Recent content by jansen_ja

The ATRX( illiquid options) mar 25 call seems to have traded a bit more than usual, so it got quite expensive on friday, trading volalitity 70. Somebody wanted that mar 25 call pretty bad, and the marketmakers seemed to have left the volatility at other strikes and months for what it is...

Could you give me an example of the kind of skew selling position you would go into? I am curious, I would like to get some more insights here... I try to do it with individual stocks, when i dont agree with differences in volatility levels/extreme skews... but no rules here... every...

Thanx for your reply... The futures are by the way mini futures... so the 4 futures together are having just 80 deltas... maybe still too much... maybe 3 futures would be better...having -60 deltas from the futures. Still, i am gonna see how this kind of stuff is gonna work out the next few...

I have been looking for some way to short the skew found in many optionseries, trying to earn the skew, or at least some of it. I came up with a position (didnt trade it though) in the dutch AEX index. It is made delta neutral with shorting the future of the AEX index. The same strategy can of...

Does someone knows more about optionclub.com as a source for information about volatility and more regarding options? Or do you know better alternatives/programs with which you can scan option volatilitys/volatility changes etcetera...?

MBRM risk management software plugings for exel mbrm.com It is professional ,and costs about 1000 dollar.

Thanks sle for your contribution., i have one further question for you. Probably i might disagree with forward vol with skew level one day... Could you provide me with some sources where i could study this material? there i think this stuff is all important in the attempt of making money...

Here is the formula in a excel file for calculating the FV. I am not positively sure it is correct, there i found it out myself with a math student friend of mine, but it should be correct.

mdcigan, thats exactly what i meant. i already have the formula for calculating forward volatility. it is a nice easy formula, you can put it into excel easily, and it gives a nice insight in the volatilty structure on a stock... specially when there are big differences in iv over different...

I am not talking about skew over different strikes, I am just referring to different months trading different volatility, over the same strikes. (if you call that skew as well... ok...didnt know that...) I didnt formulate my question well, or you misunderstood what i meant. I will try it...

Does anybody know where to get something what could calculate forward volatility? With forward volatility i mean what should become the implied volatility over a period of time in the future, knowing volatility from now to TIME1, and knowing volatility from now to TIME2. Then what should be...