Between those strikes Zomma and Vomma are negative, which usually is not something you want. Out of those strikes you have Zomma and Vomma positive, which is good. By the way, Zomma boundaries are far larger than Vomma's, but at long expiries it's often not possibile to find affordable bid-ask spread at those strikes because they become larger and larger with increasing days to maturity. On Haug everything is well explained with formulas from Black/Merton/Scholes model (good proxy). I work in a inv. bank desk, so I use Bloomberg to API them in Excel and make everything there.
Very interesting! I guess one shouldnt discount everything away so quickly. Groovy! Yeah Bloomberg seems pretty bada$$
Excuse me, IVtrader, just a question: don't those profitable option traders would prefer analyzing open interests' distribution instead of supports and resistances from charts for such a goal? Then I suppose they look for technical signals in weekly or monthly charts, not daily... right?
Please advise what's a good book for longer term spread options, or a really good basic book. I am back to work and would like to trade options, Natenberg anyone?
I'm not pro, but I found quite useful these books read in the following order: (1) J. Hull - «Options, futures and other derivatives»; (2) S. Natenberg - «Option pricing and volatility»; (3) E. Sinclair - «Volatility trading»; (4) E. Haug - «The complete guide to option pricing formulas»; (5) N. Taleb - «Dynamic Hedging». (Maybe titles are a bit different, I did not check the right names...) Obviously in (1) and (4) you can skip every "quant" chapter, which means a lot of stuff either in Hull and Haug.
Hmm.. What products do you actually trade? Doesn't your bank have it's own data repository? I find bloomie to be very rudimentary for analyzing vol...
Hi, sle! Probably my bank has got it, unfortunately my desk doesn't deal directly with options on equity, indexes, ETFs etc. (we just deal with interest rate derivatives in structured products pricing) so I cannot get those datas easily and so I have to use what is available here I know you're pro, have you any suggestment you can tell us?
I was on campus and checked bloomberg for option skew analysis. I like how it allows you to compare past vs present skew shapes. But bloomberg is so massive in terms of its usage i found it rather difficult to analyze multiple securities at once from some kind of watchlist- I admit I'm new to it so I probably haven't figured it out. ThinkOrSwim has a decent skew analyzer. So does IB but IB's skew analyzer shows a weird inverted concave shaped skew curve sometimes so I tend not to rely on it too much. What do you guys think of live vol pro? Those guys seem to have quite the operation going on with some pretty neat looking skew analyzer.