Sorry if I was unclear Mark. I didn't mean to be talking about being simultaneously short a call spread and a put spread which - as you say -...
Didn't the stock drop from about $25 to zero in a few weeks? Doesn't sound to me like a fun time to be short volatility.
That's fine when it works. But what if you had shorted Dendreon (DNDN) straddles prior to a big drug announcement a few years ago when it was...
So, you find that bull put spreads have a "sweeter disposition" than bear call spreads? There's a reason for that. In a bear call spread, you...
Unfortunately, you're not the only one who knows that company is about to announce the outcome of a clinical trial, so IV will be high. As...
Forget dynamic hedging - it may work well in academic papers but in real life it comes out to closing the barn door after the horse is gone. If...
Think for a moment how you would actually create such a position - gamma neutral but long vega. The only way I know to do that would be to buy...
This question really belongs in the Options section - I almost didn't even see it here. Please re-post it there and you'll get a response from me...
Well thanks, and I can say the same in return. I've learned a lot about the equity side of the game from your posts.
Right. And to take it a step further, it's a lot easier to keep tabs on gamma if there's a lot of time remaining until expiration. As expiration...
Premium neutral has nothing to do with delta. It means gamma, vega and theta neutral (maybe that's what you meant). "Long premium" means long...
Xflat - maybe the fact that Philly started later than the CBOE actually gave it an edge - in that traders there "grew up" with the underlying...
Ammo, were you an equity option MM? When I hear someone mostly think in terms of spreading options against other options, that's usually the sign...
The world has changed a lot since I was on the floor. Like some others in that pit at the time - including Charlie Cottle and Shelly Natenburg...
It's only an arbitrage if the options you're buying and selling against each other are at the same strike - a conversion or reversal. Otherwise...
I sensed a lot of animosity between him and Maria Bartiromo. She was always laughing openly at him. It was kinda weird... She once spent a...
I don't know why you feel that you're confusing the shit out of yourself, you actually seem to have a very solid grasp of how all this works....
An option is a contract. If I have no position and you have no position, and I sell you a call, then poof - an option contract has just been...
What's missing in your example is, well, an actual example - a real world example of a position where you are neutral gamma but long theta....
I use Hoadley and am very happy with it. I love the flexibility of it being basically a library of Excel functions. I use the strategy...
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