Yes. When an option expires, it will have zero time value. So on any given date before expiration, the more time value it has, the faster it...
Great article, thanks. Too bad the author's name is not mentioned - his writing is unusually lucid.
Take a look at the attached one-minute chart of the VIX from that day (each bar represents one minute). There's no conspiracy theory too wild for...
Bad data - it never got close to 38.
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Sure, absolutely, the more info the better. I guess my point is that volume without IV can be very misleading, because you don't know whether...
Much, much, much more interesting to me than volume is looking at the implied volatilities. Far more than volume, IV is what tells you where the...
This is an excellent point about a very widely-held misconception. There seems to be a general assumption out there that all option volume is...
Very tricky to trade, lots of unusual wrinkles to this contract. For starters, the underlying for the VIX options is NOT the cash index, it is...
To me it's a matter of leveraging your situation to the hilt - custom-tailoring a position to best fit the options contract you're looking at....
Actually, by buying more back month options and selling fewer front month options, you can get gamma neutral - meaning you would have to adjust...
Doing ratios doesn't necessarily increase the risk, it just CHANGES the risk. If you were able to buy back-month volatility at rock-bottom IV,...
Any time you can buy far back month volatility at historic lows (historically low IV), that's a high-probability play. If you can sell volatility...
Yes, the bots are very sophisticated. I was recently trading a very illiquid, far back-month option. The market was 2.70 bid at 4.50. I put in...
I get emails all day long from CME about busted trades - such as the following: "17:00 - 17:05 CT. Trades busted. All trades in 6 C U 8 above...
You seem to be consistently getting out exactly where you should be getting in. To correct that, you could try scaling in two positions. That...
cdowis - what do you see as your edge with this strategy? Is it your choice of spreads, the prices at which you execute them, your management of...
In an out-of-the-way market like yours Cowboy, I wonder if you could spread volatilities. In other words, if you can buy the 120 calls for 18%...
Right, that is exactly correct. That is the only difference between the two models. BS calculates the forward price and does its calculations...
In this example you're pricing a call that is ten dollars in the money with 1 day remaining. It has no time value, so it should have no theta....
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