There is indeed an error in what you descibe the correct sequence is: Buy 1 Call, sell delta Shares. Buy 1 Put, *BUY* delta shares. Sell 1 Call,...
Skew is the name we give to the shape of the volatility surface in any direction (both for strikes and tenors). In the futures space in general,...
In all honesty I have no idea what kind of position you are describing there (an example could be useful). However even without knowing the...
Juts a correction here, short puts don't have unlimited risk as the underlying can only fall to 0 in the worst case scenario. When I sell puts I...
Ironchef, Natenberg, Hull, Sinclair are all very good writers and their books are fantastic. If you want something a little simpler about playing...
You need to know at least what standard deviation is: http://www.mathsisfun.com/data/standard-deviation.html In finance they use the name of...
Ok so we mostly agree fair enough. I just want to point out that what you call bias is what I call a thesis. Also I want to clarify that the said...
The optimizer uses real data from OPRA and the version on the web uses the Quantlib pricing engine (BSM for SPX and Barone,Adesi,Whaley for the...
Man, I see you want to pick a fight where none is present. My point is very clear, short dated options (when compared with other ones, no matter...
I see where we are diverging here, of course gamma and all the greeks in fact, are irrelevant once the option expires. So if you are trading...
Yes I agree, for a move in the 3 to 4 month time frame it is better to play the Sep options.
You are correct when you said that for me is all about gamma, after all gamma is what makes an option an option. Of course you are free to...
Of course we agree on this point, my original post in this thread specified that you have to have a thesis first, and that thesis implies:...
This is an interesting point to discuss and we can engage on it if you desire so. I advance the thesis that playing long "gamma" with long dated...
I didn't intend my answer to be vague sorry about that, in fact I even posted a long gamma simulator that shows this effect in great detail and...
In general playing long term moves with options is always a losing proposition. There is very little optionality in far dated expirations and more...
If you are using a pricing engine (like BSM) then all of those things are taken into account for you when you price the move (just decrease the...
Ironchef, for point number 2, yes if you are a dealer you will lose the risk free rate on the option trade however because you sold it, the money...
Who doesn't ? :) I have been collecting all my experiences on option trading in a little web book. If you want you can read over the few sections...
Fair enough, it is clear now to me. Incidentally, option prices do carry information about future expectations, in particular a binary call will...
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