Search results

FTSE a better index than SPX to trade ShortVol / Neutral-Short Delta Strategies

Peter Hoadley's software is superb, and I would have used it rather than create my own, except he stopped importing FTSE Options a long time ago, when they moved from being traded on LIFFE to Euronext

Apologies, I cannot really help with recomendations for a trading platform for UK Options as I now maintain/develop mine for personal use only. It has been used historically by a small group of Option Traders, but in reallity it is way too time consuming / not commercially viable to develop...

Primary reasons that I trade FTSE Options are 1. When I first started trading options as retail: ... TOS would not open Accounts for UK based traders due to money laundering concerns ... IBKR only allow Accounts with restrictions for trading in Personal Pension Schemes 2. So built a system to...

Just for the record, FTSE Option-Chain populated with Real-Time prices at 8:00:46AM today

The ICE Exchange have provided "Real-Time" FTSE Option Prices for at least 3 years, and despite relatively wide quotes, can normally trade withing a penny or so of mid-prices I am aware of how few FTSE Option traders there are, having once run a small group of about 10 FTSE Option...

They used to be 15 minute delayed when provided by Euronext/Liffe, but are now provided in Real Time by ICE Exchange Like you, I have only traded FTSE Options for the last 20 years, and have built a system to import the data from the ICE Exchange, so I might just have an inkling on whether data...

You can get "Real Time" Option Prices for UK (FTSE100 Index/Equities) for No-Charge directly from the ICE Exchange https://www.theice.com/marketdata/reports/265

Implied Move does NOT equal ATM Straddle *0.85 This is just TastyTrade nonesense peddled to the masses Take a simple example Spot = 100 Time = 365 Days IV = 20% What is the #1 ATM Straddle ? #2 Implied Move ?

StrikeFromDelta = UnderlyingPrice *EXP((NORMSINV(Delta*EXP((RiskFreeRate-Carry)*TimeToMaturity))*-1) *sigma*SQRT(TimeToMaturity)+(Carry+sigma^2/2)*TimeToMaturity)

Long Stock / Long Put synthetically equiv to Long Call at same Expiry / Strike as Long put But in my experience you are wasting your time with synthetics with retail punters who in the main do not want to understand / accept synthetics ... they much prefer to discuss covered calls / the wheel...

No problem, it is still one of the best 'strategy summaries'.

This one ?

https://www.hoadley.net/options/options.htm

$Div = Spot - Strike + Put - Call + interest %DivYield = iRate - (LN(Fwd/Spot)/(DTE/365))

I suspect that you are simply re-inventing the wheel here. The reason that you could not calculate IV was that the deep ITM put option price was being quoted below parity. In practice, there are a number of effective ways to deal with this, rather than simply insult the BS formula, 1. Clean...

It has been said that "volatility is the wrong number to put in the wrong formula to get to the right price ... " Sometimes there is more darkness than light when exploring options concepts ...

I think you've got it ... To illustrate the point, I monitor both Raw Vega and TimeWeighted Vega. If I compare ATM straddles across 6 expiries, Nov21 - Jun22, you can see that: ... the Raw Vega ranges from $112-$447 [ RED ARROW ] but ... the Time Weighted Vega ranges from $112-$117 [BLUE ARROW]

Vega is not 'additive' across different expiries. Should consider both Raw Vega and some form of Weighted Vega. If you use SqrtTime to weight the Vega, the calendar spread is relatively Vega Neutral Raw Vega = 0.86 - 0.40 = 0.46 Weighted Vega = 0.39 [0.86 x Sqrt(17/80)] - 0.46 = (0.07)

and / or increase in RV