I don't think I don't think this is possible with exchange-traded plain vanilla options. You're going to need someone on an OTC desk to quote...
Where's Philo Judaeus when we need him?
The only way to find out is to try your new delta and pricing model in the real world. Maybe start out with some backtesting, simulation or paper...
Exactly. That's the whole point. Puts cannot have equal payout to calls because the stock can't go below zero. Put prices are capped, while call...
Negative - $11.34 is a 1 SD move at 1,000% ATM IV for the underlying stock or future if the underlying price could go below zero (normal price...
Payouts are NOT equal for both sides for same relative distances (1 SD move). Extreme example: $1 stock, 1000% Implied Vol, 30 DTE $1 ATM Call:...
The payouts are asymmetric because you are using a lognormal pricing distribution. They should NOT be relatively equal. The calls have a much...
Not defending the BSM. I recognize its many flaws and realize its deltas and greeks are just approximations as well. But if I were to use your...
When vol is high the delta 100% reflects the disproportionate expected value of the call vs the same strike put if either one was to expire...
The problem is your assumptions about delta are completely wrong. Delta is NOT just a measure of the probability the option expiring in the money....
Imagine being this guy. You'd have nightmares the rest of your life. [MEDIA]
Good thing that thing is not an apex predator. A pack of male lions has no chance against that creature. Sheesh...
I'm not a chart guy, but it looks like it could retrace all the way back down to 1800, where the parabolic rise began. There will be plenty of...
Let it go -$50k against you before making +$1k. Where do I sign up?
If you're a real trading addict/degenerate you can trade the E-mini S&P 500 ES options and futures from 6pm to 5pm (EST) Sunday thru Friday with...
Good news. Predators will have to find another platform to creep.
Paid to post on ET?? Like the paid models at a topless pool in Vegas...I'm all for it.
Along with the lower commissions and better fills with the larger SPX & NDX, vs. SPY & QQQ, the tax advantages, as guru alludes to, can be...
Crude oil has yet to benefit from any US-Sino tensions. Gold should continue its upward trajectory as China and Russia move away from the USD and...
Depends. If curve is unusually flat I'll quote the fly or condor as a spread to lock in the "cheap" wings. If not, then I'll prefer to leg into...
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