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I'm curious as towhat strategies they advised you to engage in? There are a bunch of delta neutral positions that can be put on as a retail trader. Just because it starts out delta neutral doesn't mean it stays that way. For instance, a 1x2(or a similar ratio) is often delta neutral, yet...

All this will do is finish off the small marketmakers still left.

I'm not sure how familiar you are with statistics, but here it goes. If you take one standard deviation of returns for a stock, that should mean that 68% percent of observed returns should fall within a range of up or down one STD. Taking that out to three STD means that 99% of observations...

I Agree, it does seem odd. I would have figured that people would come in for some puts. And I do think vols pretty cheap right here, but some of that may just be anticipating summer doldrums. Also, I always think vols cheap.

Yeah, I thought was odd. It was one of few stocks on the my watch list which was green. I can't say I searched for news about it, but that should have been one the stocks hardest hit today considering the selloff. It seems there is still money money out there looking for a home, that's how I...

I'm going to agree with coach here and reemphasize the need for a catalyst for the IV to be mean reverting. It isn't enough to say that the IV is at 20 and should revert to 35 because it must. This is specifically why I look for stocks that are breaking out, about to or perhaps have a smooth...

Eh, ignore them too an extent, but long vol trading is actually very difficult. This is true whether it's long gamma or long vega(there is a difference). I blew out twice trading for others being long vol and I'm not a superstar even today, but I do consistently make money this way. It's when...

I thought it was just your helpfull personality.

A couple of things, otm options are soft deltas. This means that they won't generate as big a profit as you might think. This is due to two factors, one is obviously time which works against here. The other is that with otms, calls especially, you could have vols coming in. So, you would...

What types of positions are you looking to put on when you say long vol? If you are just buying options for direction, then MTE may be right because that isn't exactly being long vol.

Well, at least I was able to write a program in Matlab which automatically loads data from yahoo and then calculates month HV using close/close. I also created dummy variables for each month and ran it using a simple ols for XOM. The only month which was signifcant at even the 90% level was...

I've been meaning to get that book and I see that it directly addresses the issue. Anyways, I was actually away for the weekend, but I'm back and will get started on this. Maybe I'll search some of the finance Journals and see what's there.

Sure, I'll post or send a pm. I found a paper which lools at the Swedish stock markets seasonal volatility patterns. Here. It has some interesting ideas on how to test this. This not entirely unrelated quote is interesting:

Matlab and Eviews, the latter is easy to use for time series, but the former allows more versatility. I had loaded some data in Eviews only to realize I probably need Matlab for this. Data manipulation is a little easier in matlab. It was when I had realized that I needed to calculate each...

Yes, I've thought about, but haven't run anything yet see if something is there. I guess that it would show up in the partial autocorrelation function graph, but I'll have to think about it some more. edit: after loading the data, I discovered that I have no desire to program this up right...

I can't really give a definitive answer as it has been a while since I did disciplined gamma scalping. Right now, most of my long gamma plays are typically a couple day events that I don't look to hedge every day. So, I don't enter orders to do so. This however is changing as I move to a prop...

I presume these are 06 or 07 and not 05? If you say they had a dollar of time premium, these look like the 07s. The calls are trading around parity while the puts are juiced up a bit. I imagine this stock is hard to borrow. I guess you are looking at the put when you say they have the time...

How about you first? Just kidding I don't trade it, but it looks interesting. This is a stock that was given up for dead. My guess would be that a 33 vol for both months looks about right. Although, now that it has broken out, that would be my bid. Depending on your time frame...

Interesting theory, except that Wal-Mart didn't arrive in California until after 1990, long after CA taxes got out of hand. Here is map of Wal-Mart expansion I posted yesterday at Always Low Prices. And your point about the manufacturing is silly. The consumers of the clothing benefit greatly...

Guilty to an extent, but I actually think tech could be on the upswing. Semis seemed to have bottomed in the last quarter of last year and Goldman upgraded the software sector on Monday. I can't say much about this since there are many metrics for me to go by. Edit: the last comment refers to...