One additional thought for Increasenow - if you don't want to spend the $500 for the SPAN program, perhaps you could get around it with a little...
Sorry, maybe I wasn't clear - the ES options ARE traded exclusively on the electronic. There is no such thing as an e-mini futures pit or options...
You're forgetting the most important element of the whole play Chirag - the relationship between the underlying and IV. This would work in the...
The speed of moves up vs down is not what drives the skew. Look at natgas - down 40% in less than 2 months - and the otm calls STILL are at a...
I don't think there's any easy way to do it except to buy the span program for some $500. Then every night you download the span file provided by...
I think you're thinking of the E-mini Richard - that is exclusively traded electronically, as are the E-mini futures. But overall, options on...
The other side? You mean if you start out delta neutral and short gammas? I would just call that being short premium. In that case you'd...
LOL - good summary!
Yes, I think the real and only way to understand the skew is to be in that market with a big position and experience for yourself what it feels...
That's an illusion caused by the fact that above a certain point (at every strike above a certain strike), each call is marked at the minimum...
There's actually no "smile" of volatility in index options. Starting with the lowest strike, every higher strike trades at a progressively lower...
Assume the futures are at 1200. Are you saying that the 1300 call volume might really be synthetic put buyers? I guess it's possible - I can't...
One more risk sugar - your thetas on your long puts are greater than the thetas on your short calls, since you paid a higher IV for the puts than...
No no, gamma scalping is different. It's when you're long gammas and delta neutral - so every time the underlying moves the delta moves in your...
Well the question is - do the leap IV's have a marked, significant inverse relationship to the price of the stock - as the VIX does to the S&P500?...
Actually, once you have this play set up (long the 1100 puts, short the 1300 calls, delta neutral against the futures), you can play it with...
The above scenario is not accurate. I'll try to find a moment over the weekend to work through a nuts-and-bolts example. In the meantime, assume...
Okay, but I want to emphasize that I'm not suggesting this play will work in 2008. The existence of the skew effectively eliminates it. I can...
Whoops, you're absolutely right. Thanks for pointing that out.
This is a misconception. Market makers don't come up with a mathematical theory or a distribution and then stubbornly stick to it, the market be...
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