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Tony Saliba was featured in Market Wizards. Any comments on this product from his comrad? http://www.tradingmarkets.com/tmu/store.site/daytrading/Courses%20Web%20Archives/6324/

Theoretical models according to Black-Scholes have no skew or smile. However, because vega decreases as time to expiration decreases, I initially thought that the skew or smile would flatten. On a second thought, the value of vega bears no linear relation to volatility, vega <=> d(price)/d(vol)...

IB TWS users: have you noticed that if you buy to open, you buy at the ASK price; but when you check your account, the unrealized profit or loss is not calculated using the corresponding BID price. Instead of the BID, the ASK is used. I think this is misleading. There was one time the account...

Well, why didn't I think of that! It must be the hangover from my home-brew alcohol. Thanks!

Today is April 5, 2007, 10:54PM PST. I am looking at IBM and SPX April options. I notice that the ATM vega on IBM is 0.0707 and the ATM vega on SPX is 1.0841. This is a huge difference. Is there any reason vega on index so much bigger than vega on a component? What about other hedge parameters?

Do exchanges and institutions use Black-Scholes or implied volatility trees or other forms of binomial trees to price options? Just curious.

I had mentioned that butterflies and condors were negative vega strategies. If volatility unexpectedly increases after the fly or condor have been established, would it be wise to wait till the last few days of expiration? The reason is, despite the increasing volatility, time decay must...

Hi all: In condors and butterflies, how does one manage delta, gamma, vega, theta, and the volatility smile/skew/slope? Or is there a need to do so? It seems if there is smile or skew or slope, sometimes buying higher volatility at the wings is unavoidable. Looking at the way volatility...

Thank you all for your insights. I have a few more questions. atticus: You wrote "The SD implied by the atm straddle suggests a $2 range to expiration and you'd like a better return on a defined-risk position with 35% volatility?" My translation of your statement is: ATM strike in my...

Thank you all for your replies. What I am looking for, and what I mean by "authoritative," is a good textbook having understood which one would have the solid knowledge to understand a variety of literature in quantitative finance; the root from which all branches grow. From a practical point of...

Hi all: I have read that many of you enjoy trading butterflies, but I have not found any suitable candidates yet. I want to show an example; please enlighten me what I am missing. Thank you immensely! ----- Platform and data source: IB TWS Options Trader, ivolatility.com Underlying...

I am running IB TWS on Dell with Vista Home Premium. No a problem at all. TWS is programmed in Java, which is platform-independent. One word of caution: If you want TWS to load quickly, you have to remove Symantec Norton virus protection (which came with Dell), or TWS will take 10 minutes to...

Hello elite option traders: I am looking for some "authoritative" textbooks on options. I have read most of the threads on book recommendations on this forum, but few have recommended Wilmot's. Here I have included the links to Amazon.com. Can anyone give me an opinion on John Hull's book or...

Thank you all for your replies. Besides ivolatility.com, which other sites are commonly recommend to get info on implied volatility and historical volatility for the past, say 500, days? I can't imagine calculating IV daily for 500 days. RS

Hi all: I have seen wildly different options Greeks on different sites on the same day. For example, delta for DIA on website 1 and website 2 can differ by 0.05 at the day's closing, assuming they both refer to the delta on the same underlying on the same day. Which sites offer reliable...