Thanks. Wouldn't correlation need to be considered too ?
May I ask how you arrived at that figure ?
Stock 1) IV 25%, index weighting 20% Stock 2) IV 20%, index weighting 30% Stock 3) IV 20%, index weighting 25% Stock 4) IV 15%, index weighting...
I would have thought there would be correlation irrespective of direction, no ?
I don't have an example yet, I'm in the early days and it may amount to diddly squat. The reason I think it should work is because the vol...
I was thinking along the lines of shorting a representative basket of individual equity Calls, and hedging by going long the index Calls. My...
Why do index options have negative IV skew, whereas the component parts (individual equity options) don't ? Is there any way to trade this anomaly ?
Sorry, can help you there. But if anyone knows the answer to that question (with certainty) can they please let me know, so that I can make a fortune.
Index options are cash settled at expiry so.... Your account is credited with 50. Depends which months series you're talking about. Your account...
I'm sure your broker would accept a blanket instruction not to automatically exercise, as keyser1 has suggested. Good luck.
On the subject of automatic exercise, read this horror story;...
Called away stock A, with stock B quite likely to be called. Depends how much time value is in the option.
Def Yes, thinking about the mechanics of it you're absolutely right. What I should have said was .... being exercised over ex-div date won't...
No, American style individual equity options traded on LIFFE - contract is to deliver the stock.... only.
Quote from Option Trader That's a new one on me. In the UK the contract is to deliver the stock, nothing else.
It's a question of leverage - OTM and near time has maximum leverage, ITM and far time minimum leverage. Just remember leverage is a two-way...
I also think the market is generally efficient. With all the human brains and computer power analysing and monitoring each option market, it's...
Donât see how that can be called âarbitrageâ, itâs merely a disagreement between two parties as to how the underlying is distributed, and...
Have you tried this crowd ? http://www.ivolatility.com/
Never really got into GARCH for the reasons I gave above so can't comment as to whether it's more relevant to indices than individual stocks....
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