Recent content by Jgills

My 2c - From a theoretical point of view if the options are listed on the same exchange and cleared in the same manner I would not expect you to find a better rate. Theoretically the box on European cash settled options has nothing to do with what the underlier is, it’s purely a financing trade.

I haven’t looked at pricing for any other boxes besides spx boxes, but you should take a look at how it prices. I imagine you will find something similar to what you see in spx boxes and the one with the best price for you will be the one with the most liquid listed options market.

the Vol on this option is high, so as Vol gets very high OTM deltas will go up. I’m not familiar with borrow on UVXY, but I assume youre not including any and your forward is the same as spot? If you think the forward for uvxy is much lower than current spot then your delta will go lower too.

If you want to be exact you need to find all 500 names and who goes ex div on what dates and what their weighting is and do the calculations.

Call your broker (Schwab here) and ask how they handle early excercise if you’re assigned (go through the iterations you’re conscerned about). If this is expiration you’re asking about, make sure you understand their expiration process. Most places will default to exercise long options in they...

I wouldn't say there is gamma up until expiration of the 90% PUT. I'm on vacation so my access to models right now is poor, but think through this example. You buy 1m 90% otm put today and it's 10d. On day 2 the market goes up 1.5% and your delta goes to 0.05, so you sell some your delta...

I'm not saying rv will be different depending on strike, but the pnl assumption of vega (rv-iv) implicitly has the underlying near the strike. I say this because if the underlying is not near the strike you will not have nearly enough gamma in your position to make the realized vol matter since...

The skew is pricing in more than just expectation of realized vol, there is also a vol of vol component and higher order things to consider. As for the realized vol you see in your gamma pnl, that is very spot dependant when you have fixed strike options. If the underlying moves far enough away...

You’re saying Wednesday PM options are switching to Tuesday open?? Where’d you see this?

Yes. Happy to answer pm if you have more questions too

How’s everyone doing? Since March I haven’t really had any trades on in Vix space. Does anyone see much to do?

You can sell a calendar and reduce your time,premium and delta (assuming not atm). It will also let you keep some protection on for the time being., and u can always buy it back at expiry if you Need ti

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what are the most efficient ways for us non-institutions to lend money at short term rates? I know that most brokerage firms put your money in a money market fund, but it earns say 1.5% vs 3ml around 2.25. The first thing that comes to mind is buying SPX boxes (so lending to the occ), but what...