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It depends on how wide the interest rates of each currency are spread. If they're equal, delta is exactly the probability. If they're wide apart, delta gets further away from the probability. If you're doing the Real vs. Yen, it might matter quite a bit. On the other hand, Dollar vs GBP...

Then my answer isn't as helpful as you'd expect. :-) Black-Scholes is the wrong pricing model to be using for currency futures--you should be looking at Garman-Kohlhagen. The relative interest rates of the pairs you're trading are more significant than in typical B-S.

Delta is close, within 5% generally. The formulas, however, are *different*. d1 = ln(price/strike) + (interestRate + (volatility^2)/2) * timeLeft) / (volatility * sqrt(timeLeft)) Delta = Normalize(d1) p1 = ln(targetPrice / price) / (volatility * sqrt(timeLeft)) Prob = Normalize(p1)...

In general, IV is the risk the market has priced into an option. For bio-tech companies about to hear from the FDA, the market may be pricing a 200% annual price move into the option because they have no idea what's going to happen. Just a quick google search turned over this page, which...

I don't know what you're referring to--MXIM Feb 30C has an IV of 27%, a theta of -$3.30. This seems pretty reasonable to me. Delta and theta are not independent--the delta/theta ratio is not going to be a meaningful indicator. The "highest" ratio will always be ITM options which have a delta...

Unfortunately not. By the time Monday rolls around, the option has been discounted an appropriate amount.

At exactly 2:17pm on Friday. Never an exception. "They" got together and decided on that time long ago. Easy money can be made--just sell an option at 2:16 and buy it back at 2:18. Or maybe the market isn't stupid enough to do it instantly and instead depresses IVs slowly throughout Thursday...

The various Fed statements were the cause of the move today. Look at the bond markets and note the complete chaos.

That is, of course, market-dependent. Options on stock indicies do increase in IV as the market falls. Coffee, on the other hand, increases in IV as the market rises. I only mention this distinction to drive the point home--IV is the way the market factors out directional risk. If Coffee is...

There is no strong correlation or negative correlation between GOOG and GLD, at least. http://www.impactopia.com/

And you recommended a highly speculative strategy? I think you'd fail Investment Advisor 101 on this one. :-) Your average guy should be looking to options if he has the money to lose, not to help him make it to retirement. To your average guy, allocate his portfolio appropriately to his...

Not to take anything away from your post, but I thought this an interesting comment. So far today, 2.2M shares of GOOG traded, about 22,000 option contracts, so, in terms of total shares controlled, they're actually MUCH closer than I expected!

Because any option can be turned into a synthetic of exactly the opposite position. Let's say you were right, and a stock in a downtrend is now discounting ATM calls several months out. This would imply that an ATM put would be expensive, and an ATM call would be cheap. So, why not simply...

The softs are out, at least for the moment, but the electronic grains are very active. Wheat, Corn, Soy, Soy meal, and Soy oil are all good to trade, even on an intra-day basis. CME's lean hogs seem to have some tight spreads lately too. IB also supports a variety of pit contracts at CME and...

SB just started trading electronically, and at the moment is offered by NYMEX in an attempt to knock NYBOT off. It's possible when NYBOT finally offers their side-by-side contract that it will have some good volume. In the meantime, the only way to really trade sugar is in the pit (which IB...

Can anyone recommend a free or low-cost data source for CTD & pricing information? I know Bloomberg has it, but at $1700/mo, that's a bit steep. :-)

Ouch--really? A new crop/old crop wheat spread had a $250 margin. In one day, people trading that spread lost $5000 per contract.

Hi Yucca, While I wish you great luck with your trading and really do hope you'll be successful, it's hardly surprising that a rough equivalent to a covered-call strategy worked well in one of the best bull markets in years. You could have easily sold naked puts, saved yourself a lot of...

I wonder if Alaron would have allowed him to hold past first notice day on an electronic Corn/Wheat/Soy contract?

I just don't know how much real substitution exists. If corn grows best in the midwest, and cotton grows best in the deep south, is there really a conflict here? I mean, you have to take yields into account. If a farmer can plant expensive corn at a lousy yield will he do that over cheap cotton...