Search results

Do you know "which" TT personality recommends this ... when they started recommending it ... whether they actually follow that rule themselves

What makes you think they "just manage winners and stay small" when all the evidence is ... they spend most of their time managing losing trades ... by rolling the untested side ... and managing "inverted" ( Guts ) strangles ... their really big losses come from 'scalps' gone wrong ... small...

I guess you are assuming that long vol is the equivalent to be being long vega ... which isn't necessarily the case Which vol are you expecting to increase ... front month, back month, by how much in each case Pick an OTM put calendar and see what changes to the option prices / vega when spot...

Matt Interesting blog ... thanks I think your approach allows interpolation of term structure, but Baozi was looking for a way to calibrate the IV Surface / Option Chains ... do you extend your approach to do this ? Cheers James

I carry a bunch of Index Put BWB's as Black Swan Hedge ... structured for small debit / credit

How are you evaluating Vega effect on Calendar ... raw vega or weighted vega ?

I use the Corrado-Su model ( provided in Espen Haug's Option Pricing Formula Book ) to calibrate the option chain for Index options with European Exercise. The model requires 3 parameters, Vol, skew, kurtosis ... which I derive using excel's solver function to get the best fit to the option...

Much depends on why you want to model the vol surface in the first place Plenty of alternatives to consider - See the Volatility Surface by Jim Gatheral - See interpolation methods used by Peter Hoadley's software https://www.hoadley.net/options/develtoolsimpliedvolcalc.htm - You could...

Just in case you missed the outcome of her 'technical error' ... https://www.elitetrader.com/et/threads/karen-at-court.312629/page-13

It is just the equivalent of a put ladder ... another example of TastyTrade just making names up ... when a perfectly good one already exists

Sossy was mentoring TT employees to show that anyone can trade the TastyTrade way ... the shows were called Where Do I start

Despite the thousands of hours are archived video at TastyTrade ... the links to the shows in which they blew-up accounts have mysteriously dis-appeared When asked ... The TT guys suggested that there was just not enough space to archive all the shows ... right !

Except the only traders that TastyTrade have disclosed performance for ... managed to blow up their accounts

There is no "extra" return The difference between the price of the call / put calendar spreads is due to the carry cost ... which in this case is all interest If the spot remains at 2.80 ... whether you bought the call calendar for a debit or bought the put calendar for a credit ... both...

If I have the calculations right for 3.4 strike spreads ... call calendar priced at +0.0316 ... put calendar priced at (0.0141) ... time box of 0.0457 suggests implied interest rate of approx 3.90% If you have access to a risk graph it should show a 'skewed' risk graph ... call / put calendar...

Yes, interest rate to plug into BSM Also call prices @ 2.80 / 3.40 would be useful

Why don't you just give us - ATM option prices / strike for the respective expiries - Call / Put / strike prices for the calendar spread you are looking at - Dividends / Interest by the respective expiries - Excercise type

Not certain it violates BSM arbitrage ... you can buy DITM Put calendars for a credit where carry is positive ... interest > divi The 'true' cost of the calendar can be determined by looking at the corresponding call calendar ... or dissecting out the 'time box' Seems weird ... but all...

Honesty and transparency ... have they ever properly disclosed whether their trading is profitable