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Good luck Robert and thanks for the link. For option data I think one of the most useful datasets out there is the OpenClose report from CBOE (from the marketdataexpress.com website).

I just came back from vacation and low and behold, I can see that the unexpected has happened: Recently someone traded 1K of notional Vega in the May Variance Future contract. So far that is the only open interest in the whole VA chain (what a shame). But in the off chance that said...

A new trade that looks exactly like the old one. This time the correct expiration long 5 SPX Apr08 2095 Call I entered at 1.45 at 12:06:52 This trade will last at most 24 hours. Size is half because I don't want to spend any meaningful money testing this pricing/optimization engine...

Interesting analogy, although it doesn't change the fact that the trade did exactly what I wanted it to do. Namely, I wanted a directional trade with a risk reward > 3 for a move in the underlying of about 0.8% in a window of 24 hours (that it failed is a completely different matter). More...

Interesting discussion in a journal about a lonely OTM option. For optioncoach, optionality has been long used in derivatives pricing to refer to a nonlinear connection between the price of the derivative and the price of the underlying. It mostly refers to higher order derivatives of those two...

Being long a single option (like in my case) *always* means being long gamma too. And it is not silly at all. I wonder if you are denying the existence of gamma (convexity) for a lonely option? The whole point of playing a directional move with a long gamma play is precisely that, a bet on the...

Life is full of surprises,I manage to exit the lousy trade at 0.75, a loss of .10 plus comms. The trade was doomed from the terrible entry yesterday (basically at the highs) and accelerated decay on Friday, which btw seemed to really pick up in force after 3:20PM. The implied volatility at...

The mid of the option is now 0.32 below my stop but giving how SPX is behaving this morning I'll let it ride for one more hour. But in any case I doubt this position will profit at all. I'll be surprised if I can exit at 0.40.

So you are telling me that I'm not long gamma in that position? I never said I was delta neutral, one can be long gamma and long delta. Of course if you disagree you can point me to where you think that I'm mistaken. I highlight the position as long gamma because the pay-off (if it ever...

I don't usually do long gamma trading with options but those trades can be fun. Here is the first entry started today: Long 10 SPX April06 2095 CALLS for 0.85 (traded at 2:33:34 PM EDT). It will be closed tomorrow no matter what. Stop point 0.40 cents (very tight from the close). Risking .45...

Just to clarify something: A put credit spread will behave exactly like a call debit spread (with the same strikes and exp). Also a call credit spread will behave exactly like a put debit spread (with the same strikes and exp). So credit or debit is not really the difference here.

Why just not take the profits outright ? I always wonder why people want to "lock-in" profits with convoluted schemes. A box "could" be a great trade if there is some dislocation going on with the underlying (like a hard to borrow condition), however it is too easy to get burned when using...

A CFD is a derivative so you still need the original shares. Also CFDs are not centrally cleared so you are exposed to counter party risk as well as any abusive practices that the bank wants to impose on you. CFD's in the most simplistic form are basically bucket shops renamed (no practical...

They were not priced correctly at that time, I think when they were introduced they were really underpriced in vega (wrong modeling perhaps?) so you could play earnings events with fantastic risk reward. Of course nowadays I can bet you that the mispricing is not there anymore (because of...

The market would have to move way more to be break even. I guess the guy who wrote the original article in seeking alpha has a magic broker that provides him with free options. For the rest of mortals that have to pay for them, in order to break event the market will have to close above 139.95...

I'm glad you see it that way now. What you have is an implied distribution of prices (by the implied volatility), in reality there are no "probabilities" in the price itself. Just because the 1 sigma move is 20 points doesn't mean that is how the underlying is going to move. It is just a...

Ironchef, is just that the assumptions that give rise to the model are flawed. Therefore whatever answer that the model provides is flawed too. However, that doesn't mean that the model is useless. In this case BSM provides us with a closed form solution (read nice equations) for the problem so...

Basically all of the assumptions of the original model are flawed plus it only works for European style options (and almost all the options in equities are American). - Ability to short the underlying -> flawed, in some instances even when you can short you will be charged outrageous interest...

I'll answer because you seem genuinely interested in this stuff. For the purposes of deriving any pricing methodology for options, only delta hedging is required. That is what every pricing model does out there (BSM, binary, etc). Now because in the real world it is impossible to continuously...

Thanks for the example, the position is a variation on a Strangle Swap, you are swapping a short near term strangle for a long far term one (ok in this case is a straddle). I do strangle swaps from time to time. In particular if near term Implied volatility is very high compared with the back...