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I think what Tsk is saying is that in the event where you need to close it fast (i.e., because it spikes, and your other positions went against you) that you will be facing both wide spreads and much lower prices than you are expecting. Everyone expects mean reversion in the VIX, so a spike now...

Actually, I think that by and large agriculture-related government data releases primarily act to limit opportunities in the markets by disseminating information. If you are willing to look there are highly regular reports on local spot prices, plantings, yield expectations, weather, etc. That...

That is basically the stuff I look at now... though not every single opportunity since I have a full-time non-trading job. One other thing I would add to that list is under/over-reactions to news events. Problem is being wrong on delta in these cases makes being right on vol kinda worthless if...

That's certainly a possibility. One problem with the agricultural stuff is that government interference makes stuff really hard to predict.. talk about regulatory arbitrage if you could actually figure it out. If I only I could figure out a way to make large bets against farm land in the coming...

I didn't mean to give you the wrong impression - I am definitely not sitting on a pile of money. Mostly I am just super aggressive with putting money in the retirement account (super limited in trading), and my trading account is last on the list in terms of discretionary funds. New house and...

It's rough for retail. With my small account, I basically feel like I can only make delta bets. Problem is, I feel like I have a much better intuitive understanding of vol because of my background. I've essentially stopped trading the account... just have to wait til I save up some much more...

Funny you mention newly rich farmers. There are definitely those, but there are also a lot of highly leveraged folks entering the farm business following the recent regime of high ag commodities prices, expensive farm support, and inflation of farmland values. New farmers in particular are a...

Makes sense. Demand for meat, meat-related and dairy in China is huge and growing as incomes increase. I brought up cotton because they have a governmental policy of stockpiling, so this has gone beyond organic growth of demand. One of the cotton farming extension guys from UGeorgia told me that...

I wonder which commodities. The chinese government has been wreaking havoc on cotton for quite a few years. Anyone long cotton would do well to know that the price can go through the floor if they decide at random to start releasing their stockpile. I know there are also strict...

I imagine both are rather capital intensive as well, at least relative to most smaller retail traders. It seems to me that unless you arrange an options trade to be near delta neutral on its own, you basically need portfolio margin to be able to delta hedge a reasonably sized position in any...

Path dependence at its finest! :cool:

Martin - If I may ask, how did you end up in the world of interest rates? I am always interested in how people came to be drawn to certain products or working in certain areas. My interest in options, for example, comes from a background in insurance and an academic focus on risk and...

I think FX's point about buying these rather than selling has to do with the variance of returns. You can't really call it 8% return if you stand to lose 100% fairly often. With these type of plays you may want to think of them as bets and call the payoff odds instead of return. "8% return"...

That's really interesting. Not quite the same thing, but are you familiar with GNI? That one is a high-dividend trust that is guaranteed to go to zero before much longer. I don't think it's optionable sadly. That would be a case where vol pricing would have a hard time handling terminal dist...

Isn't this also kind of the same point you are making in recent posts about regulatory arb and selling naked index crash risk? I think it's really interesting to see the ways in which people explain the overpricing of crash risk. There are those who say it's regulatory arb, those who say it's...

Martinghoul - can you elaborate? You mean scenario analysis like volatility cones? ...or just many repeated simulations with tons of different assumptions. sonoma - I have a PhD in economics and am a professor (non-finance) by day. I don't believe in most of the models in many ways, but I do...

I don't see what's wrong with people trying to make money. Some of us also just enjoy mathematics for their own sake. :p That said, one doesn't have to believe in the models to take advantage of them... and I don't think any of us here would bet the world economy on them. No tricks of the...

This thread is intended to be a serious version of http://elitetrader.com/vb/showthread.php?t=227873 without the flame war. So I think we all understand (due to atticus' quote, and sle, and others...) that you need to have some kind of edge in predicting vol and/or direction to be...

Not exactly, though it's probably better to treat it this way if you don't know what you are doing. In fact, probably best not to sell puts in general if you don't know what you are doing. The initial margin requirements at OH are: Long stock (>$3): 50% Short put: 20% of the underlying...

Sure. You could do it with as little as 5K with OH. You just have to sign up for a margin account and convince them you have sufficient assets and option trading experience.