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Most people seem to be citing the same issue: the data should be adjusted/smoothed before attempting the calculation, and this is probably a good part of my problem, as I am using the last traded price as the main input. I would say that in my market the bid-ask is very tight, however It's...

Oh wow, this morning I woke up all excited to read the replies to my question that had poured overnight.. ..and then I discovered that a good chunk was related to this. :banghead:

hey all, anyone here ever tried (or is already using) a local volatility model? I am trying to implement it with dupire's formula, following the method in this webisite: https://financetrainingcourse.com/education/2014/05/implied-and-local-volatility-surfaces-in-excel-final-steps/ however...

@TheBigShort good point, I would add however that the greeks on the butterfly tend to invert while the thing moves in the money. Here you start with +vega + gamma because the structure is mostly otm, but as spot gets closer both gamma and vega flip to negative. It's the butterfly way of telling...

if you did this for each individual name, commission-wise you would create a very complex structure to extract a minimal reward. On the other hand, if the delta hedge was on your entire book and you had many flies in different positions then it would make sense. I read many journals where...

It's amazing how many different indicators you can make out of the same data series. It's like when politicians cite statistical data..

The issue is that a long option always has +vega and -theta, while a short gets +theta and - vega. You can have them both positive only with a calendar spread of sorts, and even in that case you will never have them both massively positive. Also, positive theta in a calendar kind of fools...

I would not say that indicators are completely useless. They are just a graphical way to read and quantify price and volume changes over time (I would also add breadth as the third "raw data" type). Yes, you are only looking back at past events, but as Mark Twain said "History does not repeat...

Moral of the story: never short a black hole.

your main trade is buying puts? Would you like to explain a bit your strategy (without going too much into the details of course)? I'm really curious because every time I bought puts I got burned..

to the OP: yes you can do this strategy (I also do something similar) but never take too much risk. How much is too much risk? Among option veterans the consensus seems to be that your Theta must be below 1% of your capital. If you don't know what Theta is, I suggest studying a bit the greeks...

@tommcginnis sure you can't blame computers for distorting prices, but can you blame them for sudden bouts of volatility? I would say hell yes...

ultimately, it all boils down to having realistic expectations about the returns you could generate. That's why most people deep inside still *want to believe scammers.

the issue is that if those 1.2 billion people decide that the market is going the opposite way as you do, you are going to be steamrolled, no matter how smart you are. On a side note, I hope that they restart imports soon, having to buy shitty ground pork at the same price of beef sirloin is...

@tommcginnis haha you got me.. Been trying to do that for a while now, and I am starting to see some promising results. So far, the best (naked) premium selling strategy seems to be a sort of asymmetric straddle (very similar to destriero's pitchforks), with the P/L curve adjusted so that it...

Really? I thought he was associated with a certain yellow bear.. first time I hear that he's also called that way.

It's the Chinese name for the steamed bun..

If you really have to short, always go for the straddle/narrow strangle where gamma is highest and you are paid for the risk you take, never for the wings. If things go bad (and they will) at least you'll have more time to see the freight train coming.

Hi all, I am trying to calculate the expected value of an option at a certain point in time when the value of the underlying in that point is known. I am looking for something that is not too intensive in terms of calculations because this formula would be part of a more complex function with...

Too bad you're in Shanghai! Any event in Shenzhen anytime soon?