Sorry for resurrecting this old thread. You can indeed trade variance swaps, they exist after all and also they accomplish exactly what the op is...
We agree that put call parity in european options must never be violated newurldmn, however if you look at the OPRA feed (from yahoo or your...
Robert, I use stale because even though they update from time to time, it is very infrequent. So they can get stale for long periods of time. Case...
Robert I don't know why you fixate so much on the futures. The underlying for SPX options is the SPX index itself and you could hedge with the...
That is correct conceptually newurldmn, however when you use something like BSM to price the options it takes care of this for you as all the...
This explains everything :) Botpro, in addition to C++ please take a look at something called R :) you will be enlightened by it, the best part...
Hello, 1M options in volume sounds about right for daily activity in SPX alone. Also it is the nature of the beast that in index options, puts are...
Brown, I agree that is very tempting to use options for the perceive leverage that they offer however be aware that options don't really provide...
There is indeed an exact formula to calculate the fair price of any ITM option by using put-call parity. So get the mid price of the OTM option...
Tibster, the only reason to trade options on the long side is to benefit from *optionality*, when you play with LEAPS, or any long dated options...
Great answer, very clear and succinct. For IronChef: Dynamic delta hedging of options is better left for MM's or pure volatility shops. For a...
Robert, only VIX options require a forward price adjustment when computing IV or greeks (what you call using the right futures). SPX options only...
The oddity in the graphs is just an illusion, the problem is that SPX ITM calls and puts are very illiquid and the quoted bid and asks are either...
I'm late to the party and this thread is funny in a sad sense. Botpro, you should not ignore the comments of real professionals here (like...
The point is that you don't know what a buy write is. And also that it seems you like to drop categorical statements that are incorrect (not to...
Destriero's styles is very easy to recognize, I suggest you search for any threads authored by Atticus and you will understand. Be prepared to...
I guess you missed the big red bold part that say "Buy Writes", you should read a bit more before claiming falsehood of something you didn't...
Even though this doesn't address the original question. I use the different option chains for different things. By default I trade SPX options as...
Hi guys I'm getting an error trying to close an existing iron fly in IB. Whenever I submit a sell order for it I get an error that says:...
Feldman iron butterlfy, that was actually very funny :)
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