Recent content by aid1961

i'm talking about the spike in implied volatility. the 50% area is a 2 year relative extreme.

sell some premium there,

Trajan, I actually came across that paper as well...pretty interesting. Looking forward to seeing what you find.

Trajan, that's a good point about outliers, and taking the median probability is probably a good fix. Would you be willing to share your findings via private message or publicly, or would you rather not?

Trajan, please keep me up on what you find. Also, what software are you using to test this? Aside from using neural networks, it could be done by charting an average of implied vols for various sectors across 10 years or so. The chart would look like a one year chart. The x-axis would have...

Just brainstorming here...is anybody trading vol on sectors in a seasonal manner, ie like seasonal spreads in futures but without the pair-trading aspect. I haven't done much research on it yet, but it seems that vol on retail stocks for example should rise ahead of christmas sales, energy stock...

you can't determine whether premium buyers or sellers were more profitable just from looking at historical IV & SV charts. intra-day average true range is a big factor....ie let's say vol is 16% so long gamma players need a ~1% daily move to pay for their theta. market could go up 3% and then...

I'm talking about from an off-floor trader's perspective...ie; just making vol bets in special situations as opposed to making markets. I can't imagine why a short gamma trader in that situation would want to keep such a tight delta and risk getting whipsawed around. You got to let that s**t...

Straddler, how do you calculate your daily b/e though? Using the square root of time method I outlined? Also...out of curiousity -- why do you prefer re-hedging your short gamma stuff with options as opposed to stock? Sometimes options are better but other times it causes undesirable effects...

I was wondering if you guys use the same methodology to determine your gamma scalping break-even points on a delta-neutral trade (ie "theta loan"). I take the implied volatility and divide by 16 for daily scalp point, 7 for weekly, and 3.5 for monthly. Those figures are the square root of...