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Here ya go.... http://www.vbnumericalmethods.com/financial.asp

None to my knowledge.

Long or short, I set a delta stop. This incorporates time, and IV, and spot. For example, go long a 0.30 delta call, close out if the delta touches 0.20.

Everything you need to know is written in the BS equation.

Rosy The basket is determined by either price or capitalisation weightings, or a ratio thereof. I'm also at a loss as to what you mean, but more I'm than happy to be enlightened....

”How do you derive the 19.12% figure?” For correlation between components stocks of +1, zero, and -1 the portfolio (index) volatility calculation is straight forward; Correlation +1 = (Weight x Vol) + (Weight x Vol) Correlation 0 = Square Root of ((Weight x Vol)Squared)) + ((Weight x...

Thanks Electric. I'm fine up until my 2nd bottle of wine. Hic

Don't follow that statement - the index IV is calculated using the BS model (or similar), likewise the components. The (implied) correlation between components and index is derived in the same way that one would calculate the volatility of any portfolio. Edit: Actually the correlation...

I'd be interested in that example.

If all stocks were correlated +1 then yes it would.

Rosy Mean reversion of vol is irrelevant in this case. All what matters is the difference between the index IV and the components IV. Ditto for eigenvalues (whatever that is). ES I trade the UK FTSE100 options and (so far) only from the reverse dispersion side. A 100% replication isn't...

It depends what the index options were trading at. If there was no (zero) correlation the index volatility would be 19.12%. If the index options were trading for more than that you'd have an arb by selling the index Vol and buying the component vol, known as a dispersion trade / volatility...

Depends how stocks A & B were correlated. If the correlation was +1 then yes, the index would have a volatility of 22.5%.

I'm sure it'll dissect into numerous other spreads. Not sure what his point / question / riddle is ?

Roughly a 2 by 1 ratio write for $ 5.2k debit. Short the underlying, but no clue as to why. Some sort of riddle me thinks ?

No idea, but it might help to know the strikes and quantities !

sle Top stuff ! Thanks.

Depends. If you knew Buffet was buying up GooG might be wise to join him :)

Yes, that's the sort of answer I was looking for. Wonder how useful order flow is ?

I don't trade the US market so I wouldn't know what the situation is there. Not applicable, there are no cancellation fee's in the first place. Rather keep it to myself if you don't mind. But there are several UK brokers offering direct market access. It's not so unusual here. We seem to have...