A little more from Stephen Szpak: http://www.investopedia.com/terms/v/vega.asp Also more from: http://www.oasismanagement.com Vega - Is the measure of change in an option given a change in the volatility. Theoretically, it measures the instantaneous change in premium to the instantaneous change in volatility. In practice, it tends to be viewed as the change in premium given a 1 percent in volatility. Vega Risk - Refers to the monetary exposure for a change in volatility for an option. It might refer to a change from 6 to 7 or 6 to 5 percent depending on whether a party is short or long the option. Some participants breakdown the vega risks into finer gradients or decimals. Don't ask me about the above. Not competant in such. See Market Wizards pages for what happened to puts and calls in the 1987 crash: page 400 t0 401: partial excerpt: interviewer: You were basically buying more volatility. trader: It was the best thing I could have done. The next day they didn't know what they wanted more of: Half the world wanted puts, and half the world wanted calls. interviewer: But everybody wanted volatility. trader: That's when the register really started ringing. It was the day that the sun was so close to the earth that everybody needed zinc ointment, and I was the only guy that had some left. Also of note: "...the option premiums consisted almost entirely of intrinsic value; the market wasn't giving them any time value premium. Given the enormous market volatility, I thought that was crazy. See Market Wizards about the 1987 crash it self ,if you have access to the book:::: pg 58 top paragraph pgs 268 to 269 Just a few comment to keep things going here. Look forward to comments from anyone on any of the above. Stephen Szpak
Gentlemen "Option market making" -Alan Baird/Market Maker/ You find some some about your questions . Operator/Stephen/ will hedge intraday e-mini position with options on e-mini for high volatile movement . a.Synthetic asset long future, short call,long put with equal strike price , independent from underlying or reversive -short futures,long call ,short put b. More risky - Fence long future ,short call ,long put whre call and put have different strike ,depend from risk ,which accepted from operator and reversive Gamma scalping
IF U R THAT PARANOID ABOUT TRADING LOSS, ALWAYS TRADE 1 EMINI CONTRACT AND PLACE A 5 POINT STOP. SLEEP WELL ....UNLES U DREAM UP SOMETHING ELSE TO WORRY ABOUT...IF U WORRY SO GREATLY, DON'T TRADE...BUY A STOCK AND HOLD IT WITH BUYING SEVERAL CHEAP LEAP PUTS...SLEEP WELL...
To Porgie Dear Sir you wrote 1 e-mini,place stop 5 points and sleep well ... It is false . floatin risk with minimum 50 $ + t.k. 1 e-mini,1-point stop for ES , 0.5 for ERT ,2.5 for EN All position closed until 22.15 .No exception ...
22.15 if this is in 24 hour time then 3.15pm equals 15.15 Chicago time fwiw Have a great trading day. Bsulli
http://www.cme.com/trading/prd/equity/index14237.html Daily Settlement Price Determinations to Change on Five CME Futures Products Beginning Monday, August 15, 2005, CME will change the daily settlement price determination process for the following CME Equity futures contracts: * CME® Russell 2000® futures * CME E-mini Russell 2000 futures * CME S&P MidCap 400™ futures * CME E-mini S&P MidCap 400 futures * CME Nikkei 225 futures (dollar-denominated) Currently, the daily settlement prices for CME E-mini Russell 2000 and CME E-mini S&P MidCap 400 futures are determined by the daily settlement prices of their regular-sized counterparts -- CME Russell 2000 and CME S&P MidCap 400 futures, respectively. For the CME Nikkei 225 dollar-denominated futures contract, which is traded side-by-side (via open outcry and electronically), daily settlement price is based on the open outcry market. Starting Monday, August 15, 2005, the daily settlement prices for CME E-mini Russell 2000, CME E-mini S&P MidCap 400 and CME Nikkei 225 dollar-denominated futures will be determined by referencing their respective market conditions on CME Globex®. Also effective on that date, the daily settlement prices for the regular-sized CME Russell 2000 and CME S&P MidCap 400 futures contracts will be determined by the settlement prices of their CME E-mini counterparts. This change will not affect the daily settlement price determinations of the CME E-mini S&P 500®, CME E-mini NASDAQ-100® or the CME Nikkei 225 yen-denominated markets.
IB's explanation: http://www.interactivebrokers.com/en/general/education/commodityProductsReview.php#exercise
my 1 contract and 5 pt stop was just a suggestion for someone who is concerned about the sky falling at any moment....who also should not be trading until that psychological issue is resolved...