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How is this not exposed to IV? Long call = long implied volatility Short put = short implied volatility But they don’t cancel out - you could be whacked from several directions if the market collapses and volatility rises: Loss in premium value on the short put plus loss in...

Thank you, Jimmy. The same to you, mate. Grant.

I was told by as reliable source they also employ astro-physicists, astronomers, Sanskrit, Babylonian and ancient Persian scholars. Why? Their principal strategy is based on ancient astrology as revealed in ancient texts. However, these texts are revised and modified to account for advances...

Jimmy, I thought real-time was "streaming"? Grant.

Jimmy, I've looked at all (?) US and English quote vendors. Then I started looking at European - German, Dutch and Spanish (Visual Charts). Visual Charts is the only one which has what I need in terms of the ability to download, import and manipulate the required data, in the correct...

Mahras, So its all down to size, then? Unless one has mega postions, it adds little – literally and figuratively. Using the figures cited : delta at .9207, gamma at 0.0007, for a 1-point move delta will increase to .9214 (of course, one would be more concerned with larger price moves)...

nitro, Thank you for the info. The figures confirm my own, for which I was looking. So, what does this figure of 0.0007 tell me over and above what is already known re delta, implied, vega, etc. How would it help in refining one's positions? Thanks, once again. Grant.

rosy2, Thank you for the offer. The programme I use calcluates everything but gamma, hence my problem Grant..

I’m having trouble determining correct gammas. Could someone please help out? These are the inputs, all Euro-style calls: 23 days expiry rate 3.75% underlying 6264, 6000 strike, 13% implied (delta .92) underlying 6291, 6200 strike, 12% implied (delta . 70) underlying 6293...

dsss27 Did you manage to vectorize the function BlackSholes()? If so, could you post an image of the end result, ie the output/calculated figures? Thank you. Grant.

John Hall Duane Doberman Dino Paparelli Sam Fender Fielding Zimmerman Rocco Barbella Rupert Ritzik Francis Mullin Stanley Sowicki Greg Chickerini Cox Ross Fischer Black. Carly Simon. Georgy Zhukov. Grant.

Riskarb, So “path-dependent pricing assumptions…” are “re-straddle components that have (had) outliers in opposite directions”? Got it. Grant.

Riskarb, momoneythansens and IV trader. Gentlemen, A cynic may suggest this forum is all about posturing. I would never suggest such a thing. To disprove the doubters, give them clarification on the following. riskarb, “There are some path-dependent pricing assumptions which I...

optioncoach, Could you provide details re your book -title, author, etc? Thank you. Grant.

FT79, If you can duplicate your seller friend’s strategies successfully, and comfortable with it, fine. What is his strategy? May I suggest you keep an open mind re potential positions? Selling premium is only one approach. There is potential in flat, trending, low vol, high vol...

FT79, “open an account and see how things work in reality”. Buy before you try. If you were a broker in the UK and advised a client thus, the FSA will be on you like a ton of bricks. Learning to trade with your hard-earned cash is not quite the same as learning to ride a bike. You may...

I'm right re the vomma calc. Volga is vomma. Good article at: http://www.derivativesstrategy.com/magazine/archive/1999/1199fea1.asp Grant.

FT79, Hull's is an excellent book. A deep understanding of options cannot be avoided without reference to "academic" texts. The basics are fine but dangerous if one considers these the totality of options. Examination of the greeks in Hull provides an explanation of their nature - as...

Riskarb, Preoccupied with my options programmes, I lack the time to read at all the material I’ve collected. This paper is an example. I’ve got quite a few papers by Derman – he’s probably the most lucid writer on derivatives. Indeed, knowledge re the plain vanilla is enhanced by...

Tower, Most basic questions can answered via a Google search. "Skew delta" is an exception. This is all I could find: Skew Delta: A delta that takes into account the effect of skew on the change in option prices. "When the market moved up, all the implied vols would go up, at a...