Search results

Vanilla equity options

I trade the Asian markets sometimes with IB, they have easy access and data feeds for Asia. My experience is they are not much different from EU/USA markets, so expect the usual I guess.

This question is for someone who has lots of experience and time spent in the markets in the past...would you, on average, in the current conditions, rather be a net buyer or a net seller?

Just go naked short like that other guy did, selling premium is guaranteed riskless profit...its amazing Note: Do not go naked short

after some thought i agree, looking at realized is a better solution than what im currently doing. thanks for the tip

I trade all kinds of positions, so I wouldnt be surprised if second order risks rear their heads. however it hasnt been a problem yet, lets hope it stays that way :D BTW the solution i posted previously does not work after all. so its back to the drawing board for me...

Well the point was to use it as a tool for PnL explain for gamma / delta PnL. I'm not sure if the nth order risk will matter with smaller positions, at least thats what I've been told.

Thanks, yeah I looked at this site... And I kind of figured it out. Use this formula to figure out your gamma/delta PnL since the last rehedge. 0.5*gamma*(delta/gamma)^2 Once a new trade is made everything will be recalculated, so you have to save the old value each time a new trade...

Yes, but even if we accounted for DgammaDspot we would get the same problem, as the formula is exponential, that is PnL builds up in an exponential, not linear fashion....so I will have to go about this another way than using percentages... Yes, there are several formulas, yours is from the...

Actually on further thought, are you sure this is the case? Remember the formula 0.5*G*S^2 is not linear in nature. Let's look at an example: If I have 200 gammas and spot moves 1, I've made 0.5*gamma*1^2 = $100 and my deltas are now +200. If I now rehedge my deltas from 200 to 100, I've...

I tried doing PnL attribution in Excel but it's harder than I thought. Basically I'm looking for some way to attribute my PnL to the various greeks in realtime. Also take into account that if my portfolio changes around by closing / adding positions, the software must correctly understand...

I continously track the midpoint and I almost always get filled at midpoint if I wait a little bit. However you're going to take unwanted exposure while waiting to put on the entire position, so it may or may not be worth it.

Not sure what you're getting at...anyways no worries my question was answered by Martinghoul

Alright thanks

Anyone?

Upon a rehedge, you in essence lock in a profit or loss, so if you determine your gamma/delta PnL by the formula 1/2gamma*S^2, you lock in this profit if you rehedge. Is it then safe to assume that if you rehedge your deltas by 70%, you lock in 70% of the PnL that 1/2gamma*S^2 would give you? It...

Shorted ATM straddle, made a nice buck

There is nothing a mentor can teach you that you can't find online for free. As for the best platform, look into Think or Swim

Most brokers have them. I know IB does at least.

Look into variance ratios. A more "academic" way to check for mean reversion/trend in data. Although the math behind it reminds be much of the math behind RSI/stochastic etc...