Search results

In my limited knowledge what I understand is this, the higher the DTE, higher is the chance of underlying moving. Hence, MMs pricing in higher IV in longer DTE options. As for delta, ATM options has highest intrinsic value. But question is, is your plot for call or put? If it is for call, your...

Thank you for this insight. For day to day trading, should this be automated, or just check for deviation with some mental math looking up and down the chain or term structure?

Can you suggest some good ones? Synthetic and overall options. In another thread you mentioned books that people usually avoid and hence don't get the true nature of options. Looking for those suggestions. Thanks in advance.

@guru great thread. Never looked at DOTM strangles for such positive Vega play. Got couple of questions. Hoping you can answer them. 1. Seems like you are doing positive theta play to offset the cost of the positive vega play. In your experience, if done in low IV environment, does the positive...

Thanks @destriero. I guess I was completely missing the change in vol with time aspect. This makes sense.

@destriero intra day or even one day to the next, how can we know if volatility is high enough to short it. Is this based on experience on SN or index? Do we create a database and try to guess based on previous ups and downs? I am thinking daily IV may be below or above HV but may still have...

Ok thanks. I am not familiar with linear models. Let me investigate that a little bit.

@TheBigShort, thanks for your reply in this thread. I have a supplemental question. How often do you create these models for a particular instrument? I mean the models probably change everyday very slightly if you consider even the EOD data. Is it the idea to have them automated so that they run...