Recent content by filthy

i really appreciate the kind words about my books. it is always nice to hear. but i honestly wasn't fishing for praise. i really think "option trading" and "option market making" are the only books that address the mechanics of market making (for any products).

there are two books that cover this exact topic. the first is "option market making" by Baird. it is dated but still an excellent book. the second is "option trading" by sinclair (me actually).

covered calls are deceptive. they look like a directional play but they are really a distributional play. they are basically a one time hedged option and as such are the most extreme volatility play possible but a volatility play nonetheless. so the question you need to ask is "is implied vol...

true, but for different reasons.

yeah, as sle said vix futures and spx puts are different. with vix futures you are betting that implied vol drops. with spx puts (hedged) you are betting that implied vol is above realized vol. but vix options? those have a variance premium as well. so the implied vol of implied vol tends to...

selling index volatility is more profitable than selling single name volatility because you are taking on an extra risk. you can call it tail risk, correlation risk, macro risk or whatever. selling index vol (otm puts or calls or ats) is profitable. and not just in the "make a lot then blow...

thanks it has a few things about harvesting risk premia (what most of vol trading is) that i think people in this thread would find helpful.

hopefully march. it is sort of out of my hands now.

i like gatheral's book but i don't see any reason at all that a vanilla option trader would need to read it. the models he discusses are really only necessary when spreading and hedging exotics. a possible exception would be someone who is trying to trade vix options against sp options, but even...

in addition to what has already been said, the actually numbrical method used for the pricing engine can have large effects. for example, unless you are very careful, a tree will produce odd oscillations as it converges to the "true" result. and it is tricky to say whose model is best as you...

bs2167, i'm glad you liked the books. A new edition of "Volatility Trading" is coming out in April. It will have about 100 pages of new stuff. I think the article will be out in the December issue but I'm really not sure. I know they have a very fast turn around time. I'm fairly sure...

The paper you refer to might be this one. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2094510 I've just written an article for Active Trader magazine which looks at the trade. I use an even dirtier hedge of 500 SPY per VIX future.