hi drownpruf, do you mean put vs atm skew constant and fwd does to short put strike or considering continual skew evolution (most likely skew...
sorry posting image for the first time ... https://www.dropbox.com/s/srtd7zzwa7gbfbg/Capture.PNG
trying again [IMG]
yeah so there is a mtm vega loss on an existing trade that shorts IV/RV using the previous ATM strike. And so eval whether to just hold this...
thks, sle. took some time to understand you eqn and prob thats y its "stupid" qn hahah. i think that its also highly likely that ATM vol will...
thks for your explanation on using otm options, TskTsk Yeah i had a similar concern about trading constant maturity and atm strike as well. or...
some silly/stupid/bothering qns: y cant we use high downside puts if we think iv's too high vs rv? is it because if spot ever goes there, it...
Hi sle, This one? Prices of State-Contingent Claims Implicit in Option Prices. Douglas T. Breeden; Robert H. Litzenberger. The Journal of...
Hey thks, FXforex. That's very helpful! I should spend more time understanding the website! Cheers, lcs
Ah ok i didnt notice about the ads part. Makes sense. Thanks for your reply. Will live with it :D
Hi Baron, here are some advantages that i can think of: 1) when all the posts are in the same page, can use the find function to scan...
Hi, After the website upgrade, the printthread view cannot show more than 40 posts. I tried using pp=200 in the hyperlink but it is still...
seeking help to resolve the following for example, using ITM VIX puts to short VIX futures pros 1) limited downside on the way up 2) if...
SPX vols down after the gd NFP and unemployment numbers. Are upside vols a buy now as a play on next week FOMC?
can see your trade on 10:15:41 10x @ 25.75 :) legging in slowly? sadly only vix futures are liquid enough, even v2x takes a long time to leg in
Danke! I will check out his work.
question about backtesting: lets say the algo enters an option trade but subsequently the underlying moves away (either otm or itm) from the...
My question was why is it (BD(e1)-1)/252 : 1/252? And not (BD(e1)-2)/252 : 2/252 or (BD(e1)-3)/252 : 3/252 or so on? If your e1 and e2 is large...
Compared to 5D expiry, 1M vols breakdown between event and ambient should place more weight on events vols rather than 1:19 (assuming 20BD)....
thanks, sle. I still prefer the approximate method only on very short dated options since forming the 2 linear equations would still require...
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