Any app can calculate the 25D risk-reversal. There is no arbitrage available to trade the skew flat -- down and out skew is a condition exhibited in ALL equity index markets. You really need to step away from the keyboard. The 25DD RR is around 400 right now. Sell the put, buy the call and short spot. Great, but what of the risk between strikes? There would be no skew if a same-strike arbitrage were to exist. It is that simple. Why do you run your mouth on subjects in which you are so out of your depth?
I guess sle failed your test? So did jgills? The government did a great job bailing out refco and mf global and Enron.
Typical Drownpruf's response. This guy does not have a single clue on how I usually use the option skew and yet he is here lecturing us in every single thread. Drownpruf, take five (or your pills), you are becoming EXTREMELY annoying.
I don't remember testing sle or jgills or yourself. I only test when I am curious and the right opportunity comes along. The thread discussion requires a clear theoretical bifurcation (chaos theory). Sle knows his sh*t IMO. I have read and thought about what he said enough to hold an opinion. In a previous post I commented on my position with him and we have both kept the agreement. Others mucked that one up by putting words in my mouth as you well know. I haven't read enough of jgills or you to have an opinion.
May I assume that this forum hasn't any moderators? Why don't you two just trade emails and spare the folks who are here to learn? Just saying cuz I'm pretty new here. Jerry
It does, but thanks to Baron we have a fairly liberal tradition (not the American meaning) where falsehoods and ignorance are exposed through vigorous debate. Strident verbal diarrhoea is usually a reliable marker of abject stupidity.