Recent content by optiontrader123

I know but I need to stick with my example and sort it out :)

Hello! I have a question about what margin that actually is required for below VXX position. I calculated it here and got this. I wonder if below is really true? http://www.cboe.com/trading-tools/calculators/margin-calculator Position: Long 1 Mar 17.5 call(s) at $1.74 Short 100 VXX shares at...

With other words, assuming that the price of VXX goes up to 100$ tomorrow will I need more than 200$ in margin or is it capped to 200$ for margin requirement even that VXX goes up to 100$?

I got a little bit unsure again. I think I need to ask to be really sure. I will just ask a simple question in the end to make it simple. This position require 200$ margin: - Sell Short 100 shares of VXX at 10 dollar - 1 Buy option for 2$ at strike 10 dollar (Let us assume that I have 1000$ in...

Thank you, that is great information. Then I know much more how to think now in regard to this. Yes rho and execution is something else there. Okay, so there is no margin actually as long as I paid for what is nessecary for the trade, 200$. PopyDeek, Thank you for all help!

Then I understand, thanks. I think that was my main concern so the margin requirement is static during the trade. That is good anyway. Yes, that is true, just buying a PUT would be an alternative here too. I will try to experiment with both the approaches to see the differences. I don't know...

Yes okay thanks that great to know, this is then called a synthetic put. So I need $200 as margin req for this trade as I understand when I initially enter the trade. So with that in mind I think it is possible to understand my question? As it is a perfect hedge if exercising the option and I...

Hello! I have a question when it comes to hedge with options. I will take an example. 1. We sell short the VXX with 100 shares at price: 10.00 2. At the same time we buy 1 Call option at strike price 10.00 for a price of 2 dollar. Now this will happen: 1. Price will go up to 40 in a 10...

guru, Yes I got the same feeling there, it actually are 2 unknown variables in the equation here which makes the IV depend on the actual market price of the option prices at that specific time. So prices comes first and then IV in that order in a way. Thank you for that explanation. ironchef...

Yes it is a useful exercise and good to know how to calculate approx as you say. I think I have a reached a problem I wonder if it is possible in somehow. The unknown factor as I have understand is the Implied Volatility when theoretically calculating the option price. But the problem is to...

Yes, you are right the link you had there gave 0.82 as you said. That was strange. Perheps the code I have is something wrong with and need to see if I can find anything better. It is a C# code so I use C# programming in Visual Studio. I found this project that actually gives a value just...

guru That was an interesting read. Thank you! I tried to put in some values as a test in the function for the current VXX option Call with Expiry on February 28, 2020: Spotprice: 14.91 Strike: 14.50 Interest Rate: 2 Income: 0 Expiry: 8 / 365 (8 days to expiration) Volatility: 67.81 (Got some...

Okay interesting. So I could use: Interest: "treasury bill rate" (I might wonder which one here. It should be annual interest?) Income: "management fee + the borrow rate" I am not sure I follow on what "management fee + the borrow rate" means exactly. Are there data charts where I can extract...