What is IV?

Discussion in 'Options' started by morganpbrown, Sep 16, 2021.

  1. ondafringe

    ondafringe

    Still parsing this... and just thinking out loud.

    BTW, I indicated SPY Wednesday in my previous post, but I meant to say SPY Monday expiry.

    So the coming SPY Monday 435 Calls 0.99 Delta vs the 442 Call's 0.43 Delta:

    Pertaining to what you are calling the "real question," it sounds like 1 x 435 Call would/should be equal to 2.5 x 442 Calls. But since you are getting 5 x 442 vs 1 x 435 for the same money, from my limited understanding, I would say the 442s are preferable because you are getting more bang for the buck.
     
    Last edited: Sep 18, 2021
    #121     Sep 18, 2021
  2. newwurldmn

    newwurldmn

    When you argue with pigs you only get dirty.
     
    #122     Sep 18, 2021
  3. MrMuppet

    MrMuppet

    Hm... Thb, I don't see any reason to use options if you're after delta. In this case, just trade the stock.
    If you're after convexity, use options and you want max. gamma without paying too much theta for that.

    Regarding risk, I'd use a delta number plus max $ ammount to buy the highest gamma/theta option.
    But what do I know, daytrading options is probably not the best idea when you look at the risk premium aka. IV over RV.
     
    #123     Sep 18, 2021
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  4. Haha, I had a small oops with SPRT/GREE
     
    #124     Sep 19, 2021
  5. For this process, should I trust more on the real ATM rather than leaning on the 50D? (still figuring how to quickly discern the highest gamma per unit of theta).

    And thank you for sharing such valuable insitghts.
     
    #125     Sep 19, 2021
  6. taowave

    taowave

    Just divide gamma by theta:)



     
    #126     Sep 19, 2021
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  7. That was easy! thank you again :D
     
    #127     Sep 19, 2021
  8. newwurldmn

    newwurldmn

    he should write a differential eq to model the gradient change of gamma to theta as strikes change and then seek to to find the local maxima. :)
     
    #128     Sep 19, 2021
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  9. taowave

    taowave

    Or he should get really good at picking direction:)


     
    #129     Sep 19, 2021
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  10. newwurldmn

    newwurldmn

    Too much work.
     
    #130     Sep 19, 2021
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