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I'm sorry Dmo, but you're still looking at short term options. The way you analyze datas is biased because you don't count roll overs and already closed positions. Be careful it's implied in you comment that people hold the positions to the maturity. It's wrong. Don't you think that skew can...

Hi Dmo, It's very interesting. I've got some questions 'cause I think your way sounds interesting and pragmatic. -How that way would you explain a smile? -Options are traded since 600 BC. CBOT released puts around 1977 (there were only very active OTC markets before,... just like...

Hi hlpsg, If you only got historical prices I can help you to compute those on an Excel spreadsheet. It wouldn't be difficult. Cheers,

...be my guest..:D

Sorry Coach, I didn't want to disturb. As everyone I need to learn so I just reacted to what you stated about volatility. I never mention that you promote selling short option nor that you made an argument about call/put inefficiencies. Thanks for your answers

Hi xflat Nice to have you here. Someone is waiting for your answer over there: http://www.elitetrader.com/vb/showthread.php?s=&postid=2036458#post2036458 If you got time...

Hi Dmo, "That would seem to make sense, but history shows otherwise. It has never happened that the market made a sharp move up and implied volatility increased. Never." Never. You can' t be serious. Large increase like 1999 and early 2000, bound around 7% a day on index without an...

My point is, for sure whether the market make a big gap up or down, there will be an implied volatility increase. Broadly the same risks for calls and puts. But a continuous slide to a short put seller is much more better than a continuous rise to a short call seller. For stock indexes, due...

I'm sorry but it's wrong. Volty is largely sensitive on short term maturity. For long term maturities, volatilities don't jump. That is why you have a bigger effet when it change, a much bigger vega. 'cause it won't change easily. Coach, don't you think as far as you will be deep in the...

No, no I'm not asking about exception. I was just thinking about your example, and I wondered if, for the same purpose, selling short put wasn't more appropriate? 'cause of the higher volty level sold, a directionnal risk boundery , mechanical decrease in vol if markets dropped, same theta for...

No market jump, but a substantial increase I meant.

I understand you point of view, but for the same reason of the skew typically found on index, don't you think that no jump but a substantial increase on the market will hit your position by a mechanical increase in volty (no volty explosion)? Regards

No, no, I have well understood you do not advocate selling short option. My question was about volty: why wouldn't you have at least to worry about a volty explosion in most cases? Regards

Hi optioncoach, May I ask you why ? Thanks in advance

Hi, I'm sorry but buying options is not as risky as selling options. You're confusing probabilities, expectations and assumed expectations for a pricing model, that basically has to be fair. Reality is not, and doesn't have to be. Even if the uncertainty for future is the same for a seller...

Hi guy990opl, Don't need to reply if you don't want, I just want to show you something. Take all I say as friendly as it's been written. That's very interesting. Now imagine there is no theta. Theta doesn't exist. Imagine what you (we) called theta was just a volatility decrease (plus...

Hi I'm not here to tell you which strategy is the best or not. But it can be useful sometime to stress people about tools they got to manage their risk. "I can precisely tell you the probability of an option hitting my strike price at any given moment." No you can't. You are able to...

I understand what you mean but the point is naked option selling is a skew game. You can' t base a business on a skew game. Take no offense, but once again, probability doesn't mean a thing. It doesn't exist. You just can think about eventualities and related payoffs. Eventualities are what...

Hi Guy990opl, I respectfully disagree. You've just make little a mistake. The problem is not about probabilities, it's about expectations. You need to put the pay-off in your formula. If you make 100 times 1$ and once you lose 150$, you finally lose 50$. That's because there is this risk...

Hi RedDuke, Please be clever don't follow blindly what a scenario seems to show. When things go wrong, even with european style options things can be worst. As you write put, you have to take care of some risks. The market drops and you need to meet two choices: -You wrote american...