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It's interesting that the vix futures have traded at a premium to the cash for some time now, and continue to do so. I would suspect that will reverse before this down move is over. I would think about going long the S&P 500 when I see the cash vix trade at a healthy premium to the vix...

I am reliably informed that the author has his reasons for leaving that to the reader's imagination!

Maybe buy them. That's what Jimmy Rogers thinks. I saw an interview recently where he said he's buying airlines. The interviewer was stunned. She pointed out that many are going out of business and everyone's bearish on them. He laughed and said yes, that's exactly why he's buying them...

There's a good article on gamma scalping that appeared in Futures Magazine, at http://findarticles.com/p/articles/mi_qa5282/is_200709/ai_n21255481/pg_1 written by a very brilliant (and handsome) option trader.

Walt, I never think in terms of named strategies like condor, fly, xmas tree, etc. For me an options play begins with noticing an anomaly in the volatility pattern of an options contract. Assuming that anomaly will not last, how best to play it? Let's say for example that normally the far...

Last year at the show in Chicago I demo'd a high-end option trading system - the one the MM firms use. I was interested in its capabilities, but all the company rep wanted to talk about was how fast it was. It can't be hooked up to the internet like most systems - you need to be directly on a...

Yes, wow, beautiful, thanks, that's exactly what I'm looking for. Holy crap, that's some move. MYGN is about 47 and I'm good up to 145 - now I wonder if I've given myself enough leeway!

Magicz - do you know of any site that has a calendar of past (and/or future) such phase III announcements? I would love to go back and see how premium behaved before and after other such events. Any other sources of info you can recommend about this sector would be much appreciated. Thx.

If this was futures, then it would surely collapse no matter what the news. That's what always happens when a skew reverses its normal pattern - you can fade it with confidence. In other words, the otm calls becoming so incredibly expensive is a reliable indicator of excessive bullishness...

Thanks. Off the top of your head, can you think of any other similar FDA events within the last few years? I'd like to go back and see how they played out. If you can think of the name of a company and the year and approximate month - or the name of the drug - I could look it up. Do...

Great info. Thanks for your replies.

Most stocks have an options skew such that the lower strikes trade at higher IV's, and the higher strikes trade at progressively lower IV's. A remarkable exception at the moment is MYGN. In every month, the higher the strike, the higher the IV. I know that they're expecting a big...

Is there any easy way to get the next ex-div date and estimated dividend for any stock? Thx.

Amen to that. For all you options learners out there - it's all about structure. Think: where am I long premium, and where am I short premium? If you're short premium at or near the money, and long premium away from the money (both up and down), then you've got the "optimal position" that...

Exactement. The most-traded futures contract is called the "front month." The "rollover" is when - shortly before expiration - people who have a position in the front month get out of that position and take the same position in the new "front month." If you were long the September and...

Just saw this thread for the first time. Let me add this little-known fact: If you are long the wings and short the middle at a ratio that makes you premium neutral, then as IV rises you get longer and longer vega, and make money. As IV drops, you get shorter and shorter vega, and ALSO make...

Sure. Let's say there are 100 days remaining until expiration. Compare two scenarios - one where the ATM xyz 100 calls are worth 3 (higher implied volatility), and the other where those same calls are worth 2 (lower implied volatility). In both cases, we know that in 100 days that call will...

Your vegas, thetas, deltas and gammas also change constantly. So a more accurate (and easier) way of calculating p/l as you simulate positions and play "what if" games is to input the new variables (days remaining, underlying price, IV), calculate the new values of your options, add them all up...

There are a zillion free option calculators available on the internet that will calculate theoretical prices and greeks. Just google it. CBOE has at least one. Somebody was kind enough to post an Excel spreadsheet with option functions in a thread here just yesterday or the day before. There...

Thieves are a lot cleverer than the bureaucrats who make the rules. So any incentive to steal will always trump any rules put in place to thwart the theft. I notice that IB charges me lower commissions if I use their "smart" order routing rather than specifying an exchange. Your post makes...