Hi guys, I was under the impression that selling an ATM call and buying a OTM call would always make you short vol on net(At that point in time)....
What strike and DTE was the 'IV Calls' in your photo? From the study linked... The most common ex post value measure for put options is the...
But do you know English at all? The title of the paper is.. Still Not Cheap: Portfolio Protection in Calm Markets Did you read any of it?
Of course they aren't just adding 3 points. The risk premium works out that way. And no, the 3 points doesn't come from when the vix is high. If...
Thanks. I was not planing on naked put writing. It would definitely be a spread. Just trying to figure out what width is optimal and at what strike.
It is not my personal outcome as I am still learning. The study I posted is where I am getting my rational for the trade. I read mixed reviews of...
Makes sense, I believe the study was 30d atm vol, further OTM the premium should be a bit richer, but vega is lower. Thanks for the comments!
11.10? WHat do you mean? Any research/articles on the comment that skew isn't free money? Seems like you are of the opinion is that...
I understand that the OTM sellers will win more often, but if OTM sellers win $11 while risking $100, 9 out of 10 times, will ATM sellers win $60...
Thanks for the reply. Do you not agree that option sellers as a whole beat option buyers? Just like a local insurance company in Louisiana can go...
Thanks for the reply. I understand the idea and logic behind delta hedging, but I am not sophisticated enough to do that. My thought was that...
Sorry, I don't completely follow. I was just stating it is known that in the long run HV has been shown to be lower than IV. I never said HV...
Hi all. I am curious the thoughts of the board on the logic behind perpetually selling credit put spreads atm vs otm. I see research citing IV is...
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