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hi drownpruf, do you mean put vs atm skew constant and fwd does to short put strike or considering continual skew evolution (most likely skew steepening) as fwd moves to short put strike?

sorry posting image for the first time ... https://www.dropbox.com/s/srtd7zzwa7gbfbg/Capture.PNG

trying again

yeah so there is a mtm vega loss on an existing trade that shorts IV/RV using the previous ATM strike. And so eval whether to just hold this strike and/or add a new atm vol. research usually plots all kinds of constant maturity research. skew, vol, iv/rv, etc. sometimes they show that its...

thks, sle. took some time to understand you eqn and prob thats y its "stupid" qn hahah. i think that its also highly likely that ATM vol will slide up the smile when fwd moves quite a bit over the lifetime and stay there or jump suddenly and non sticky strike vol moves thks for the tip...

thks for your explanation on using otm options, TskTsk Yeah i had a similar concern about trading constant maturity and atm strike as well. or using these to compare cheap/dear as passage of time will render the historical comparison less valid Here were some questions I had with using...

some silly/stupid/bothering qns: y cant we use high downside puts if we think iv's too high vs rv? is it because if spot ever goes there, it wouldnt be sticky strike. the variance risk premium will likely shoot up causing iv to spike as well causing vega loss but if over lifespan rv come...

Hi sle, This one? Prices of State-Contingent Claims Implicit in Option Prices. Douglas T. Breeden; Robert H. Litzenberger. The Journal of Business, Vol. 51, No. 4 (Oct., 1978) http://faculty.baruch.cuny.edu/lwu/890/BreedenLitzenberger78.pdf would the pdf be smooth if you use flys? in...

Hey thks, FXforex. That's very helpful! I should spend more time understanding the website! Cheers, lcs

Ah ok i didnt notice about the ads part. Makes sense. Thanks for your reply. Will live with it :D

Hi Baron, here are some advantages that i can think of: 1) when all the posts are in the same page, can use the find function to scan through for keywords. 2) its much more difficult to go back to previous posts in the showthread view and its a matter of scrolling in the printthread...

Hi, After the website upgrade, the printthread view cannot show more than 40 posts. I tried using pp=200 in the hyperlink but it is still limited to 40posts. Is there an option to list all posts in a single thread. The printthread view is much easier to read than the showthread view...

seeking help to resolve the following for example, using ITM VIX puts to short VIX futures pros 1) limited downside on the way up 2) if VIX spikes, some protection from vega pnl cons 1) large bid ask spread 2) loss from vega pnl, gain from delta if delta view is correct can...

SPX vols down after the gd NFP and unemployment numbers. Are upside vols a buy now as a play on next week FOMC?

can see your trade on 10:15:41 10x @ 25.75 :) legging in slowly? sadly only vix futures are liquid enough, even v2x takes a long time to leg in

Danke! I will check out his work.

question about backtesting: lets say the algo enters an option trade but subsequently the underlying moves away (either otm or itm) from the option traded and there are no prices available. how do you calc pnl and risk then? 1) use exchange settlement price? 2) extrapolate the vol...

My question was why is it (BD(e1)-1)/252 : 1/252? And not (BD(e1)-2)/252 : 2/252 or (BD(e1)-3)/252 : 3/252 or so on? If your e1 and e2 is large enough, the 2nd term becomes less significant. In this case, the vol term structure would have been flat thanks! this addition of variance was...

Compared to 5D expiry, 1M vols breakdown between event and ambient should place more weight on events vols rather than 1:19 (assuming 20BD). Maybe 2:18, ..., 5:15, ...? depending on the events within the 1M period. Likewise for 2M vs 1M. Am I misinterpreting something here? thanks.

thanks, sle. I still prefer the approximate method only on very short dated options since forming the 2 linear equations would still require personal judgment on the weights between events vols and everyday vols.