMO Regarding expected future volatility I was actually refering to ATM options. But the principle of market concensus equally applies to any...
MasterAtWork He's right. If the market thought the volatility implied in the option was too low (too cheap an option) the option would be bid up...
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