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I was trying to compare the volatility to matter, when using the term "anti-volatility". Didn't mean to make is sound confusing. We are using some physics models to measure motion, I guess that is no different (in some respects, to Black-Scholes) Techincally - measuring volatility moving...

No - They invented them (sort of). I hadn't been on since 2006... I know of a couple of ex-timber hill traders that post on here and a few other market makers ... someone forwarded me a link to an interesting thread - so I decided to lurk and make a couple posts. However, I got the beat...

I don't know why I bothered with doing all the math - with examples to offer some help - only to getting beat'n down. If these people new to options (or ones that are just ignorant to them) are not getting it - shouldn't we try to help. God forbid they use some option software that states...

Let's keep the responses to the math and toss the semantics to the side. I am just pointing out that market makers, institutions, and even many option orientated trading/risk management software refers to it as the value OVER intrinsic. If you choose to ignore or interpret what the clearing...

Fine - as the last 3 post claim that the word "premium" means the net price of an option - as defined by the series 7 exam. Ask any market maker to check the premium on their position - (which every trading sheet from Goldman to Merrill Lynch) will clearly define it as the "premium over...

interesting - thanks - I concur, leveraged bet with a finger along-side the nose.

I agree it is a phishy trade to say the least. What is the OI - who knows how much was an off-set against an existing position? Additonally, I have hedged long deltas with long put spreads that are less than 50 delta, just because I wanted gamma. However, I tend to agree - it's a leveraged...

I think there is some misunderstanding... Many people confuse the term PREMIUM. It is NOT the net price of the option, rather it SHOULD only be referred to as the portion of the option's price above it's intrinsic worth. This is a common misunderstanding in books and lectures - even among...

Valid points... However, I believe that volatility expansion/contraction can be predictive (the second derivative). You may disagree - which is fair, but that is not to say it is not possible. I am certaintly not saying we can tell you if it is going up or down and by how much - we are...

That's what the cat said when he was put into the box! I guess you missed my point on the 3 derivatives of motion..... never-mind - You should see the group I work with - it hearkens back to Xerox Parc. I don't know if that puts the proper image to mind - without getting too explicit.

Great POINT!!! I do NOT recommend relying on ANY back-testing if you are going to MANUALLY TRADE. Back Testing ALWAYS assumes automation. If you can't automate the trade - then the Back Test is pointless in creating any expectation. Simply - you can never account for discipline...

BTW: You can have two methods of winning. You could be right only 40% of the time , but have a 3:1 payout. Or You could be right 60%, but only have a 1:1 payout. You need to know what your strategy expectation is, prior to figuring out probability. As they say in poker...

A strategy (regardless of probability) should have a risk/reward ratio. Example: Covered Call - 1. You can calculate static yield 2. You can calculate maximum gain 3. You can calculate 1SD RISK/REWARD values 4. You can calculate expected return You know have a set of data with...

It's daily and it's Free (the second best 4 letter "F" word). Market Preview http://visitor.constantcontact.com/manage/optin/ea?v=001dbhkIZY57-BGhAi1qFm7FA%3D%3D http://marketpreview.blogspot.com/

Sorry - I do stand corrected as to the old vs. new. As well, I am aware of the including of the skew in the new model. However, the distribution in not indicative of statistical distribution. Of course that has always been the fault of every theoretical model - it is only a guide and not...

While that is certainly good comedy, you should not be trading the rent in the first place.

The primary problem with back-testing is that you may see something that works, but it may only "seem" to work. Unless you are able to answer the WHY as per your hypothesis, then it is just a coincidence. Don't look at the data to TRY and find correlation - that will only end in ruin...

Execution risk, liquidity, etc. Example: (not taking liquidity into account) I once saw a back-test for options trading that did extremly well at capturing volatility on spread-trades. The data was solid and everything looks excellent. I could NOT find a single issue with the back-test...

QQQQ (minus the tracking error) is aprox. 1/40th the value of the NDX. Thus trading them against one another - you need to use the multiplier (and tracking error) to adjust accordingly. Remember some important properties of delta. 1. They are greatly affected by Volatility. Increase vol...

VIX - yikes... What to say that hasn't already been said. I have several issues with the VIX as a method of predictive statistical volatility. 1. While they have changed the model, it is certainly not reflective of the actual increase in skew. It is possible, to see an increase in the...