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Hi forex-forex, Are you sure about that? I thought it was to sell the CAD against USD but I'm really sleepy now, I may say something wrong. Correct me if I'm wrong.

Hi Jason Which one, from which period? How did you do that ?

I agree but you got here "naked short selling" that is a kind of SSF LOL :p

If it exists...but it will be interesting to see behaviour a stock you can't short sell and its future. Future price won't behave as usual because if future price decreases, you won't be able to buy it and short sell the stock. Relationship between both would be flawed.

Basically, if you can't short a stock, call put parity doesn't hold anymore. It will be hard to delta hedge short puts and long calls. :)

If one can't know whether an option is expensive or not, it would be hard to say if it's cheap. Do you ? It's Okay, I'm drunk too.

Hi Mark, Take no offense, but the risk between CC and long the stock, especially for short term options, is somewhat the same. In fact, if one takes john's numbers above, risk on 100k pure long stocks strategy and risk on CC 97k or 95k are alike. If the underlying drops 30%, it won't be...

Hi rallymode I don't trade VIX but I would like to know how do you simply replicate VIX spot ? IIRC to hedge Vega exposure of an index book, one (professional) used variance swaps. It's something somewhat difficult for a retail trader. So how do you hedge an index book with VIX future. Do...

Walt, Without quoting Taleb, options probabilities are built on "risk-neutral univers", not real one. Take a look at some examples of option models, you will see that we can' t know real probabilities. So the numbers you got extracted from option prices are basically quite wrong. But you...

Hi Walt, Before trying to answer your question, take a look at what probabilities you refer. How are they computed, underlying assumptions, in which "univers"... You then would realize that probabilities mean nothing (see gaps, jumps, crashes...) and the main point is costs and common sens...

I was thinking about a replication of VIX, that could be built on the same framework it's done. 'sure it could be little bit more complex. I don't trade VIX, so it was a question, not an answer.

If you just take a look at expiration, why don't buy a cheap 36 call (with future around 26) and sell VIX spot at 36.22? A synthetic put hedged on spot, not on future ( sure you got a risk before expiration that future won't up and VIX jumps, but if one got cash enough to hold position 'till...

Sorry Mark but since maturity can be different for call and put same strike same expiration date, parity doesn't hold. If parity doesn't hold, implied volty won't be strictly the same for put and call.But would move in a range. It doesn't mean that risk are higher for CC or NP, just prices...

Hi Mark, Since you seems to give helpful and useful advices, just my two cents. (I think it's what you thought but didn't write :) ) A covered call can be seen as a naked put only for european style options. Be careful with indexes and stocks. Since one can't know when american puts or...

As you want, I will ... :) But, you started a thread about skew and I will quote the guy that is, throughout the world, known about that: Emanuel Derman. So if you want some pictures about volty surfaces that have changed read thoses courses, you can skip the maths (I would explain it as far...

Hi nitro Please don't. :D If you read some posts of Dmo you know that he got a problem with words like "always, never, ever, all, every, none..." But he really got a gift how to explain in plain english the rules and tricks to understand option variations. That is the most important...

Yeah, which ones ? I got a little knowledge about option pricing so if you could lead us to understand where it comes from, it would be nice. Thanks in advance

Hi panzerman, It could be interesting to show how do you derive your formula. Could you please explain it? Thx

More than this, you promised to understand storage costs, and that's awesome..... :p

Are you quoting my "models bible" Dmo? :D ( very good example though)