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http://www.cqf.com/ Has anyone taken this course? Would appreciate any feedback, particularly on its usefulness to actual practitioners (i.e. not using it to get a job). My area of interest is risk identification, quantification and management (although I'm also interested in all the rest of...

if you're interested in the Nikkei index, it's available on TOS under /NKD. It has historical volatility data. IB should have them too.

The Vega curve of an ATM fly resembles a smooth "S" if one looks at minor price moves (1-2%) and looks like two mountains on both sides of a valley if one looks at a bigger price range (-10% to +10%). Is there a way to Vega hedge a fly so that its Vega curve becomes an: 1) almost straight...

Hi MTE, thanks, didn't know that. Haven't used SPY a lot so it's good to know.

prolly cos gamma gets very very high during expiration week and a small move can wipe out a huge chunk of your gains. also expiration week has a tendency to be very volatile.

heech, thanks for pointing that out. I've come across that also in my reading yesterday although I skimmed through it and do not understand how that works yet. I'll go read up on that, then I'll read the static hedging paper again and get back to you. thanks.

That is a very wise thing to do. I seldom practice what I preach though. When a new idea occurs to me that I'm really excited about, I papertrade it for one month then throw real money at it, sometimes to learn about its pitfalls later on, or that I did not anticipate all the risks accurately...

which page is this? perhaps we can look at it together and shed some light on it.

There is a negative gamma curve even with a single option because I make the assumption that they are selling options in the target backmonth portfolio, not buying them. If you were buying options, there won't be a need for static hedging, because if you look towards the end of the paper (p51...

I think it's because it's referring to the target (i.e. portfolio) option's FUTURE gamma. Not it's instantaneous gamma but the gamma when the front month hedges expire I think. Hence the weights of shorter-term options will also be static because you calculate those weights based on the...

I think Papertrading is more useful for a trader with some experience with the real thing (perhaps he's testing a new strategy), than a new trader. He knows what to look out for, what's realistic, what's not and account for that. I think Papertrading can be a fruitful process if one adopts...

Good call at purchasing Hulbert's, a smart choice. Just wanted to address the above thoughts. It'll ony be education if what they're teaching you actually works. If what they're teaching you doesn't work and you adopt their thought processes and also pick up ideas from there that are actually...

I think you mean to hold to expiration. Not a good idea because you never know what the underlying will do the next morning when the component stocks of SPY opens up. If you were up profit and the next morning the SPY components were to open down, you'd have a loss sitting on your hands. It's...

Went to do some research yesterday and it seems static hedging is mentioned in some other books like Wilmott as well. Only there it's addressing exotic (barrier) options so I'm not sure if this paper is actually addressing vanilla options or...?

Hi MTE, thanks for the tip. Any books to recoomend that discusses this?

Don't put too much money in there. heard they didn't do too well. I've come to believe that the ability to smell bullshit is the first step to succeeding in this business.

what were your total portfolio Vegas (reverse calendar + straddle) when you say you lost money when IV rises? Vega is not static, if my observations are correct, it has a "delta" too and the first derivative of Vega (i.e. the delta of Vega) is probably best described as a "U" shaped curve if...

http://ideas.repec.org/p/wpa/wuwpfi/0409016.html Wonder if anyone has read the paper "Static Hedging of Standard Options" by Peter Carr and Wu Liuren? Still making my way through the paper and was wondering if anyone has an idea of how it is setup and can give an example? From what I can...

i see. to hedge the vol risk you need to spend some of your capital to put on another similar (meaning long gamma) strategy that profits from a rising IV, and rehedge whenever the portfolio's Vega gets above a certain absolute threshold (+ve or -ve). A straddle is one simple example. I'd...

ben111, I don't think you're hedging the Vega risk of the position so much as you're trying to hedge the risk from the volatility skew between the front and back months? I think you're basically long gamma and doing some kind of gamma scalping trade, so just off the top of my head, if you...