Search results

If you use an Option Model to calculate Probabilities, then it will suffer from the same limitations and caveats that ALL Option Models do ... but at least it will be consistent with all the other Greeks that the Option Model generates ... Espen Haug covers PROBABILITY GREEKS in his book...

Why worry about FX risk ... when you are prepared to invest in a single stock name, which as you point out could go to dust .... unless you are onto a sure fire winner? If you do hedge the FX exposure ... and the stock goes to dust ... then you have no underlying exposure BUT still have FX...

A .... - Any clues as to the secret sauce behind selecting wingspreads with R/R >1 - You are not holding to expiry are you? Cheers JP Anyone know if Fattail gone underground?

IV Skew .... makes the OTM put spreads 'cheaper' as you are selling lower vol / buying higher Vol .... whereas for the OTM call spreads you are selling higher Vol / buying Lower Vol .. Cheers James

The difference between a Long Straddle and Long Strangle is an Iron Fly .... Straddle + Fly = Strangle ..... so decide whether you want to sell the Iron Fly a the relevant strikes ... Cheers James

Betapeg I don't mean to be rude, but it seems as though you are simply trying to 'copy' the guys at Liberty but don't have the same degree of knowledge or experience .... on top of which Atticus calls them a bunch of clowns .... and I ain't arguing with Atticus :-)) I can talk with some...

Depending on how you like to dissect/view your positions; MTE's suggested position can also be described as; 1. Sell 1x 145/155/160 PutBWB | Sell 1x 170/175/185 CallBWB or 2. Buy 1x 155/160/170/175 Condor | Sell 1x 145/155/175/185 Condor 3. Buy 1x 155/160/170/175 Condor | Sell 1x 145/155...

The edge is using other people's money .... participate in the upside with 2/20 fees .... lose nothing but opportunity on the downside ... liquidate fund .... rinse and repeat ....

You could try RiskIllustrator from Charles Cottle http://riskdoctor.com/

Who mentioned different strikes? I assumed as we were talking calenders, it would be implicit that these would be same strike, different month spreads. James

[Long Stock + Short Call front month] = Short Put front month [Stock + Short Call front month] + Long Put back month = Short Put front month + Long Put Back Month = Long Put Calendar

You could create a bearish OTM put calendar by: - lodging stock - selling ITM Call for front month - buying OTM Put for back month Stock + Short Call = Short Put. The only condition is that credit for Call >= debit for Put. James

It's a brokers dream with all those legs and comms .... would normally be better just to sell the 90/110 strangle ...

You might be able to get the raw data from Euronext .... http://www.liffe.com/reports/eod ... let me know if you need any assistance converting the raw data into IV .... cheers, James

Froulis Hi, couple of questions; 1. Are you trading CAC40 Equities? 2. Where do you get the current IV analysis from? 3. Are you looking for ATM IV only or complete vol surface data? Cheers James

I think it is on the same shelf as the recipe for Coke ...

Billy ... couple of questions .... assuming succesful option traders were willing .... How much would you be willing to pay 1. To see the evidence and 2. To be mentored for say 12 months

You and Riskarb in the same trade at the same price?

fx .. hi ... I am trying to avoid plugging software that I am involved in developing .... but I use Risk Illustrator which is commercially available from Charles Cottle .... which is primarily aimed at helping traders manage risk and adjust positions ... however, as I trade options on Euronext...

I use my own platform; if you want to discuss in more detail we can chat further via PM.