Recent content by Quant Dracula

That's not a better question to me, to me the better question is the one that interested me and i took the time to ask.

Hello gentlemen, What are some ideas on dealing with covered call positions during rising markets? I've backtested to 2003 a myriad of strategies via Bloomberg and found lukewarm results. They included a delta roll version and also a version applying a volatility filter and only selling...

Thank you sir, I'll look into lambda further.

Thanks for replying - the rest of the position was nothing really particularly interesting. I had some 85% long puts that I bought earlier in the year with Dec15 expiry and they had been bleeding down in value so when the market dipped I took the opportunity to convert them into 95-85% put...

Ha ha, unfortunately it was pure dumb luck.

Hi - like I said in my original post, these were part of a spread I had in place, not an outright buy. I held these into expiry and they expired worthless.

On 21 Aug purchased 4150 puts expiring 17Sep15, paid 2 points. The date they were 14 was 24th Aug.

Thank you gentlemen, I appreciate the replies. The day I bought the puts the ASX200 was just above 5200 and the day they were 14 points it was trading 5120.

Hi Bry. Yea you're correct on both accounts - they dropped off very quickly again in value and we didn't have the same sharp drop as the US intra day. However while the options around ATM went up, they certainly didn't go up in this magnitude. I'm interested in how these puts behaved and the...

Bry - yes you are right. My question pertains to the reasons for a 7-fold increase in the price for an option that was still way OTM on a comparatively minor move in the underlying.

Hello all, I have been browsing for a while and recently joined as a poster. In August this year I purchased spot month (September) 70% puts on the ASX200 for 2 points. (The reason for the purchase was as part of a spread and not for speculative purposes, I was completely prepared to wear this...

If you have access to a Bloomberg terminal you should be able to get it.