Mav Logically then, if later in the day the SPX was trading at 1410 and you price the puts at 2, what you really did was sell the 1350 puts for...
Mav Thanks for the comprehensive reply. Sure, but if the option was overpriced youâd still have an edge. Keep selling overpriced options long...
I don't follow your thinking here. If you could "isolate other variables", you wouldn't have an edge, you'd have an arb. We all know that...
Simon The exchange where the option of interest trades will have a contract specification somewhere on their website. Might be a pain to find...
No, I'd agree with your summary above. It's been hailed so many times on these threads as essential reading, but personally I couldn't get...
MM Do you have any instinctive preference to buying or selling premium ?
Candeo Have a look at Standard Deviation. Then study VAR (value at risk). Personally, I risk no more than 10% (daily) of my trading capital...
MTE A bit harsh. Not like you. Bad day ?
Interesting interpretation. If they aren't a gamble, they must a certainty then?
Arnie For premiums to "disappear" other than in-line with Theta expectations, it would mean that the implied Vols must drop "Mon & Tue"....
Arnie Do you have any data to back that up, or is it just a gut feeling?
FA / MTE Interesting stuff chaps. I'm off to ponder.....
FullyArticulate I does make sense, thanks. But not sure of it's benefits though unless you trade individual equity options against the index...
Fully Articulate My main strategy is selling front month options, so the vega risk is of much less concern (to me) than Gamma. Remind me not to...
I agree with MU. Gamma is what we buy and sell. It's everything. Using delta as a measure of risk is next to useless.
I agree that knowing what the option delta will be if the stock moves up/down X is useful, but what I asked was....what practical use is it ? From...
What exactly is the purpose in calculating a âSkew Deltaâ ? Where the Delta is the hedge ratio to be used in continuous time, calculating...
Maybe it's a typo. Try Whaley.
Tower Pointing someone towards the BS equation when they are asking about "greeks, specifically how greeks effect each other?" is hardly being...
Thatâs not strictly true. The delta (Nd1) is the hedge ratio. Probability to be called (Nd2) gives the actual probability that the option will...
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