RE: directionality input in option pricing

Discussion in 'Options' started by kiwi1, Jul 7, 2015.

  1. Trust me, without this characteristic, I would selling many less spx calls than I do... Still, that delta/vega gearing off the lows is largely countered by the vol crush, up to a point. Once things flatten out, those calls can gain ground quickly.
     
    #11     Jul 10, 2015