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the not so dirty way would be a correlation study. This way you could figure out how many front vols it takes to imply a 1vol move in a longer term. Like when the 6m jumps from 30 to 31vols how many vols is the jump in the 1m. This differs a lot from underlying to underlying and is not static...

yes it would. ToS and other analyzers asume constant vol over all terms which is why everyone thinks of calendars being long vol (since the longer term has more vega). However, if you watched vol of vol over various terms, you'd realize that 1m vol probably goes from 20vols to 30vols and back...

You usually select a reference month to weight your vegas with. Let's say you're long the 60 day and short the 30 day while the 30 day is the most liquid one. Then you use SQRT(referrence/day to expiration) x raw vega. It's a very dirty calc but it helps a lot when dealing with multiple...

TOS calendar vols are just additive for both terms without root time weighting. Not very useful, but as @guru mentioned, you can adjust each individual term to shock your book

all of them

If all they do on this exchange is replicate the book of the large contracts you're better of trading the large contract. What non price sensitive players do for you is to give you fills as well as favourable price dislocations that a small fry can exploit. A MM is only trading at the market if...

They use this technical term for a reason. A MM is always hedged as they are not looking for exposure. A commercial has a position that is hedged against warehoused commodities or financial instruments. Here all you have is a market maker trading against retail and you know how that ends...

No. They're categorized as market makers or locals since they don't provide any directional flow (i.e. use the product to hedge physical)

Cool...so it's an exchange set up by high frequency internalizers to attract retailers to trade against. It's a bucket shop disguised as an exchange as no commercial player will ever trade these flimsy notionals

Yeah, it should read 10.10...it was a typo :)

well...all you need is calculate the ooptionality, which is 20ct for the put (39-1.90 - 37.30) and 40cts for the call (37.30 - 36 -1.70) and that's the premium paid. x10 and you lose 600$ between 36 and 39. It's a synthetic long strangle (long 36 puts and long 39 calls)

charles cottle: options trading the hidden reality.

That would be my take as well...that and the 25delta fly (25d put vol + 25d call vol -2x ATM vol) But that's for individual names. In order to compare it across the board, you'd have to normalize it. On the other side, I would not want to compare different index skews without taking implied...

I love this. It sums up all the things you must not do XD

That's why a vertical is out of question, it needs to be a fly. Otherwise you would fall victimm to serious skew deltas. Also, you need to manage positions somewhat, especially when the underlying moves towards your long strikes. the right ratio is pretty easy. You need as many vegas on the...

new account, 3 posts and shilling binaries...I see what you did there, bro

I dabble around with butterflies a lot. It's my go to position for trading vol together with the risk reversal (which is basically just half a butterfly). When I trade vol in a single name I always have some sort of vega neutral fly i.e. more wings than body. Recently I was asking myself where...

leaked...have you looked at the date?

In the end a couple of guys like him pay the big boys. I hope they stick around. https://www.docdroid.net/5gM68EW/barclays-us-equity-derivatives-strategy-impact-of-retail-options-trading-pdf#page=20

I have to unfollow this thread...