This might be true, or might not true (stating the obvious) based on the timeframe you decide to base it on. While it is true that the new...
Excellent Point !!! I guess further hedging at that point is out of the question since everything would be so elevated (i.e. high IV) because of...
Except on the VIX, since front month (which you'd be short) could explode while your back month (the one you are long) barely moves
Delta neutrality will depend much more on underlying move in the interim than what IV does in that same period.
It makes sense... well, since hedging is done to eliminate the position risks you don't want at that particular point I would use whatever IV is...
Illiquidity. Market makers have to hedge their positions and for options that are very cheap (near zero) it is just not cost effective to their...
Not really sure what you mean here. Based on your post it appears that you are delta neutral, long theta/short gamma and short vega. When you...
Why wouldn't you be able to have several uncorrelated (as much as possible) events (trades) where you are risking only a small part of your...
That is the actual formula but a quick and dirty, "eyeball" method is to see or extrapolate where calls and puts have the same price . At that...
This is true, in which case he doesn't even need to own the underlying.
I guess going into more detail would clarify some things here. Let's do an example, for the /CL trading at 50, the 50 put trading at 0.75 and the...
To answer your question: (using all options on the same expiration as expiration of Futures contract) 1) Buy a put It costs money, which you...
I think the difference is that with options one could construct a position designed to take advantage of the passage of time, or of changes in...
If what you mean by "Do you think it is possible to trade the bars ?" is to take advantage of intraday fluctuations between the pair, here's what...
It is always positive and increasing. Remarkably consistent [ATTACH]
Do you agree that SPX-spot is a straight calculation from the components' prices? If so, then yes, when a stock goes ex-div its price will decline...
I will look it up... your posts are always informative and well thought out (although a bit over my head sometimes :-)
I am not an expert on Indices and their construction, but it is my understanding that the SPX is instantaneously calculated from the market cap...
The numerical value of SPX is calculated by a formula that takes into account only stock prices (with no accounting for dividends whatsoever)...
Hello everybody, first time poster here. I have a conceptual question for option traders specialized in Volatility Skew. If we take a look at...
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