Search results

Any links for the two seminars? - I can not seem to locate any of the two

Remember that there is no free lunch out there

Thank you for the information about the presentation. Well if you have al lot of cash on the side ready I guess you can always buy more and more to adjust.

I think adjusting greeks on portfolio level can be somewhat complicated and risky. Fx how do you adjust the delta exposure for an entire portfolio? Just by adjusting the position with the most negative delta problem? That could cause more risk in that position. I would have focus on each...

I’m new to trading volatility skews. I found one CALL option that in marts 2010 have 5% points higher IV than for the same strike in September 2010 - ITM. There has just been an FDA ruling that send up the stock and the marts IV (I guess). I think that marts IV will fall again. What to do here...

Yes why not - I want to be a maked maker, this should be easy to get a job like that :) Maximum spread?

The marked maker(s) can set the base for a price of an option by selecting an IV level. In illiquid markets, or way ITM / way OTM, where the supply and demand is low, in some cases only represented on one side by the marked maker, the marked maker has the power to control the price and the IV. I...

If you have a safe way to this let me know. If you are naked you are naked. It is not always easy to get out.

Even if I had the long leg deep ITM why do I want to have to close the entire trade just because someone decides to exercise the short leg. Trading diagonals will also cost you more initially to finance the longer leg ITM. I guess you can’t have it all. Anyway thank for pointing it out, it...

I was just wondering. Given the fact the there should minimal risk associated with breaking in and out of the short leg (I guess a spread order can handle this) if you run into assignment (buy stock, deliverm re-sell option), is there any brokers or other companies that for a small fee will...

Let’s also say that the we are dealing with 1 option that is traded at IV 50% and I assume from your example that I get exercised before exp in February, let’s say 1th February and the stock price is than 45$, and the agreed strike is 43$. So for some strange reason I get exercised 18 days...

I am not sure what you mean here? It is only relevant for the short leg of the position. If you get exercised before expiration day, you just sell a new short leg in the same expiration cycle and strike, and use the cash-income to buy stocks to give to the "old" short leg contract holder. If...

In the option price model dividend is one the variables, so normally the dividend is prices in like the other factors. What you should look out for, is the days around the actual dividend payment, in this period you can have a high risk to get assignments even if there is a time value in the...

Using calendar spreads to hedge the portfolio against raises in IV – interesting. Calendar spreads, as a position, gains when the IV raises and all other variables are equal, given that the long leg has a much higher Vega than the short leg. If you buy the long leg very far out (6-9 month)...

Yes long straddles or long strangles. Strangles seems to have lower delta's and lower Vega’s. Straddles seemes to have higher gamma and higher theta and higher Vega. It seems that strangle is cheaper but I’ll go for the long straddle it is easier to have the same strike.

I guess in it is nature implied vol can never hit zero and never be high for a long time and that it seems to be completely unpredictable, anyway we have to make some bets. I think that expectations to company earnings already are too high priced in. I’ll make the bet that there is room for a...

Maybe it is time to look at a Vega game. We are on the same page; beside the higher VIX level I also think that the current stock levels will be traded lower during Q1 2010. SP 500 around the 1000 mark at marts would be perfect for my current positions.

Current value of the VIX (SP 500) index seems to be low compared to the past. Apparently this indicates that implied vol of the price model for options in general is also low. What are you expectations to the VIX levels for the next 3 months?

I use calendar spreads and it is really a theta game where you can collect the time value, and if everything goes you way the hole sold premium, given that the short will expire under the strike. If you sell against a longer term security, you can roll the short each month and hopefully generate...

Thanks. In this case it seems that Delta is the primary consideration. If prices move due to change in impl. vol. one could re-evaluate.