Easily. Look the attached this picture (the first nice-looking from google :): Strikes around 3900 have almost the same IV because the curve...
Sorry, I did not mean that you are doing something wrong. Of course everyone has their own style. What I meant is by closing out your position...
The ideology is to take more credit with a wider strikes but have greater skew risk. The wider the strikes the more you are exposed to the changes...
On the other side you won't see much profit (if any) if you close those spreads early. The alternative strategy would be to roll spreads a bit...
Yes, more longs for each short for calls than you would need for puts. I would roll the backspread to a lower gamma/vega strike as adjustment....
The ratio should be determined by the expected slope of the skew if underlying hits your short strike and time to expiry. The ratio is typically...
atticus, I think the OP just solved the strikes so that his expiration graph is in profit zone, that's not hard when using calendars and assuming...
atticus, I believe cdcaveman is talking about a 1000bp move either in front or back month vol. How come it's not enough to generate pnl? PS 1bp...
I would suggest to drop that put backspread. You probably thought that the credit you are taking will offset the loss of the strangle/straddle...
Close, but it wasn't that stupid :) I was quoting front month options on European index. The quoter was quite aggressive with the orders but it...
I remember I once run my quoter on STOXX50 on Eurex just to test the new algo. My primary market was closed at that time. I was surprised when the...
You mentioned very low gamma :) Ok, this is interesting then. How do you hedge you gamma then? Are you quoting e.g. butterfies and cross the...
So you quote the wings on COB for a few minutes? Why do you call it market making?
While logmoneyness does affect this I believe the source of the difference are interest rates and dividends.
How about closing out your trade when it's out of the range and putting a new adjusted one? You will save on costs on trading the underlying and...
Why would you ever need to read the market then? Actually, serious question - what the reading of the market is? How do you read it?
Yes I'm on HK farm and my ping RT is about 150ms. I though it's some limits and margin calculations on IB side that take so long. Or because IB...
I'm getting a whopping 5-6 second round-trip order latency with Interactive Brokers. Which broker can you recommend to trade KOSPI? I found...
Depends on the market. In some markets MMs don't have any control because the market is so deep and the skew becomes very kinky. MMs smooth the...
The simplest thing to do is to fit a quadratic or cubic spline to the implied vols. You can use least squares optimizer to do this. All you need...
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