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Yes better than porn. The new kinky trend: http://www.google.com/trends/explore#q=options%20%20porn

The priority is to get away and claim your money back. Then do some research/learning and only then (maybe) invest. You need to find out if you can report them to FSA. http://www.fsa.gov.uk/ or even better get some professional legal advice

I agree. For my VBA needs, 99% of times the Microsoft Office reference site has been enough. Like OP, I have been using Excel at work but we used to have ppl who would do all the coding for us. If a professional programmer looked at my VBA code he would lol hard but it ... works. If it's...

If you have already all the data in Excel what stops you to add some formulas/code etc to calculate the values you need? One thing I have found is that Access can be restrictive on the amount of data it can handle. I don't have much programming knowledge but I've loaded my data on Postgresql...

Best thing would be to do some (back)testing. If there is such an effect that can be traded profitably, you need to think the risk you have to take to realise this profit. Positive theta means negative gamma and any news for example during the weekend that can cause a big price move on Monday's...

I'll give it a try b/c it's an interesting and basic question. A calendar spread that is vega and delta neutral. Say the 2 expiries are T1 and T2. The forward implied volatility (IV) refers to T1 -> T2. Being vega neutral means (in theory) that your spread's value is not changing when IV...

There is this Neuberger paper (not finalised yet): http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1571700 where a "skew swap" is introduced in analogy to the variance swap. I cannot make any comments on the proof but they come up with equations to calculate both (model free) implied...

The way I read it is he means long risk premium. So it is the guy who is willing to risk more in order to make a bigger profit. On the other hand there is the guy who is risk averse and is willing to be short risk (skew) premium to have his ass covered in case of a crash etc. Simplest...

Do you mean everything is free including live quotes. access to historical data for example? You don't even have to do a minimum amount of comissions per month? How about if you have an IB account? Can you "transfer" it to LivePro and still get the LVP free offer?

Hopefully you will post the KOSPI trades too? As this is something I was considering to try. Wish I had more money in my acc or more experience to interest you re the joint venture.

I bought yesterday the FEB 30/37.5/45 fly. Just wondering if you think the calendar has a better edge (other than transaction costs) Are you vega neutral on the calendar? Truth is that there was no vol edge to my fly (over the flat IV fly)

On a serious note: Guess who has just exercised his MAR-13 100 Calls! (= me) To cover for getting assigned the JAN-13 100 Calls I sold. :( Enjoy the strippers OP!

Good comment. Plus I imagine top professional traders have teams of whiz kids (lol I'm becoming too American reading this forum) who will for example do all the hard work to adapt a complex math model to the trader's needs and then write code to execute very fast etc. We, on the other hand...

Oh yes and there is also atticus' PF method: A thread worth spending some time. Sorry no teenies in there - only 25 and over (delta) http://www.elitetrader.com/vb/showthread.php?s=&threadid=244704

Looking forward to that! I have also been looking at what can be generally put under the category skewness-kurtosis trades and I have come up with a lot more questions than answers :confused: How do you define if an OTM is cheap or expensive? How do you estimate the historical vol of vol and...

I guess you assume that spot and time are unchanged This is because option value is not linear to volatility (check the B-S formula on Excel for example). For very small changes of vol you can approximate to have linearity and constant vega but for bigger moves of IV this is not correct...

In this thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=255405 there is an Excel spreadsheet by the OP with such strategy

I guess in theory they should be the same (or very close) over a very short period of time (say less than 1 sec), the shorter the period the closer they get. Over long periods they shouldn't necessarily converge. Implied vol is estimated in the risk neutral world.

There is this paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1879583 I had a quick read in the past (ie read the introduction and the conclusions and glanced the graphs lol). They observe a difference in skewness. Fwiw my impression is that their results are not robust but I am...

Group A: You are lucky enough to find a slot machine/roulette etc that has a fault and pays off more than it should thus giving you (instead of the house) better odds. You mindlessly pull the lever while sipping your whiskey until you make a fortune Group B: You have developed THE optimal...