Search results

So what you meant to say (and should have said) is that trading iron condors requires being able to quantify the probability of large moves in the underlying price. I agree with that, but obviously there are very many ways to model price action other than the lognormal distribution used by BS...

I have a question about historical volatility calculations. Suppose we have a stock that pays out a dividend of d on some regular basis (quarterly, say). We know that the price of the stock will drop by d on the ex-dividend dates, on top of whatever random motion there might be. The...

How well would your bull put spreads do if we had a flash crash like last May but the market *didn't* pop right back up? I was of course simplifying when I gave the toy example of a series of credit spreads that expire worthless followed by one that goes in the money so fast you can't stop out...

Nothing in your post explains why trading iron condors requires Black Scholes to be correct. There are any number of other pricing models that assume fatter tails than lognormal, and if options are priced according to accurate assumptions an iron condor will have zero expectation. Yes, once in...

There is, but not with futures. I just bought some beaten down natural gas drillers. If natural gas prices recover they could double or triple. But this might take a couple of years.

The correct questions are: How many dollars can Bernanke print? How much debt can Congress create? Answer those questions and you'll know how high gold can go.

Why do iron condors depend on BS being true? The existence of the volatility smile shows that the options an iron condor trader buys and sells are not priced according to BS. (If BS applied all strikes in the same month would have the same IV.) These well OTM options are, in general, more...

In my IRA I can certainly sell cash covered puts. I can not sell naked calls, they must be spreads. If your broker doesn't let you sell cash covered puts in your IRA find a different broker who will treat you like a grown up.

They have a decent income per capita, but the capita is pretty damn small.

You are bringing up issues that are irrelevant to the question posed by the OP. (You are also making some misstatements -- commissions are the same on deep ITM options as they are on ATM options.) A deep ITM call should have the same IV as the deep OTM put at the same strike, by put-call...

I see futures data there but no options data, which, due to the multiple strikes, is far more voluminous.

Given the vast quantity of data required for historical option information (so many strike prices and maturities) I would be very, very surprised if anyone is going through the trouble and expense of collecting the raw data, cleaning up any inaccuracies, carefully marking relevant events such as...

Several vendors sell historical option data with bid/ask spreads and trade volume. For example: http://www.livevol.com/historical_files.html And some also include open interest, for example, http://www.optionmetrics.com/ivydbus.html I'd look mainly at the bid/ask spreads myself. If...

I think "None of the above" would win by a landslide.

The stock market will go up until the very last die hard gives up and stops out of his short on OPEN.

Buy and hold if you must but at least buy some puts. And remember, they'll be married puts.

On an earnings option play you not only have to get the direction right but you're fighting a drastic IV drop. So I have to give KINGOFSHORTS his due -- he nailed that one. A 10 bagger in three days. Nice.

Most of the time a short term bet that an asset will hit record, never-seen-before-highs doesn't work.

The United States is not the richest country in the world. It is the most indebted country in the world. The problem is that our politicians spend as if we <i>were</i> the richest country in the world.

I'm in the real world. And I don't care what degree you got.