I guess this is important since vol is mean reverting. My question is, what data do you use to calculate it? Like say I took the daily HV30 to get...
this is what happens at expiration: PnL @ 59, u keep the 150. if stock rises to 61, PnL is now -100, since u are short 100 shares @ 60....
I apologize for the incorrect info, I was unaware of that. Thanks for the update.
You keep the premium. The stock needs to close under 150 in order to have the stock put to you. After hours pricing is immaterial.
minis could be a total failure, but they could also be a real success. they have been getting a ton of hype. weren't weeklies supposed to flop in...
i understand that arb these days is impossible. i just wanted to test that a call fly and put fly are worth the same amount, and i was unable to...
Thanks 1245. Can you tell me the difference between theta/$theta? Natenberg's definition seems identical to the standard theta.
I'm 31 and a CPA. Wish I started learning this stuff when I was 20, I would much rather be a market maker. I am a bit of an academic (have a...
i get $delta. natenberg brings it up in the chapter on intermarket spreads...therefore i presume it was created to equalize instruments in two...
i just copied these #s into a spreadsheet to show u what i meant. they were taken directly from livevol's last trade price and theoretical value....
i see bigger differences using last trade prices and smaller differences using theoretical prices. here is a screenshot using Mar22 options
atticus if annualizing naked put returns is inaccurate, then how do you evaluate them? do you just eliminate the last step (annualizing) and base...
Natenberg says that a call butterfly and put butterfly with same strikes/expiration (European) should be worth the same amount, and that if they...
so what is everyone's take on the impact minis will have early on? u figure, there will be alot of call writing and put buying from the average...
Are any of u thinking, ok, now baby investors are playing with options, this should translate into a killing for us?
What does COB stand for?
Call up your broker and threaten to leave them on the spot if they don't grant you options approval. Or you could always lie, which is what most...
if u have a large delta, let's say 500, that means that it's acting like 500 long shares, and if the stock goes down, you will lose 500 bucks for...
AAPL order flow...
Here is a screenshot of yesterday's order flow in AAPL. I have a specific question regarding "net premium" and I'm also interested in any other...
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