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I've re-read the article by Taleb and Haug, and I still see only intellectual masturbation. Since I see nothing but specious arguments and distortion in the article from start to finish, it's hard to know where to begin explaining why. But here's a smattering. - One major criticism is...

All right, well, Taleb and Haug are Ph.D.'s and I'm not so if they tell me I only think I've been using these models extensively for the past 25 years and that I really wasn't - who am I to argue? To me, they're just playing games with language - and I fail to see the point. I can play that...

[/i]Be carefull with interest rates you're using. Option models are based on the assumption that, you're able to borrow and lend money using the same interest rate (even for banks it's not true). Are option models based on that assumption, or is that just a common misconception? I would...

I haven't read his books, but I did read a paper he co-authored with Espen Haug called "Why we have never used the Black-Scholes-Merton option pricing formula." That paper is so absurd - and demonstrates so thorough a lack of understanding of how an option trader with any degree of...

Is Nassim Taleb a trader? I thought he was just an academic who wrote silly articles claiming that option pricing models are irrelevant and unused. If he's actually had success as a trader, I'd be curious to know more. Most academics haven't done well in the real trading world. Remember...

Nice trade! You have a few options, no pun intended. You can exercise, lock in profits by selling short the stock, or just sell the options. You're right that when these calls get deep in the money, they have no time premium left. But they continue to have POTENTIAL time premium. That's...

Sounds reasonable enough - pretty well thought out actually. I don't see any reason not to try it.

Samer1 is correct. When the S&P500 goes up - even sharply - volatility drops.

Sounds well thought-out in terms of maintaining neutrality - even factoring in and adjusting for the relationship between volatility and the price of the underlying. So if it's neutrality you're looking for, I think you've found it. I'm just not sure where your edge is. If you were a market...

Stories abound of premium sellers who steadily made millions over the last few years then lost it all and then some over the last month. So far though I haven't heard about someone who doggedly bought straddles month after month, losing millions over the last few years, but stubbornly...

As I've mentioned before, I'm partial to Excel add-in packages that allow me to construct applications that crunch options and display the results in a way that is useful to me. Years ago I started with Montgomery Investment add-ins, but recently switched to Hoadley. OptionVue to me is...

Jonbig - why do you think you're left with "all kinds of money?" I don't see all this free money you're talking about. Are you forgetting that in order to deliver the stock without taking a short position, you have to exercise your long calls? And that once you've exercised them, they're gone?

If you can do without a lot of handholding, it's hard to beat Hoadley. If you need more support, Montgomery Investments has an extensive array of add-in functions available, www.fintools.com. However, it costs many times what Hoadley costs. If you're really a do-it-yourselfer, you could...

Let's say the SPY is sitting at 87. The SPY 87 calls are 6.70 bid, offered at 7.30. Somebody comes in wanting to buy 10,000 of those calls. He buys all the calls offered at 7.30, then buys all the calls offered at 7.35, then all the calls offered at 7.40, etc. By the time he's done, he's...

Not quite that simple. Google "put call ratio" and you'll find a few good articles that explain it. Personally I've never found it that useful. It gives you volume, but you have no way of knowing if that volume is being driven by buyers or sellers of premium. The assumption is that high...

1.24 is correct. That's on the high side, but not extreme.

What you need is option chain capability, and I don't believe DTN IQFEED has this. However, I believe E-signal does have this capability, at least for current options. Not sure about historical options.

Do you want stock option data or futures option data? I believe historical stock option data is pretty readily accessible. I can get it off DTN IQFEED. You should be able to get it from Opentick. Historical futures option data is much trickier. You can get historical time and sales...

Compare it to the IV of options at nearby strikes.

You may be neutral volatility now, but that changes as the futures move. The closer you get to expiration, the more dramatically it will change as the futures move. Usually it takes about a half-hour with visuals to explain this, so it's a little tough in this medium. But look at it this...