This could affect the skewness as well: https://www.linkedin.com/pulse/manipulation-vix-carol-alexander/
Is that what the CBOE SKEW index is about?
Hi, I am reading a Year End letter to Investors where the Fund manager explains how they position to be long volatility: "[Fund name]...
That's assuming a 1:1 ratio. How about a 1:20?
When I have stocks and bonds in my portfolio I am "implicity" short volatility (I bet on stability). If I add DOTM puts on the index I am...
Hi, I am having a hard time understanding the Vstoxx term structure today. EuroStoxx50 index is down -1.14% and the Vstoxx is up +18% (16.30)...
Is there a way to do this model-free?
I don't get this. My obligation is to buy the underlying at the strike price and I have the money for that (100%); it's like buying the underlying...
What if I buy DOTM calls on vix futures in place of index puts? Thanks
Can the following be thought of as "Dispersion Trading"? I sell Cash Secured Puts (american style) on a stock and collect the premium. I use...
I have a question about long-term butterflies; why are they usually cheaper with months to go and become more expensive when expiration date is...
What led you to think so? (for the sake of simplicity I will assume multiplier is 1) By selling short those ten C31SEP for $231 each, you...
Say the sold short options for ADBE was trading at 355 and the long options at 76 that means 355*10/76 = 46 options to neutralize gamma.
This strategy sounds good although I am wondering..why not do it for a small debit instead of a huge credit?
So, how are you getting along with that strategy?
I am sorry, the following should clarify more! SPY DEC12 options as of september 10: [img] SPY DEC12 options as of today: [img] The...
the then-fly now is pricing differently. (just edited my previous message)
So, that is how dec12 options look like after the market rally. (+p143-2p144+1p145 = now is worth 0,15)
So, I could be be exercised if the fly goes itm along the way?
DEC12 (+p143-2p144+1p145 = 0,07 debit market price) that's that!
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