The difference between the Black model and the Black-Scholes model is the way interest rates are handled. In the BS model - which is meant for...
The equity options are set to American. The index options give you a choice of American or European, but whichever you set it to, they come up...
The Hoadley Excel add-in system now connects with IB. I don't think you can download your positions, but you can set up a spreadsheet with your...
Using VIX futures to hedge the delta risk of your short puts? I think you're comparing apples and oranges. Let's think this through. If you...
GARCH is a separate category; it is not used to compute implied volatility, rather, it looks back at price data and computes actual (historic)...
If you're not valuing options that are deep in the money (subject to early exercise), then any of these models are going to give virtually...
To add to my previous post - I used to trade next to a guy named Darrell who had a backer, and their deal was that every month they would split...
Well said - that's pretty much the short-premium and long-premium games in a nutshell. Not that it's impossible to improve those odds, but it...
Thereâs actually a sound fundamental reason that futures option pits continue to thrive, and it goes beyond any political considerations or...
Right. The delta on those puts was .31 so you'd buy 31 futures. Newbie question but hey, you said you're a newbie! ED options are very...
The best bid and the best offer are the only bids and offers that count. The locals don't all necessarily agree, but if the best bid is 3 and...
YT - which floor are you on? I'm told sheets are still in vogue in futures option pits. I'm attaching a simple theoretical value sheet...
Normally, the difference between models used to calculate options on indexes and options on stock is the way dividends are handled. Index options...
It's not a matter of right or wrong implied volatilities, it's a matter of relationships between the implied volatilities of different options....
Good call again - MYGN is up $4.82 as we speak. Hats off. Magicz - if you don't mind - what do you use for sources of info on the biotech...
The VIX is looking a little lighter today, n'est-ce pas? None of that "heaviness" we saw Friday. Premium buyers are finally beginning to notice...
When you are considering possible trades, are you looking at the implied volatilities of the options in the calendars and verticals, trying to...
The percentages I quoted are implied volatilities - the only meaningful way to express the cheapness or expensiveness of an option. The normal...
The options of USO actually exhibit a classic "smile" of volatility - somewhat rare these days. The ATM's trade at the lowest IV's, and the OTM...
You have to get your edge somewhere. One way is to have a better-than-average ability to make odds on what the underlying will do. Some can do...
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