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Full order book feed is nice but realistically, there very little benefit in paying for it unless you have the infrastructure to play low latency games. The feed itself is fairly affordable, especially if you concentrate on a single-listed product (for example, CFE full book feed is 3500 a month...

Out of curiosity, like what? It's all listed, so I'd imagine it should be somewhat of a level playing field. Not that I would be surprised that "free" brokers are saving something on their market feeds. PS. I was musing yesterday that Robin Hoods effective function is the opposite of its motto...

@taowave i took a clip off to make me feel warm and fuzzy. However, I kept most - my thinking was that even if we start dumping again, Vega is not gonna catch the same bid as in early March. Short positions in all the taily shit have been blown out and a lot of the vol demand was their unwinds...

Or delisting for a delta-hedged position etc. But your point taken :)

Yes, it's nice to be long both gamma and vega in a violent selloff and nice to be short both in a slow recovery. Just like it's better to be rich and healthy as opposed to sick and poor :D PS. I do have a bit of Dec 3000/3400 ratio CS from mid-March, so in a sense I do have that position on...

It's interesting that both of us (you're an an EQD trader too, I recall) dismissed the idea, for similar reasons and off the top of our heads. I did so when I was walking the dog last night and I was VERY baked, so that's my excuse :) This morning, I actually priced Dec 50d/25d c1x2 as of Feb...

Yeah, it's the equity derivs standard and it's a picture of linear skew. Makes it easy to approximate stuff like var swaps and makes an easy comparison between indices or stocks. In rates (I started as a IR swaptions market maker back when rates used to actually move) it was something like...

Dude, I know that that gamma would be long at inception (oh, and you probably would be bleeding a little bit at those levels). Depending on the expiration, you gamma would be really long to flattish and yes, you would be long vega. You gamma path is going to depend on the expiration. What...

I misread his explanation, I thought he was looking at the vol difference. The skew has flattened, no question about it. But no, it's not an industry standard, SK10 is what people usually talk about when people discuss the skew.

You probably mean your 1x2 would have killed you, right? Short gamma would have been the main source of PnL. Because of the negative dVega/dSpot, your Vega gains would be a mere afterthought, in fact you would have probably net LOST money on both gamma and Vega, depending on the maturity.

Did you play that at all this time around? Mid-march you had Dec 3000/3400 strikes trade less than a vol apart.

@Matt_ORATS, the reason why you see the ratio between the volatilities wider during the selloff is that vols go up and thus deltas will be further apart in the strike space. If you want to look at the skew dynamics using volatilities at specific deltas, you should normalize them for the overall...

Credit funds are hedge funds that focus on credit. It's a diverse set of strategies, some people do distressed investments and restructuring, some people trade single name, some people look at structured deals etc. The broad theme is the the companies access to leverage, be it loans, bonds etc...

Dude, you really think nobody out there knows how to price options using normal assumptions as opposed to log-normal?

Not sure, there might be some free resources out there. In any case, you can proxy it by looking at corporate yield minus the treasury yield. You'll be off a little because of the bond/CDS basis but you'd be close enough.

Yeah, I recall that one of the airline put buyers was actually hedging a large long position in the stock but not much else. Theoretically, yes, but in most cases they use cash bonds instead of the CDS. CDS does not carry as well due to the bond/CDS basis (which is, in essence, a cost of...

A big portion if not most of the far OTM puts on single names are traded by the credit funds involved in stuff like capital structure arbitrage. There are standard ways to derive the probability of default from the equity option prices, in fact it takes fewer assumptions than back it out from...

While it's a reasonable product, it certainly is not cheap for a retail user. Buying data directly from CBOE is probably a better way to go, especially if you are trying to do something a la carte (e.g. if you only trade AAPL options).

The general idea is that if you have a good call on the price of the underlying security, volatility is only important when thinking about the break-evens.

ATMF delta is slightly over 50 (best way to think about it is that the stock can go to infinity but can’t fall below zero). As a result, when you are short an ATM straddle and long a strangle, you are going to be gently short delta.