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How would it not be adjusted for interest paid? It would have to otherwise one could buy the bond(collect interest along the way) and sell the forward for arbitrage. Forward price should be adjusted higher. Where am I off on this?

Thanks Robert! Just so I am clear... When you have 1,000,000 in a brokerage account and you buy 2,000,000 worth of AAPL, you are charged interest on that extra 1,000,000(by your broker). That is not the case when buying/shorting futures, correct?

I assume its like an equity index in that it is adjusted for dividends(interest), but are there any other funding interest fees to buy? As I understand it the price executed on a forward contract is typically adjusted upward to count for the interest that would have been earned during that...

Thanks. Is my example correct though? The link to Tastytrade has a wrong example, right?

Is this right though?? From the link... For example, if a $100 stock is trading with a 20% implied volatility, the standard deviation ranges are: - Between $80 and $120 for 1 standard deviation - Between $60 and $140 for 2 standard deviations - Between $40 and $160 for 3 standard deviations...

Ok, so if I see a SPY IV of 13, that is a log 13%, not a linear(Or geometric? Whats the "opposite" of log?)? So the actual 1SD change over the next year would be 13.88%?

Is it correct to say a 2 standard deviation move to the downside is impossible(on a yearly basis)? ie something can't go down 200%. Same question for a stock with a 50% IV and a 3 standard deviation move. Not possible? Am I thinking about this correctly? EDIT: I thought I remember watching a...

I just meant forward as opposed to spot price. Not sure what a european combo is, but I always thought equity forwards were priced using Rf and dividends. Is that not always the case?

So what would cause a stock like TSLA to have a delta of 56 on a 90d ATM call? Risk free rate and high vol?

Hello, Do options only have a delta of 50 if the FORWARD price is at the money? I believe there is a residual amount which is influenced by vol(please correct me if I am wrong). Thanks!

I put on some $20/$30 and some $25/$39 box spreads. I closed out the $20/$30 for a profit before year end. The $25/$39 are still open, but will be closed before 30 days. My question is does the profit on the entire $20/$30 spread aggregate as a net profit(thus no wash sale impacts) or would each...

Thanks Robert I am pretty sure we are saying the same thing, I am just not using the right terms.

Thanks. My point is if you are long something at -11 and it goes to -10, you gained 1. On my platform it does not indicate that this is a short box. If I put on a bull put spread and bear call spread in one trade(what I laid out above), it simply says this is a box. If I SOLD a bear put...

Buying at -11(Adjusted IVs) At expiry, $100 profit

I should say it would expire at -10(you are short higher put and lower call). If you are buying at -11 and it moves to -10 at expiry, its a guaranteed $1 profit.

Well buying it for -$11, meaning you get an $11 credit. If it will expire at $10, how is this not a guaranteed $1 profit?

Hi all, Assuming flat IV and no market frictions the buying the below basket of options should give me a $10 credit, expiring at $10, correct? Short $100 Put Long $90 Put Short $90 Call Long $100 Call And I assume buying it for -$11 would be a guaranteed $1 profit? Thanks!

Thanks for the responses guys! My confusion really comes from the fact that the mid prices have the same IV. If the IV lines up, the prices should.

Hi guys, Theoretically, if your put and call IV is the same, there should be no difference in putting on a Bear Put spread and a bear call spread at the same strike. So in the attached example, why is the $1 bear call spread paying me 37 cents, whereas the $1 bear put spread costs 74...

But a strike that it ATM has an even greater chance of being in the money if vols go higher. It still doesn't make sense to me. Vega peaks ATM. How could an option 20% away from the ATM strike move more when vol pops, than a strike ATM. (This is all assuming no skew)