Search results

This could affect the skewness as well: https://www.linkedin.com/pulse/manipulation-vix-carol-alexander/

Is that what the CBOE SKEW index is about?

Hi, I am reading a Year End letter to Investors where the Fund manager explains how they position to be long volatility: "[Fund name] achieves a unique and anti-correlated return stream by forgoing expensive first order and linear movements in volatility to finance higher order non-linear...

That's assuming a 1:1 ratio. How about a 1:20?

When I have stocks and bonds in my portfolio I am "implicity" short volatility (I bet on stability). If I add DOTM puts on the index I am "explicity" long volatility (I bet on a change - or hedge) but the payoff of the latter is non-linear. Premium to buy those options is generated by the bonds...

Hi, I am having a hard time understanding the Vstoxx term structure today. EuroStoxx50 index is down -1.14% and the Vstoxx is up +18% (16.30) The following are the futures: JUL18 15.70 +6.46% AUG18 16.05 +2.90% SEP18 16.40 +2.19% OCT18 16.65 +1.83% NOV18 16.75 +0.90% DEC18 16.40 +0.61%...

Is there a way to do this model-free?

I don't get this. My obligation is to buy the underlying at the strike price and I have the money for that (100%); it's like buying the underlying and selling covered calls.

What if I buy DOTM calls on vix futures in place of index puts? Thanks

Can the following be thought of as "Dispersion Trading"? I sell Cash Secured Puts (american style) on a stock and collect the premium. I use that premium to buy DOTM puts options (european style) on the index the above stock is part of with a beta of 0,70. Both options have same expiration...

I have a question about long-term butterflies; why are they usually cheaper with months to go and become more expensive when expiration date is approaching? Would it be good to open them alobng the way?

What led you to think so? (for the sake of simplicity I will assume multiplier is 1) By selling short those ten C31SEP for $231 each, you get a credit of $2310 which will pay for thirtyseven C35OCT long options, no actual cash outlay for this position. You should compare deltas! So...

Say the sold short options for ADBE was trading at 355 and the long options at 76 that means 355*10/76 = 46 options to neutralize gamma.

This strategy sounds good although I am wondering..why not do it for a small debit instead of a huge credit?

So, how are you getting along with that strategy?

I am sorry, the following should clarify more! SPY DEC12 options as of september 10: SPY DEC12 options as of today: The strategy was +p143 -2p144 +1p145 look then and now pricing (hit the market or mid price).

the then-fly now is pricing differently. (just edited my previous message)

So, that is how dec12 options look like after the market rally. (+p143-2p144+1p145 = now is worth 0,15)

So, I could be be exercised if the fly goes itm along the way?

DEC12 (+p143-2p144+1p145 = 0,07 debit market price) that's that!