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Are the reinsurers the real bag holders :-)

There's been a lot of discussions on this board about buying vs selling options, zero sum etc. Buying vs selling: The markets are fairly efficient. Without some form of 'edge', ie in predicting implied or realised vol, either endeavour would likely lose money, once including commissions...

May I ask, what was the ATM straddle pricing at around the time OTM 1000 strike was trading around $9. Rough % of stock price is more than sufficient TIA PS input from all welcome.

thanks for responding SoesWasBetter. From what I can tell, there was a choice between either stock or cash (the cash alternative = $8.50). I understand/note the point that if it was all stock or a combination of the cash/stock that the final price would fluctuate as the stock component...

Hello, this is the first time i've seen this. Would really appreciate some insight what has caused this (or any other e.g.s where this has occurred) When i've seen these in the past, the stock trades UNDER the agreed buyout level not nearly $1 over the price ! When I last checked: ANGI's...

Sirius I would strongly recommend taking some time to read (and re-read) newwurlmn's response. There are numerous online option pricing calculators that you can use to help bring it to life. If the stock increased to $55 within 2 hours as per your example, the $50 strike call option would...

Tbh, the information as presented is fairly unclear; may explain why there have been no responses...from the information given I presume you are short the body and long the wings. I'll give it a 'go' on that basis. If your position is short vegas and the position is showing a loss, this will be...

I would suggest google/books as a source to understand what affects option prices. There are a number of consideration IN ADDITION to the movement in the underlying, which you would need to be familiar with. Options are priced in volatility, which leads to option prices not moving one for one...

many thanks for the response and link, much appreciated

Hi LTW Can I ask, is there a best practice method/calculation to assess the skew (expressed as a single IV figure) in a fly/3 legged position? I suspect one method may be to calculate the put and call strike price using the ATM IV and simply compare it against the cost of the fly in the...

I agree with xandman in that there are no magical formulas. Without wanting to reopen what appears to be an old age debate, the expectancy (fair value) is equivalent to doing the opposite. The credit/debit you receive will compensate you for the odds. It is important to be happy with the...

Actually, I would imagine it would be less. Selling an ATM straddle naked will be expected to win 2/3rds of the time (assuming normality (of returns) as LTW says). Buying a strangle will lower the win ratio unless you could put it on for zero cost! This is intuitive as the strangle brings in...

Hi i960, I would first like to say that I very much enjoy reading your posts. I did have one query in relation to the statement: "and during this time gamma of the call position is starting to exponentially increase as it approaches the ATM strike of the call meaning the rate at which the call...

Many thanks OTM & rmorse for taking the time to read and respond to my post; much appreciated. Understood and agreed.

Hi all I would first like to thank many ETers on here who have made a significant impression on my approach to risk management during my foray into the options space through their numerous posts over the years (RiskArb/Atticus , Maverick 77 etc) as well as the very many intelligent posts by...