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Is it a lot different from this one?

Please, could you explain this point in a bit quantitative way? I don't think we need stochastic calculus, but at least the hedge ratio written as function of Vanna. Thank you :)

Ok, that was just my guess :)

So my opinion is that a retail trader, being focused on the mark-to-market because of the margin call risk, should use the Delta calculated with the implied volatility. Conversely, a quantitative volatility fund which is not focused on the mark-to-market issue but which has a rigorous profit...

Ok, I've read the paper. It's very interesting. I would write here some consideration without quantitative notes, in order everyone could express his ideas. [To people who did not read it] The paper focuses on the following topic: let you can correctly estimate the future volatility better...

My profits aren't as big as the one who repeatedly shorts straddle [till the market wipes out him with an enormous opening lap (for example, see what happened with NFLX few weeks ago: -36% on opening)] and of course they are not as big as the one who guesses the right direction and his long...

Not high liquid at all. I started with equity options but I've seen that the bid-ask spread is too great. Then I switched my attention on many index and the 25 most traded ETFs. Options on those ETFs are negotiated on CBOE and I noticed that their bid-ask spread is smaller than equity's. Not...

Ok, I thank you for the answer and I think that I understood your point of view. Nevertheless, it does not seem to me that the bid-ask spread is negligible. If I open a position hitting the market maker's quotes, I usually see large losses from the beginning because of the bid-ask spread...

Probably I didn't properly explain the situation I mean: when you open every position you're always in loss because of the bid-ask spread, right? Now let the underlying moves and suppose you are in a long straddle: you see your P&L getting better but that movement would not be strong enough...

Ok, understood. If the position is in profit, you suggest to close it with gain. Now, if we introduce the bid-ask spread and transaction fees, it's possible that the underlying moves, our position gets better but we do not cross the break even point, yet. As in this situation you can't...

Thank you for the answer, Maverick74. Suppose you have a positive edge because you are in the following situation: - long Gamma; - you correctly predicted an increasing in historical volatility (i.e. underlying movement); - you correctly predicted an increasing in implied volatility...

If you go short Gamma, then your goal is to earn the time consumption. Delta hedging helps you to protect the position from being damaged by underlying movement, there are no news about it: if you short Gamma and IV drops towards expiration, your Delta hedging will make money (I'm not...

I'm so sorry for having doubled the post, I ask the moderator to delete this thread because it's a copy of another one. Thank you.

Hi all :) It's my first message here. So please tell me if I make any behavioural mistake. I'd like to tell you about the following strategy, in order to read your opinion and critics about it. --- Step 1: select the underlying The first step is to select an underlying whose...

Hi all :) It's my first message here. So please tell me if I make any behavioural mistake. I'd like to tell you about the following strategy, in order to read your opinion and critics about it. --- Step 1: select the underlying The first step is to select an underlying whose...

Hi all. It's my first thread in this forum, so please warn me if I'm making any behavioural mistake. I'd like to tell you the following options' strategy in order to gather some ideas and critics about it. (*) This strategy can be used only on instruments whose volatility behaviour is...