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Hey everyone, I was wondering when the volatility frown takes place. In this instance the ATM vol is greater than OTM put/calls. Someone mentioned that it happens with biotechs but I fail to see how that can occur especially since most skew graphs I've seen prior to an FDA announcement pretty...

I find it funny Timmy Sykes is paving the way for transparency in trading records especially since he still hasn't disclosed how his ARNA short went after it spiked up on FDA news about 4-6 months ago. I believe he was forced to close out his short at a significant loss. I've got nothing against...

Binary options to me are not exactly the best way to make money unless you're dead certain an index will close above or below a certain strike price. Moreover, the lack of liquidity means you get some (what I believe) supbar pricing on those options. With exchange traded binaries (I'm referring...

Care to explain the mechanics behind the greeks and a hypothetical arb scenario where this would be the case? Would be much appreciated :)

Thanks for the clarification Nazz. But I think my point still stands with regards to buying the straddle before earnings as moves greater than 1 sigma do occur. Granted, you take on lower odds of success but I do believe that the straddle can pay off (especially in biotechs) such that it is a...

On one of the most actively traded equity options, GOOG, the market makers "incorrectly" priced what vol to sell the straddle at prior to 3Q10 earnings as GOOG ripped higher. While I do use the ATM straddle as a guide as to where the stock may move, by no means is it readily predictable of the...

Bump? :D

It depends on the magnitude of the move the underlying has made in the desired direction and the amount time which has passed since you entered the credit spread. For example assume you sold an out of the money bull put spread on AAPL of 310/300 (i.e. sell the 310 put and buy the 300 put) for a...

I LOLed. However don't blame our beloved OTM option seller he's just exercising his God-given right to sell naked within the risk parameters the clearing firm requires. If the clearing firm blows up I wouldn't blame him, but the morons at the clearing firm.

So what exactly does ThomsonOne offer? I'm more of a retail equity derivative kinda guy who is not exactly doing some esoteric vol strategy like selling ATM SPX straddles and buying SPX index component straddles cause there is a discrepancy in the correlation of the implied volatility...

Time to go learn about R and see if I can program these in thinkscript.

Though my name says deltahedge it's probably a misnomer as I'm usually just long calls without any short stock or short call positions. You're probably right that I'm losing some of my delta due to vol changes as measured by vanna. However, I do believe (and someone correct me if I'm wayyy...

Sir King, Thanks for the prompt response. So the question then remains where I can find a program where Charm is calculated?

I came across a presentation from a friend who went through the Sheridan Mentoring program (Oh the shame! I know...) they used to have an unwritten rule that one should be content with 20-25% gains on ATM calendars on indices (i.e. RUT, SPX, NDX) and take the trade off. My only question is...

I'd be hesitant to use gold and other precious metals as hedges against crude only because the correlation between the two doesn't possess an R-squared value anywhere close to 1.

Hey everyone, Invariably I use 2-4 month OTM call options to speculate on equities I believe will rise in the near term. However as we all know the delta of those options decreases as time passes (assuming vol and stock price are constant). Does anyone know if there's a second derivative...

Hey everyone, Long ago I posted to this thread detailing my brief foray into the world of intraday CL trading aspiring for some quick 10-15 cent scalping just looking at going long when there was massive selling and trying to get in at the bottom. Now I'm back but am using technicals as part...

How are you calculating the 50% market risk metric? Examining the STD Dev of market in 2010 vs. your portfolio?

I'm not knowledgeable enough to tell you if this strategy is viable or not, however on the surface it seems difficult given how traditionally box spreads at the retail level are effectively pointless when one factors in transaction costs (though I did read how you purportedly seem to overcome...

Just wanted to thank you for offering your insight :)