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If q is a continuous dividend yield, N'(x) the density function of the standardized Normal distribution, sigma the volty, S the spot, K the strike r risk free rate and T time to maturity Gamma=((exp(-q*T))*N'(d1))/((sigma*S*square root of T))...

Hi Rosy, I'm sorry but it's wrong :D Theta is "minus" the first derivative of an option with respect of time. Because the direction of time scale. It's not an increase in time as usual for a derivative calculus, it's a time decrease. Maturity tends to be zero. Regards

Hi jenek-cowboy, For a black-scholes theta, if interest rates and volatility are constant you will have: Time decay=interest received on cash equivalent of portfolio value - (0,5*variance*square asset value*gamma) cash equivalent portfolio is: Call value-(delta*asset value) hence...

You feel hurted, lonely? Need someone to speak with? I'll try me best to help you. Yeah yeah yeah, I insist, you definitly need someone.:p Hi xflt, How are you? Some problems? You want to talk about it ? Here you will find a lot of blank pages to express what you feel. Feel free...

Hi Dmo, I understand what you mean, but I respectfully disagree. Because every spread strategies are based on time space, you could be finally right and blown up. Spreads are built on the same time. Do you remember for sure early 2000's dotcom companies. A lot of them never show a single...

Hi Rudolf13100 "I understand that the bet would be that the historical correlation between the two will last." Yes, that is. (IMHO) "Before entering a position we would have to understand why such a correlation has been observed in the past and whether the fundamental circumstances...

xflt, "Many ISP’s offer dynamic IP service, in fact Comcast does it for free, has nothing to do with fancy technology or James Bond." ...wonderful... "You seem obsessed with Sellin’ as far as I am concerned that’s an issue between you two, makes no difference to me LOL"...

xflt, "You may beg all you like it makes no difference to me. Are you trying to imply that it’s difficult to have a dynamic IP set up? " Sure, It's usual to bring a James Bond's dynamic IP set up to talk about options on ET. Another conspiracy ? You need to stop reading Grisham's novels...

Hi xflat I understand Xflat. Your friend sellin' quoted you as a reference, I broke his little back legs, and you now come back to save his honor. Nothing wrong with that. Sad? no, useless. I sent you a PM, begging you to ask Chiguy to confirm or not my IP is different from rft's IP...

Sure. Try in JPY or in euro.:D ( I'm kidding) OP, some exotic option premiums on OTC market can be paid at maturity. That means you pay nothing since you make the deal, but at maturity, you will finally pay the premium (plus an interest)whether the option would be in or out. It's often a...

My inspiration...:D :D :D

I was inspired...

"Well sure the correlation could break down. Sure the spread could power through the previous high or low without pausing or hesitating there. But that's not typical behavior, not in my experience at least. Of course it happens, but if you're not going to fade the edges, the extremes, then...

Hi Dmo, Interesting post, I respectfully disagree, so we may "swap" some points of view. " When it gets near extremes, you could definitely fade it and the odds would be on your side" Why? I mean how could you be reasonably sure that the odds would be on your side? Extremes couldn't be...

Correct.That's my own opinion. There is no such a thing. Correlation factor is just a past historical statistic, that means, no one would bet his life on it. The correlation between the two indexes is only a flow correlation. It's a very weak one. Thus, if for any reasons people don't think...

Hi Rudolf13100, My 2 cents. If you want to deeply understand the correlation between the both, you need to take a look at the correlation between the two underlyings.(dax as a european proxy for spx) As a matter of fact, managing a position like a long/short fund is really something very...

Hi Rivercode, The most part of the models used in finance are based on the relationship between time and variance. (variance is the square of volatility). So, the more time you got, the more variance you got. Intuitively, it means the more time you have got the more an asset could have a...

Hi sellin' "if there was any doubt to who you are and what options trading knowledge and/or profitability you may be capable of; it has now been confirmed." It's obvious.... " all one would have to do is read your plagiarized quotes from google to your childish youtube and lonliness...

Hi Sellin' I definitly hurted you, I'm sorry. I didn't want to be so rough, I apologize. Let's start it over, we were on different ways. Hi, Sellin' How are you. Fine I hope. So, no wife, no girlfriend ? Well, ....try a dog

Agreed Maw Ps:Excepted for "direction of the underlying", cause every options are path-dependent.