Good luck Robert and thanks for the link. For option data I think one of the most useful datasets out there is the OpenClose report from CBOE...
I just came back from vacation and low and behold, I can see that the unexpected has happened: Recently someone traded 1K of notional Vega in the...
A new trade that looks exactly like the old one. This time the correct expiration long 5 SPX Apr08 2095 Call I entered at 1.45 at 12:06:52 This...
Interesting analogy, although it doesn't change the fact that the trade did exactly what I wanted it to do. Namely, I wanted a directional trade...
Interesting discussion in a journal about a lonely OTM option. For optioncoach, optionality has been long used in derivatives pricing to refer to...
Being long a single option (like in my case) *always* means being long gamma too. And it is not silly at all. I wonder if you are denying the...
Life is full of surprises,I manage to exit the lousy trade at 0.75, a loss of .10 plus comms. The trade was doomed from the terrible entry...
The mid of the option is now 0.32 below my stop but giving how SPX is behaving this morning I'll let it ride for one more hour. But in any case I...
So you are telling me that I'm not long gamma in that position? I never said I was delta neutral, one can be long gamma and long delta. Of course...
I don't usually do long gamma trading with options but those trades can be fun. Here is the first entry started today: Long 10 SPX April06 2095...
Just to clarify something: A put credit spread will behave exactly like a call debit spread (with the same strikes and exp). Also a call credit...
Why just not take the profits outright ? I always wonder why people want to "lock-in" profits with convoluted schemes. A box "could" be a great...
A CFD is a derivative so you still need the original shares. Also CFDs are not centrally cleared so you are exposed to counter party risk as well...
They were not priced correctly at that time, I think when they were introduced they were really underpriced in vega (wrong modeling perhaps?) so...
The market would have to move way more to be break even. I guess the guy who wrote the original article in seeking alpha has a magic broker that...
I'm glad you see it that way now. What you have is an implied distribution of prices (by the implied volatility), in reality there are no...
Ironchef, is just that the assumptions that give rise to the model are flawed. Therefore whatever answer that the model provides is flawed too....
Basically all of the assumptions of the original model are flawed plus it only works for European style options (and almost all the options in...
I'll answer because you seem genuinely interested in this stuff. For the purposes of deriving any pricing methodology for options, only delta...
Thanks for the example, the position is a variation on a Strangle Swap, you are swapping a short near term strangle for a long far term one (ok in...
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