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I guess this is important since vol is mean reverting. My question is, what data do you use to calculate it? Like say I took the daily HV30 to get the mean. Is that going to tell me where vol is going to revert to in the next 60, 90, or 180 days? No right? Is it as simple as using an HV that is...

this is what happens at expiration: PnL @ 59, u keep the 150. if stock rises to 61, PnL is now -100, since u are short 100 shares @ 60. aloha

I apologize for the incorrect info, I was unaware of that. Thanks for the update.

You keep the premium. The stock needs to close under 150 in order to have the stock put to you. After hours pricing is immaterial.

minis could be a total failure, but they could also be a real success. they have been getting a ton of hype. weren't weeklies supposed to flop in the beginning also?

i understand that arb these days is impossible. i just wanted to test that a call fly and put fly are worth the same amount, and i was unable to do that. seems like arbitrage is so off-limits these days, it's not even worth mentioning in textbooks anymore.

Thanks 1245. Can you tell me the difference between theta/$theta? Natenberg's definition seems identical to the standard theta.

I'm 31 and a CPA. Wish I started learning this stuff when I was 20, I would much rather be a market maker. I am a bit of an academic (have a master's in taxation) so the theoretical/academic books I enjoy. But the goal is still to learn things that can help me succeed in the options world...

i get $delta. natenberg brings it up in the chapter on intermarket spreads...therefore i presume it was created to equalize instruments in two different markets; regardless, it is the rate of change in option's value for a 1% change in underlying...$gamma same thing....change in $delta for a 1%...

i just copied these #s into a spreadsheet to show u what i meant. they were taken directly from livevol's last trade price and theoretical value. i haven't done any of my own modeling yet. bid/ask spread is wide, so i guess their theoretical values are open to interpretation. however, i didn't...

i see bigger differences using last trade prices and smaller differences using theoretical prices. here is a screenshot using Mar22 options

atticus if annualizing naked put returns is inaccurate, then how do you evaluate them? do you just eliminate the last step (annualizing) and base your decision off that?

Natenberg says that a call butterfly and put butterfly with same strikes/expiration (European) should be worth the same amount, and that if they don't, buy the cheap one, and sell the expensive one for a riskless profit. So I checked out SPX and VIX, in both scenarios the put fly was worth...

so what is everyone's take on the impact minis will have early on? u figure, there will be alot of call writing and put buying from the average investor who holds 10-90 shares in these equities. is there anything to take away from that? like maybe all that negative delta will forecast a drop in...

Are any of u thinking, ok, now baby investors are playing with options, this should translate into a killing for us?

What does COB stand for?

Call up your broker and threaten to leave them on the spot if they don't grant you options approval. Or you could always lie, which is what most people do anyway. I remember when I first started on thinkorswim, and was denied level 2 (couldn't buy calls or puts). I called up TDAmeritrade and was...

if u have a large delta, let's say 500, that means that it's acting like 500 long shares, and if the stock goes down, you will lose 500 bucks for each dollar it goes down. if your delta is -500, that means it's acting like 500 short shares, so for every dollar the stock goes up, you will lose...

AAPL order flow...

Here is a screenshot of yesterday's order flow in AAPL. I have a specific question regarding "net premium" and I'm also interested in any other things to look out for when interpreting this information. Here is Livevol's definition (and example): Net premium: The overall premium position...