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what's your problem? you're dropping this line over and over in this forum (check your own posts). people are here to ask and learn, not to be bullied by some toronto dick.

Sorry IV, I completely concur on IV/price inv correl, but thread starter clearly states he predicts HV using a neural net, presumably from just price series. Even if one could predict with 100% accuracy, say actual vol during the next 30 days, there is no trading vehicle for this...

I did an unscientific quickie on correlation between HV and price (daily close). Attached QQQ with 60-day HV and 1-year correlation. Pos correlation during 2001, but just as neg during 2003. Tried diff lookbacks etc. but bottom line: corr all over the place (i.e. long-term irrelevant)...

This is not contradictory at all, is it? I mean the '87 crash *confirms* the statement....? That said, let's not forget the man predicts HV (RV, stat vol), and not IV.

You are using index vol and implied vol (of index options) interchangeably and apparently you realize that. If there is indeed a (empirical, not theoretical) relation between index vol and direction then I admit that’s news to me.

have i lost my sanity or is this the looney board?

Good for you neural but eeeuh, how does this work? Say you can predict future realized vol 100% and just trade the underlying. How do you profit?

Exactly my thoughts. And just the thought of doing the calculations makes me reach for the aspirin.

I meant replicating a log contract by himself. Why can't that be done?

With your math background, you must know about variance swaps? With strikes at each dollar and penny spreads like on QQQQ this may actually work out. I haven’t analyzed it, but it is very interesting.

N(D1) = NORMDIST(D1,0,1,TRUE) N'(D1) = NORMDIST(D1,0,1,FALSE)

PM'ed

Tell me how you know that and I'll tell you how to stay in the trade.

These are two very different things, for example there can be a 5% price change either on low or on high volatility. Future volatility is essentially independent of price change: the upcoming month can be very volatile while at the same time there is no price change at all (between today’s...

Our Roman alphabet just does not suffice for consistency in the strike price code. They are working to change the symbology: http://theocc.com/initiatives/symbology/symbology_initiative_v1_3.pdf In the meantime find some comfort in the expiration month code being correct, always, afaik.

No offense please Leeor, it's not your english, it's what you're saying: Now admit it: you're pleasantly drunk! Cheers!

lol yu ar frogiven

OP just can't handle the simplicity of a short-term ATM (slightly OTM). The one position that will do better is to double it: double-the-delta on one side, still ~ 0 on the other, exactly, no: EX-ACT-LY, what OP is asking for. Any spreading will weaken it. I rest.

you a stubborn man.

If I understand correctly then a short-term OTM option fits the bill. In this gamma pic with the stock at ~ 35 or 45 this 40 call or put (respectively) has flatland on one side and a mountain on the other, especially close to expiration (at Time = 100). Take this to the extreme by buying...