Fascinating and intuitive explanation. Many thanks for taking the time to share this.
Ha, it was free until 1965! If memory serves tuition was $6500 in 1993 and went above $10K by the time I finished in 1997. With room & board if...
Great CS program. Heheh, it was cheap in those days. I transferred there from UC Davis in 1993, and the tuition at Rice ($6500) was cheaper than...
Bisection method...A blast from Numerical Analysis class in 1996ish. So the professor was an Egyptian guy who was on sabbatical at Rice. He'd be...
No chess for me, but I do like the multidimensional part! :D So are the smart (miserly) kids doing their own data mining to extract the vol/greek...
When I started analyzing the vol smile/smirk as well as the IV DTE-dependence, my eyes were immediately opened. Such a small market, with so many...
Makes sense. I know that there is volatility "smile" (concave versus strike with minimum ATM) and that the smile can skew in one direction or the...
For instance...on SPY: Vary the strike for a given expiration: Oct 15 446 (ATM) call: IV=12.13% Oct 15 435 (75d) call: IV=14.54% Vary the...
OK, so I guess I will assume the mantle of "dumb question of the day guy". Well, maybe not so dumb... I always thought that IV was a parameter...
I will do this. Dusting off my Black-Scholes modeling sheet as we speak, but may take me a while to get to it (day job). Interesting to look at...
You’re right about the drag from lost dividends. Short term capital gains are another drag, unless you roll your leaps after 366 or more days
Dude, you're supposed to tell my WHY I'm dumb. No doubt you'll get to take your cracks at me, but you'll have to earn it. :D
OK, so humor me here, and I will be testing your humor before you just say screw it! I have a PMCC on SPY. LEAP: 12/17 exp, 420 call,...
As a fairly new options trader, I am drawn to the covered call, due to its simplicity. I specifically like the "Poor Man's Covered Call" (PMCC),...
Looked up up this guy on linkedin, and I'll be damned if he wasn't 2 years behind me at Rice. I didn't know him. I guess if I would have...
Dumb question: What is the most effective/kosher way to extract useful knowledge from those who possess it? Most of the time, due to the jargon...
I'll tell you what I hate: a low-priced stock with 5-cent-increment option pricing and poor liquidity. Every round trip has 20 cents in rouding...
As someone with a background in applied math, yet no formal training whatsoever in finance, I am intensely frustrated by these "greeks". We have...
I almost spit out my water when I read "welcome to the world of Theta" and saw the South Park video! F*cking options. I learned the hard way...
If you are looking to simulate long (or short) stock, it seems that you would want to buy deep ITM calls (or puts). An Oct 11 410 SPY call has a...
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