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Why ?

Well if it put a smile on your f f ff face then it was worth it :p

Did a quick search, the original post above. Nothing more to add either. Hey risk arb..... Deep breaths (blue occean)

The cheapest way would be to pay for a DDE link and plug it into an Excel spreadsheet. There you can formulate till your heart's content ! Realtime + CBOT + DDE from Mytrack about $ 70 p/m. http://www.mytrack.com/

I think so too, but we got there in the end - good debate. Amen. I have a soloution for you - I'll let you have it when you really get up my nose. You'd have to look at the market in which you trade options before deciding how well the model reflects the actual market. Each options market (e.g...

Duplicate WTF is up with this pile of..... ?

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Duplicate

I totally agree with ALL of the above post. However, you have seriously digressed from your initial assertion.... namely that a negative expectancy can be turned into a positive expectancy. You had the fascination of EVERYONE here. No wonder it's such a long thread. But let's leave it there...

Yeah, I agree with that, after you've taken the risk associated with legging in. Here's an example. OptionWiz always legs into a long B/fly by first going long the strangle, then if / when the underlying moves up 1% shorts the straddle. If it doesn't move up 1% he remains long the strangle...

Quote from Maverick74: I can't believe this thread is still going. I don't understand what is left to be discussed here. For as long as it’s argued that negative can be turned positive you’ll be asked for explanations. For as long as the word “free” is used, you can expect an...

In my view it's not correct. Nobody here (unless I've missed it and I doubt that) has come up with an example of how to turn a negative expectancy into a positive one. The term "free" is often used to describe a spread that has no downside risk purely as a result of legging into it. But that...

Gotcha SLE. Many thanks for your patience. Phew !

Appreciate the reply SLE. But I don't quite follow what, or should I say why you're testing P/C symmetry and assuming a flat vol surface because... using that assumption - they will always be symmetrical ??? :confused: This is the post I and others find confusing. I'll not ask you to explain it...

Had a quick look at that, can't make it work. Any chance you could work an example ? I thought deriving a Call value from a Put value was simply... Call = Put - K + F. Riskarb I think the terminology may have confused. When I think in terms of fair value / ThVal it is the option value...

And I thought I knew my way around traded options ! Either you're talking complete pish or I'm clueless. Which ? If it's the later I look fwd to being re-educated.

That's a new one on me. Put / Call parity has nothing to do with fair value, rather Put / Call values must balance to ensure no arbitrage possible. If they didn't an arbitrageur would zap the difference and bring them back into line. Fair value (in the forward sense) is simply spot + risk free...

1) Not in the UK, which is all I trade. 2) They also have overheads and wage bills to die for. 3) True, but would that affect the return on Capital ? 4) Again, not in the UK.

Here's a question re: MM If a retail trader has direct market access, i.e. can sell on the offer and buy on the bid, what advantage, if any, does a market maker have over a retail trader ?

Option Market Making, by Allen Baird.