That's what I've found as well. If we have to derive the borrow rate from put-call parity but the spreads are very wide, how do we get a good idea...
Sle, I've been getting borrow rates for stocks using put-call parity, mostly because I don't know how to do it another way. Is there another way...
Here's a list of some of the possible ways to take a directional opinion, from what has historically worked best to the historical worst: Selling...
That image doesn't show which futures contracts are being used. If they're near the back of the term structure (3 months or more from expiration),...
It's usually a good idea to avoid buying out-of-the-money options, as they are usually simultaneously overpriced and very sensitive to changes in...
VIX options tend to have very slow decay until about a month before expiration, and then the decay increases rapidly, eventually becoming more...
Here's a pretty readable book on options. It's probably a good idea to read it from cover to cover and then return to the forum to ask more...
Generally, I have positive theta, as selling options works very well. There are also options that are worth buying that don't suffer same kind of...
My own: 1. I don't do anything unless it's supported by academic research. 2. Once I've found evidence that something works, I'll look hard for...
As a liquid alt, the trade has better diversification characteristics when it's put on with no delta, but that's probably too complicated to...
I had friends selling their rental houses and buying gold in early August 2011. They were close to the top in gold and the bottom in the housing...
It sounds like you're buying SPY, shorting a call, and shorting enough futures to eliminate the delta risk of the overall position. If that's the...
A lot has been published on what happens to the short vol trade when VIX is low. For example, take a look at this paper from AQR: Still Not...
VIX calls are tied to the price of the corresponding futures contracts rather than to spot VIX, so you have to determine whether you have any edge...
AQR has another paper that looked at option returns more comprehensively through the lens of the leverage embedded in the contracts. They found...
I took a quick look at the paper just now. As usual, AQR approached the problem from several different angles in order to see if they'd reach the...
I never want to get a margin call, but if I did want to take the risk, I would probably want to trade a massively profitable strategy like...
There are different kinds of tail moves, and they can't all be hedged the same way: 1. Large, sustained down moves in the market (2000-2, 2007-9)...
Yes, using the short put instead of long stock should work a lot better. I have seen a paper about this but haven't had time to read it yet:...
The easiest way I've found to do it is to go to CXO Advisory and use the search box: https://www.cxoadvisory.com/ The studies you'll find tend to...
Separate names with a comma.