Options and leverage : Question

Discussion in 'Options' started by Digs, Dec 9, 2005.

  1. The option market with the lowest implied vol and highest dgamma. In this case, DOW. The question should read, "which atm options" to maintain equiv deltas across index classes.
     
    #11     Dec 9, 2005
  2. Digs

    Digs

    So DIA would be the best selection...
     
    #12     Dec 9, 2005
  3. cvds16

    cvds16

    this is the correct answer, not the other stuff you read here
     
    #13     Dec 9, 2005
  4. Yes, depending on which dow contract offers the greatest IndexVal/Prem ratio. Obviously all the dow contracts, futures options will be very close in terms of the ratio and implied vol-line.
     
    #14     Dec 9, 2005
  5. Digs

    Digs

    Is there a website were I can view the dgamas and implied volatility of index type securities ?
     
    #15     Dec 9, 2005
  6. No on dgamma, but unnecessary with an implied vol figure. Buying cheap gamma and curvature is a function of low volatility. OTM index calls have the cheapest gammas. OTM puts have good curvature, but the index smile adds cost and reduces slope. Having a +dgamma fig simply means that your gammas are increasing, as a visual example; it's the left-half of the bell-curve. With short otm, you're accumulating d/g risk. As a rule: buy upside gammas[otm], sell downside gammas[atm].

    www.ivolatility.com for index IVs.
     
    #16     Dec 9, 2005
  7. I would say maximum 1 strike OTM, any more than that would be too risky.
     
    #17     Dec 9, 2005
  8. lol, whatever you say.
     
    #18     Dec 9, 2005
  9. So you disagree then, and buying deep OTM options is not risky.
     
    #19     Dec 9, 2005
  10. Yes, I absolutely disagree. I don't define an option's "riskiness" via its delta figure.
     
    #20     Dec 9, 2005