Recent content by nycabs

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    Why VXX Is Not a Good Short-Term or Long-Term Play

    Trade options on VIX. Buy deep ITM calls as proxy for going long on VIX. Similarly with DITM puts if you want to short...
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    Selling puts on ETFs

    NYSE: USO. Let's take June put chain: 31 strike: Imp Vol = 45.76 30 strike: Imp Vol = 47.08 29 strike: Imp Vol = 47.73 28 strike: Imp Vol = 48.64 27 strike: Imp Vol = 50.10 26 strike: Imp Vol = 50.52 Imp Vol provided by optionxpress. The skew is quite pronounced.
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    Selling puts on ETFs

    Do you guys think that some of the OTM put options on commodities ETFs (e.g. USO) are overvalued? It is a norm to observe pronounced volatility skew on stock put options (more OTM = higher IV) due to demand for protection against black swan fat-tail events. But for commodities ETF??? if...
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    Solutions to Shreve II stochastic calculus?

    Studied this book while @ Baruch's MFE program. Good luck with the final. I suggest that you read the questions carefully as they usually provide enough hints for you to solve the problems. What this got to do with the options trading forum???
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    Masters of Financial Engineering from Baruch.

    I am a graduate of Baruch Financial Engineering program and I would like to provide some perspectives and insight to the program. The program was started six years ago by professor Howard, who has worked for several Wall Street firms, including Salomon Bros, as 'Master of Science in Applied...
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