Theta

Discussion in 'Options' started by clarodina, Jan 13, 2011.

  1. Generally what is the duration for a trader holding shorting front month options for theta to accumulate enough to override directional loss and vega loss and yield a proper profit assuming three scenarios 1) trading range 2) directional but whipsaw 3) very directional with little whipsaw. Implied volatility increase on average amount.
     
  2. Senor clarodina, I think there you got handed some sound advice in another thread. I would like to second it, i.e. suggest that you run, do not walk, to the nearest bookstore and buy yourself an options book. Failing that, borrow a book from the library. I will add that, as the next step, given what you're trying to do, I'd get intimately familiar with Excel.

    My Z$2c...
     
    cdcaveman likes this.
  3. You need to calculate the implied volatility to historical volatility ratio. Click this a few times until the answer becomes obvious:

    http://www.elitetrader.com/vb/showthread.php?s=&threadid=213519