Of course, you wouldn't want to sell something against your long call if your bet was the underlying goes to the moon. I'm simply responding to...
Or you could meet somewhere in the middle. For instance, start with your usual long call. Half the time you'll be right and spot moves up. Then...
Have you looked at State Street?
To give you more thoughtful answers, you'll need to supply more specifics because these same greeks can be the result of many different positions....
Shelly!
I'd have to know more detail about the regressions you're assessing in order to comment. But to your last sentence, if you elaborate a bit more...
** Don't you mean that skew flattens when realized starts to exceed implied? ** Of course vol can take any number of paths, but take the last...
Do you have a benchmark you're using for tracking?
Better to bootstrap.
What are their correlations?
As to the above statement, I don't think you'll find a set of heuristics that meet your needs until you've narrowed down what you're trying to...
I'm not sure the last phrase is all that helpful. Not necessarily wrong, just not as helpful as you need. My suggestion is to understand the...
BWS- Could you restate the type of help you're seeking?
My comment was not so much for you to share a trade in hindsight, although do what you want. If you lay out when you would adjust, if ever, and...
Can you give us some insight into what you mean by adjust as appropriate?
First, can you be more clear about what you mean by scalping time decay? Scalping is usually used in a different context than this type of...
You need help focusing your question. In the meantime, the suggestion to use your broker's software to stress test is highly reasonable.
Then the law of large numbers would dictate the outcome. If it's a neg p/l strategy, then you lose if you play forever.
Keep in mind that all models suffer from imprecision. It's simply not possible to predict what vol will do in a large dislocation, which are the...
That phrase usually means someone wants to fade a market that's moving up. In that case, then what you'd want to do is sell a call, not the put.
Separate names with a comma.