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Spin - if I understand correctly, you're inputting into your pricing model an interest rate of 1.5%, while the ACTUAL percent you're paid on your short sale is zero. Yet you are shocked, shocked that the model gives you results that do not correspond to your reality? If YOUR interest rate is...

I wrote a program in an ancient language called Quickbasic years ago, and still use it to this day. I also use Hoadley's options analyzer and Excel functions.

IVolatility has (or used to have) a for-pay service called their "Advanced Ranker" that claimed to do this correctly. But when I actually tried it out, the information it yielded was garbage. Completely worthless. I wrote them an email pointing out what I had found, and they responded that...

Walt, I think you're still laboring under a few misconceptions. First, your statement that "the benefits of gamma and delta do cost (i.e. premiums)." Let's start with the fact there are four main greeks - delta, gamma, vega and theta. Now let's group them. Gamma, vega and theta are...

Walt, in your message you kept comparing a "long straddle" with a "synthetic straddle." You didn't say anything about comparing an option with stock. But if that's what you meant - if you want to compare the advantages of being long calls to being long stock - basically it goes like this...

Where on earth do people come up with such misconceptions? There is a reason that a position consisting of a long put and a long underlying is called a "synthetic call." It is because a synthetic call has the same gamma, same delta, same vega and same theta as a natural call. The same...

Spin, you seem stuck with this idea that carry cost makes calls more expensive than puts. It doesn't. It just changes the underlying price from the current price to the forward price. In any case, it's a moot point. With T-bills currently yielding about zero, you can reasonably use a...

E-signal and DTN IQfeed are two widely-used data vendors. Real-time data will cost more for some contracts, such as ES. If you have an account with IB or others and know what you're doing you should be able to log into your account and tap into their real-time data as well.

You probably just wanna see what's under the option's skirts you pervert! Actually you're right, it's a very rich area for instructional videos. I don't have the time right now but one of these days...

I'd say it's a way of stripping an option position down to its essentials so you can see what it really is and how it behaves. It's like looking at an x-ray of the position so you can see what it's really made of. On the surface a 90 put and a 90 call may look completely different. But if...

I'm happy to discuss flying by greeks or anything else. I'm not sure it merits its own thread but if there's anything you want to know, ask away. I agree with Asiaprop that a retail trader would never want a position with dozens of legs - transaction costs would eat you alive. I also agree...

Forget "greeks as a whole." You're looking for the "unified greek field theory" and it hasn't been invented yet. Vega describes an option's price change in response to a change in IV, theta to a change in time, and delta to a change in the underlying. These are three completely separate...

I certainly agree with the KISS principle and the potential cost of having positions with many legs. But the reason I can manage a position with 50 legs as easily as a position with 2 legs has nothing to do with any ability to juggle multiple legs in my head simultaneously. It's because I...

I'm saying that to make money you have to risk money. The risk is deadly real, all the time. Every moment you are in a position to make money trading, you are in a live fire zone and liable to take a bullet. I can't begin to tell you how many "successful traders" - I mean guys who made...

Agreed. Option spreads offer defined risk, but then so do outright long options. The reason I would trade a spread rather than an outright is because my strongest opinion is that two things will move together or move apart. The spread is not a maneuver to lower risk, it is a way of directly...

Yup, that's really all you need to know. Even during the greatest bull market in history, the greatest investor in history couldn't average more than about 20% a year. The whole idea of "options for income" is a red flag. Any time you see something promising "steady income" from options or...

To get the actual answer, there's no substitute for for a modeling program. But as a learning exercise, I think it's a great idea to struggle with problems and things you feel fuzzy about as Falcon is doing in order to develop conceptual fluency.

I think your misunderstanding is in comparing delta with vega directly. It's true that your delta (55) is a smaller number than your vega, but that has no meaning. You cannot compare those numbers directly because the vega is a dollar number, while the delta represents your position in the...

Whatever course or books or learning materials you buy, really understanding options is a matter of "breaking your brains" over options problems and concepts over and over and over again. No matter how much a course or book spoon-feeds you the info, you will not own the concepts until you...

You're short delta so if the underlying falls 5 points you will make money, not lose it. Also keep in mind that you are short gammas, so the delta will change in the direction that is unfavorable to you as the underlying moves. In other words, as the underlying falls your deltas will become...