Search results

At least one professional trader contributed an interesting idea to this, admittedly, worthless in general thread. Either you have something to say or your post goes to junk like many in this thread. Looking up "gambling" in wikipedia I came across this: Evolutionary psychology suggests that...

What you need to look up is "root time vega" Generally you cannot add the vegas of two options with different expiries. One way to do it is to normalise the vega(s) by dividing with the square root of time. Then you can weigh your calendar to be vega neutral. My turn to ask a question: This...

You are probably right but human exterme idiocy is the same like human genius. They are both mind-boggling-unpredictable leaving you head bat beaten and with a "wow" shaped mouth. (Just rambling in bad english after local VW service managed not to repair my car and charge me a fortune)

In theory you can initiate the calendar trade to be gamma neutral by adjusting the ratio, so your position has mainly vega risk (assuming you are delta neutral too and your strikes are ATM). Then you are exposed on the forward (implied) variance ie from the end of the front month.

What I meant is use this thread instead: http://www.elitetrader.com/vb/forumdisplay.php?s=&forumid=29

What you do is called gambling. You are no different than the degen who goes to the casino with 700 believing he's gonna be rich. It can happen I guess but not that often I would say, since you are 23, go for it but then you have a little child that depends on you. I am not here to give...

I understand this (or at least that's what I think). I was only wondering in my OP if in practice, you the traders, make any adjustments. For example let's say you have (in theory) a 100% accurate prediction model for the variance of the SPX500 over the 30 days to maturity of a var swap...

I was only wondering if in practice you make any adjustments to get a better pricing. I don't want to go deeper in theory and drown b/c of my ignorance. Just to explain better what I thought: I was referring to the calc of the risk neutral expectation of variance and whether you use a...

In the calculation of implied and realised variance there is no accounting of jumps (if I am right about this). I suppose it's not siginificant for index but in practice is there any advantage especially for short maturities to use some sort of correction?

Sure. Pen and paper would be better for me than looking at Excel on my laptop. And a revision on fractions lol.

Many thanks for posting the spreadsheet and for the whole thread. In nthe spreadsheet, I think you convert the VIX number to a Var strike, I guess b/c VIX is calculated in calendar days. You use the formula: =C40/SQRT((D40*365)/((B40-A40)*252)) whereC40 is VIX, D40 is business days and...

But delta hedging does exactly that, it takes out of the equation this "linear path to profit" you described. As I said before I am trying to learn, same as you. I guess it's not easy to dicuss about these topics in a forum especially without adult supervision. University could be a good...

No I don't have any experience at all. I was only pointing that at least for me this simple equation helped me to understand better the concept than pages of text. Maybe it's just me. But if you want to be closer to reality you need to consider more advanced models than Black-Scholes (where...

That's more of a philosophical question. But the equation they show for P/L although not accurate has a lot of practical value to explain in one line what ppl can use pages of text. For example you can see that delta profit is sensitive to the stock going up or down as it is proportional to...

Check again what happens to the delta of a call when price falls: http://www.google.co.uk/search?q=call+delta+graph&hl=en&tbo=u&tbm=isch&source=univ&sa=X&ei=SkHJUIrAPNGa0QX11YFY&ved=0CDUQsAQ&biw=878&bih=677

Useful spreadsheet. I don't use TOS but I guess they calc delta using the B-S formula. The problem is that it is not accurate for OTM options eg it doesn't adjust for correlation of volatility with spot movement.

One of the strategies I am experimenting is trading skew. One of the basic mehods is supposed to be a risk reversal for example. Any suggestions for different strategies are welcome but my main question is about delta hedging. How do you calculate delta for OTM options? I have some general...

This is something I find confusing. Is it not standard to use calendar days for IV calculations for example in the B-S formula, or the VIX calculation. Or even the T in the put-call parity or the forward calc formula etc? Do you actually mean that you use something like: T=trading days/252...

You can try the RT scanner from: http://www.ivolatility.com/rtservice.j This is $60/mo but you can get a 2 week free trial for the full product

One of the many reasons that less new drugs become available. Even gonorrhoea becomes resistant these days: http://www.bbc.co.uk/news/health-15238613 That's really deep detail! Small organic molecules can be brickdust sometimes (ie not dissolving in water). I'm not in ADMET but I've made...