Recent content by Profitaker

If the spread is still Theta positive it's worth hanging in there 9 times out of 10. But if you're Theta neutral or negative then leg down (and / or out) as you're not getting paid for the short Gamma risk.

LM3886 HV is backward looking and serves no purpose. IV is the markets expectation of VOL going forward. So I personally use the IV for the options month that I am trading. I use strike IV to the downside (Puts) which takes into account the Skew and the ATM IV for the upside (Calls) which...

Worth every penny mate, should have done it years ago ! Speak soon.

LOL. Been really busy with the day job, oh....and a divorce ! Hope to get on these boards more often, I miss the pearls of wisdom :)

Have to disagree. Nothing wrong with adjusting (though I wouldn't call it a "repair") if a position goes against you. Sell naked Puts and the stock tanks then close them off and open lower, sell a few calls to the upside too. Works for me, not that I haven't taken some big losses, I have...

Volatility Skew. Do a google.

Fascinating ! So if (and I repeat IF) the future volatility of the underlying could be known in advance you still couldn't determine the "fair value" of an option on the underlying ? If your answer is Yes, then that contradicts your assertion that IV is a flawed measure. If your answer is...

Yes. Took a severe battering Sep/Oct, but I survived.

The concept of VaR is a probability of an occurence, which in turn is a function of the volatility of the underlying stock, or if you prefer (I use) the implied volatility of the underlying stock's options. Also you need to determine what time frame you're going to use and with what confidence...

MTE is correct. The basic idea is to exploit a discrepancy between the implied volatility of an index option and the implied volatility of that index's constituent stock options. For any given stock option IV and it's weighting within the index you can derive an implied correlation of the...

Some useful discussion here; http://www.elitetrader.com/vb/showthread.php?s=&threadid=34499&highlight=egar

The further you go OTM the greater the leverage. A ball-park formula is Leverage= Option Delta x (Spot / Option Price). That gives you the change in option value (%) for any given 1% change in the Spot.

Appreciate your advice.

I disagree. There are different ways, but not better ways.

Not always !