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cloned777777 Have you tried Saxo Bank ? http://www.saxobank.com/

A confusing piece if ever I seen one. Delta as a measure of risk is almost a waste of time - you can have 2 positions with the same delta value with one position being very safe, the other very dangerous. Using the underlying stock to dynamically hedge delta of an options position can actually...

If there is any time value remaining in the short Call option, you should welcome early exercise ! You'll most likely be assigned on a Put position on ex-div day. But as above, if there's any time value remaining look at it as a gift.

I agree.... there will be plenty of competition for your business in such a big stock. Don't worry too much about potential MM shenanigans.

The difference is that with a GTC sell order you receive no additional premium, whatsoever. Whereas selling a Call option which is sold against stock that you already own then you do receive premium, and this regardless of whether or not the "limit sell" (stock being called away) is executed...

IV change will have very little effect being so close to expiry. Union - what's your view on the stock ?

LOL !

Depends on your view of the stock. You always need a view, then the best option stategy can be put together. But not before unfortunately.

There maybe tax issues. Actually there could be a number of reasons as to why you wouldn't want to sell...

Agree with the above that buying stock for the sole purpose of writing Calls isn't the smartest option play available. However it does keep the broker in champagne ! However, and this is the BIG difference; if you already own a stock for the long term, then writing Calls against it, in the...

Yes. It's not something I look at either, just curious if you guys do.

Do you guys ever use the 3rd derivative in your calcs ?

Would a flat vol surface be a realistic assumption when running a VaR ? I would have thought not, since you'll be moving to the ATM vol. Is there a general calculation for this volatility shift scenario in VaR ?

Depends whether or not you believe in black swans, and then whether you believe the higher DOTM vols pay for them. Personally I'm undecided, I just know I can't take on the leverage of shorting them. As for buying them, I can't wait a lifetime to be proved right. Incidentally, I understand...

It could be either, but it's normally made clear in the post.

I know ATM IV is where it's at, so had already gathered that any research would focus on ATM IV rather than the smile further out IV. The only credible research I'd seen was contained in a book "The options edge", but I'd be interested in more. Don't agree that underlying IV will influence...

Over what time frame ? I'd be interested to hear of any research ?

They're only pointing out that percentage for percentage, underlying movement has a greater effect on option pricing than does IV movement, in their example. You've got to come up with some real whacky numbers to get vega risk on a par with gamma risk, e.g. Underlying 60 Strike 160...

murray I couldn't (still can't) believe that an option trader isn't "concerned with IV at all". How the fcuk does he manage ? Murray I take your point regarding option spreads.

Some interesting research by a UK Phd student on stock volatility following earnings announcements.......... http://www.efm.bris.ac.uk/economics/working_papers/pdffiles/dp00504.pdf