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Yeah, I think this is true, especially the opening after some sort of event. That wouldl be the time to get some trades off as people scramble to adjust. Option pricing is can often be the result of supply and demand, not just theoretical models. When I was on the floor, I always thought...

I'm starting to do the same. I haven't got very far and there is a definite learning curve. Matlab is not for those who don't have a good knowledge of the underlying math involved, but isn't that hard to program. So far, I managed to use a couple of models to estimate HV, price european...

Hmm, let me try and put up the right attachment. I will add that just because the PACF shows something doesn't mean that it is significant. That needs to be tested as well.

Doesn't look like it. I compared it to some stats software. The mean needs to be constant for the whole equation and denominator should be constant as well, ie. it should be the variance for the whole series. Just to confuse you, you could look at the partial autocorrelation function as...

With IV at the low end of the historical range, I'm inclined to buy premium/vega. I'm not expecting vols to increase in the short-run. It's also true that I can't necessarily predict when Vol might change. So, I want sell premium in the short to help pay for long dated options. Right now...

There are so many interesting plays out there. Far out(Sep) out of the money wings look interesting to me. I would sell the Apr 55 straddle and buy the Sep strangle. Who knows, if my paperwork goes through soon for my new account, I may actually put on a position.

After digging through two boxes that I haven't been through in five years since moving from Chicago, I realize that It never could have been in either since it was just published a few years ago nor have I ever onwed it. However, I did find my Cottle book.

Further thoughts; probably both Mav and I got sucked into trading long premium because of one thing, it is sexy. Let's face it, who doesn't want to make 5k or 10k a day, which unless your well a endowd short gamma trader, is tough using that strategy. But volatility sucks you in like nothing...

Mav, I will agree with you here, trading backspreads, and long premium in general, is tough work. I say this as somebody who basically makes his living doing it right now and who blew out twice long juice in Chicago; trading backspreads is a shitload of work, you can't miss a day(this is...

I know a stud Slovenian, dad is a former famous actor and former head of the central bank(er, maybe, I was drunk?). One of the smartest guys I've met, huge Laker fan, head of M&A for a Slovenian Bank(don't know the proper name)?

More: Downgrading GNTA To Underperform KEY POINTS: • Panel Unlikely To Recommend Approval For Genasense, Downgrading To Underperform. Based on FDA briefing documents released today, we believe the May 3 Oncology Division Advisory Committee (ODAC) is unlikely to recommend Genasense for...

Here what they say today: Genta Incorporated (GNTA - $14.43) Market Perform Volatility: High Health Care FDA Briefing Documents Are Negative KEY POINTS: • FDA Briefing Documents Are Negative. FDA briefing documents released this morning highlight five major concerns the agency has...

Oops, didn't load. What I tried to attach is a research report from Piper Jaffray that was negative on the drugs prospects. KEY POINTS: • New Incremental Data Analysis Presented At Major Melanoma Meeting. During the meeting, Genta presented new incremental survival data from its Phase...

I read the attached file and it seemed like the stock has traded around that 12.5 point for the last year

Yeah, I covered my short the other day, but fortunately my long gamma generated some more short deltas. It wouldn't surpise me to see more weakness into earnings next week. Frankly, the company still seems a little too expensive for its growth rate.

Actually, I think these are some of the best plays out there for options traders. When trading these things, I follow a couple of basic rules: 1. Read! look through filings and listen to conference calls, know dates and expectations. 2. If it smells like a dog, it is. When listening to...

Legged into a put fly for .05 (10/12.5/15), did it 20 times, trying more. Probably could have done it for nothing or even a credit, but I fucked it up.

What you are asking is difficult, the positions proposed require forecasting going out at least six weeks and up to a year. As far as 1 goes, you could sell stock if you were bearish, but 5000 would be way over doing it. An atm long calender would be more or less delta neutral(actually long...

What's a free good website for European stock charts? I am looking at the Aegon chart for the ADRs and it looks very interesting. In dollar terms, it is coming right up to resistence at $15, which is nice being a strike. My guess is that you'll see some action there even in Euros. Do you...

HK has a currency board, which unlike the one in Argentina, can only issue a HKD for every USD they get in. Three banks are allowed to issue notes, although I think they may have consolidated this in the last year. A book worth looking into is The Dollarization Debate. I haven't finished it...