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I do attempt to speculate on the future shape of the curve and have been successful with spreads taking that object as a focal point. I don't know if it's just my dumb luck, though. I look for lumps and bumps in the curve and bet on a prettier curve, buying low and selling high with the...

I can imagine how it is possible to hedge out contango (or backwardation) in the Vix futures through calendar spreads at a ratio. If the contango between months 1 and 2 is 10% and the contango between months 2 and 3 is 5%, couldn't we hedge out the contango to zero by going: Month 2: - 1...

I read that LiveVol has correct Greeks on Vix futures options, but that service is rather expensive and I don't plan on using it for anything other than the Vix option Greeks. I don't know if I would calculate them accurately myself using calculators where I plug in my own data. Do you know...

This seems topical at the moment, with the recent spike. Seems there's been extra written on it lately. So just what are your favorite ways to express a bullish outlook on S&P volatility? Here's what I did recently: Noticing the Vix was below 10 last week, I figured it was just a matter of time...

Does anyone here modify their short straddles by using differing expirations in the legs? I have been playing with that as a way of expressing a directional outlook in the underlying, but have never encountered any discussion on such a trade. I might go short atm calls with expiry in 7 days, and...

There is a 2x inverse VIX etp: https://www.bloomberg.com/quote/X048:GR I notice it doesn't seem to recover very well from the big spikes in volatility, like the 1x inverse does. It's clearly not to be held. Holding XIV and the other 1x inverse Vix products has worked thus far, but 2x is too...

Don't assume the arb has been grabbed up just because it's out there. Why can't you be the arbitrageur?

Just noticed the thread and am intrigued about "zeroing out the roll," which I've been working on. It seems to me it is possible to put on ratio calendar spreads in the futures to take on market exposure without paying a contango tax. Likewise, we could use calendars in a ratio to zero out...

Which pairs generally exhibit the greatest daily ranges these days? Last I thought about it, it seemed to be USDMXN, GBPAUD, and GBPJPY. What are the current biggest daily movers? Thank you.

XIV sure seems to behave a lot like long Vix futures calendar spreads. When the vix goes down, XIV goes up and long Vix futures calendar spread (short front month, long back month), also go up, etc. What are the differences in the two devices, and the pros and cons of one over another? I have...

Well, selling premium going out far enough raises about the same as what is recoverable by liquidating the long underlying (close enough anyway). Then, the market could come back. But then it might not, hence the hedge notion. Who thinks Tvix and its ilk are doomed due to contango, etc.? I fell...

I was considering selling calls on uvxy to hedge tvix, which doesn't have options. When tvix was at about 6, uvxy was at 27. If long 2000 shares tvix at 6, how many calls of uvxy at strike 27 could one sell for a decent hedge in case it never comes back? Thank you all.

Hello traders: Do you know of any software or site that allows users to graph OTC options? I would like to plug in the needed factors (e.g. underlying price, strike price, volatility, time to expiration, etc.) and have the software plot the expected profit/loss graph. There are plenty of...

Thank you very much, TskTsk. You're saying the quote currency is considered the domestic currency? Thus, JPY is domestic and USD is foreign in the USDJPY. Any thoughts on where to verify this. Googling seems a bust. Thank you!

Sure, this is all laid out explicitly in the books of Lawrence McMillan, such as __McMillan on Options__ or __Options as a Strategic Investment__. In fact, McMillan uses the example of being long Vega and neutral everything else. You can set the Vega to any value you like at will and...

Good points. Intriguing that your gamma remained stable by taking alternating long and short positions on alternating strikes. You mention that if you have a lot of time remaining, speed is less of an issue. How far out are we talking? Definitely, achieving gamma for cheap is the top...

Hi folks, Which interest rate is considered domestic and which is considered the foreign rate for purposes of calculating pricing and Greeks of FX options. In Black-Scholes, we only deal with one interest rate, but the FX option model by Garman and Kohlhagen appropriately provides for two...

Thank you very much, dmo and TskTsk. I found a wonderful spreadsheet done up by Espen Haug which provides all the various Greeks with graphs for each of them over price and time. It is on a CD-Rom included in his __The Complete Guide to Option Pricing Formulas__. It's under copyright...

Thank you Tsk. I'm unclear on d1, v, and T. Can you name those variables? Do you know of a shortcut for computing gamma of gamma (which, as you point out is also known as Speed) using the values of the other, more common Greeks? I guess a shortcut isn't necessary, as long as an Excel formula...

Hello everyone, I was wondering if it is possible to calculate the gamma of the gamma--that is, the change in gamma relative to the change in the underlying's price--using the basic Greeks (i.e. delta, gamma, theta, etc.). Would you quantitative finance guys around here kindly post how this...