Not so super anymore. I guess this could explain how we were all clueless how she didn't blow up 4 years ago....
can anyone explain the logic behind this? it's a debit spread, on the same underlying, yet they still charge margin.
In Haug's pricing book, bleed-offset vol is simply one day theta divided by vega. He says you can have a negative offset-vol (in the case of...
Has anyone traded these? Are they accessible to retail?
How soon after a trade takes place in the dark pool is it reported by the exchanges? Are we talking seconds, minutes, end of day?
Haim Bodek ("Dark Pools") has aggressively been leading the charge for overhauling Reg NMS. His proposal is based around eliminating the special...
I have heard many MMs refer to "cross trades" or "crosses". What specifically does this mean? A trade between two MMs?
How can I contact you? I am hoping to get your advice on something. I couldn't PM you as your box is full. To everyone else, sorry for the...
Has anyone heard of this term? I'm unable to find an explanation online. Also called dollar nuking...
When measuring volatility and you have a dividend, you are supposed to multiply prices before the exdividend date by an adjustment factor, which...
I'm referring to the legendary John Hull's derivatives book. In page 134 of chapter 6 he shows you how to get the conversion factor of an...
...positive gamma, positive vega...wants increasing IV...but when the underlying shoots to the upside around or beyond the short puts, the vega...
1. Do you price one option at a time? Or can you price something like a chain simultaneously? 2. Fischer Black Pseudo-American or Binomial (for...
I guess this is important since vol is mean reverting. My question is, what data do you use to calculate it? Like say I took the daily HV30 to get...
i get $delta. natenberg brings it up in the chapter on intermarket spreads...therefore i presume it was created to equalize instruments in two...
Natenberg says that a call butterfly and put butterfly with same strikes/expiration (European) should be worth the same amount, and that if they...
Here is a screenshot of yesterday's order flow in AAPL. I have a specific question regarding "net premium" and I'm also interested in any other...
Let's say underlying is $50 and a put with ten days to expiration is selling for $1. Do you annualize based on calendar or trading days (2%*~36 or...
Curious as to broker and platform.
Is anyone here a trader and using MTM? Are you happy with your decision?
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