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Why would you wan't to add unnecessary risk to a directional trade? To start, gamma is usually over priced. "If you wan't delta trade the underlying" ~ a successful options trader. Taking a view on both direction and vol and being successful at it would put you in the top tier of traders on this...

What your describing sounds more like a stock portfolio. For an options book you want to look at it like a matrix of multiple risks. If you want to use options as a directional tool you are in for a ride, be ready to say "What the F*&^ I guessed the direction right, why is my position down!!!!"...

This reminds me of when I was in grade school. I use to say "why do i need to learn about parabolas, they are useless." Little did I know..

If we are long a calendar where the front expiration is before the earnings then we are long the jump volatility. We are short the "usually" over priced ambient volatility and we are long the jump vol. If the jump vol is to high then a calendar will not be any good. The IV ramp is just the...

Des, check out the NDX/QQQ 95%/97.5%/102.5% Sep 7th 231 P fly. The skew is very steep. The trade looks appetizing.

I want to use my forecasted vol at each node as we go through time. Obviously vol is path dependent and the binomial tree would be perfect for what I am looking to do. There is quite some good stuff in your reply here. Something I am looking at is how should I price the Sv^3 node (as an example)...

Thanks for posting, this will definitely come in handy in the future

That would be great if you could find it! Well I am trying to get better pricing for these less liquid options. Considering how path dependent vol is, I can't be using BS. I also want to workout some binomial trees using my own t+n inputs incorporating skew.

Hey everyone, I am creating a binomial(eventually trinomial) tree for an SPX 1 month option. What I am looking to do is incorporate local vol into the model. So for example if SPX drops 10% in time t, I will have a vol of vt. Like wise projecting non-constant vol into the future as it goes...

Before I ask anymore questions, you did it from a draw of 5000? And the first card was 1 second card was 10?

Let's see if this holds true. Someone writes down 5000 numbers and hands you 3. The first one you flip over is 1. The second you flip over is 10. Do you have a 66% chance 10 is the highest number of the 3?

This deserves more publicity.

Would you not say it still takes alot of talent/work and much time out of your day, to find and monitor these structural trades?

pretty flat skew on M, unlike you. Pure vol play?

Kim I am pretty easy going and don't like to criticise others, especially when you are genuinely trying to get better. But I hope your subs realize you paper trade. I can almost guarantee you, you started out trading and realized you weren't good, so you repackaged your knowledge and charged a...

LOL this is coming from the guy who wont post their 86% CAGR returns your always bragging about or even post 1 pre earnings long straddle trade. Your a joke. If your short going into earnings you will have no problem getting a fill in the morning. I have no problem posting my fills, unlike you...

LOOL thats how he tricks his customers. He gives them delayed fills after the stock has already moved.

I notice you use the words "believe", "doubt", "think" alot in your posts. For someone who claims to do a lot of back testing, I find it interesting that these words are in your vocabulary. Could you explain why you think we would not get filled at mid? I mean considering the usual imbalance...

You can read my qoute right there Kim. Just to let you know, you don't have to hold an option until expiration.

Are you having trouble reading Kim?