Delta is a number, and numbers are not directional. The word "directional" often is used to refer to the effect of market movement on the value of...
Does IB offer variance swap?
Not a typo. As time or volatility increases, ITM and OTM option deltas approach 0.5, whereas ATM delta remains at 0.5. The intuitive way I think...
Sorry for the confusion. Yes, I do mean the delta.
Thanks for the suggestion. By "forward value," I assume you mean the value at T=(Dec 2008), which is what everybody thinks DJX will be at time =...
In theory, as time till expiration increases, ITM and OTM options should asymptotically approach absolute value of 0.5 (half unity). I am looking...
Thank you for your reply. But the fact that IB does not charge commission on exercise is what I don't understand. Why would IB do free labor? They...
A related question: is the transaction cost of an exercise equal to the commission of buying or selling the corresponding number of the...
In my opinion, which is an opinion only, selling calls is less risky than selling puts. The reason behind selling puts is that stock can go down...
I have tried very hard to hedge my option positions. Sometimes I am successful, but the reward significantly diminished. Having traded various...
Well, 10% of Dow right now is 1300 points. Imagine Dow drops 10% in a day.
No doubt there is increasing financial efficiency and sophistication in the recent years; an evidence is the low long term (30 year mortgage)...
I looked back at the 1927 and 1987 crash. All the major indices lost 1/4 to 1/3 of their values in a few days. In today's terms, that is similar...
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