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QQQ wasnt exactly a broad index back then, neither is it now. Try that same exercise with a basket of stocks that span accross multiple industries and you'll get killed. The market as a whole has nowhere to go but up.

Good stuff, yes speed is important closer to expiration. I've been burnt on it before, if you got like 2 hours to expiration and a major move happens past your gamma strikes, you're gonna build or lose deltas extremely quickly, so it's a bitch to manage.

Thinkorswim does, I think.

v*sqrt(T) is time normalized volatility. In other words, a volatility of 0.25 gives a time-normalized volatility of 0.25*sqrt( Days to expiry / 365) d1 is given by this formula: As for spreadsheets, I do have a sheet with BSM + all of the higher order greeks (Zomma, Vomma, Vanna...

What you're looking for is called "Speed", a third order derivative. Here's the formula: ( Gamma / UL price ) * ( d1 / v*sqrt(T) + 1 ) Let me know if you need an example or explaining of the formula

http://www.schaeffersresearch.com/streetools/options/greeks.aspx

Since realized vol tends to be below implied, yes option sellers have an edge. Is the extra implied vol rational? Well, sellers face jump risks, transaction costs, tail risk etc that isnt accounted for in the BSM assumptions, thus it gets priced into the implied volas. However I believe there's...

Long performer, short underperformer

Stopped at 1318, done trying to daytrade ES for now:p

Down from here...short 1315

Short 15

Am I too late for the party? Atticus, still willing to PM? Thanks

Going to need more details than that. Is it a backtest? What kind of trade are we talking? What underlying?

I believe Excel is the middle ground you're looking for. It's very flexible wrt calculations, data mnining, statistics etc, but at the same time much easier to deal with than programming languages like C++ etc.

Always some naughty ones getting out of line, but for the most part it's been a down market. Not sure how high overall correlation is right now but doom and gloomers were screaming correlation bubble some time back.

Not a good month for the put sellers in here I would assume.

Forward rate agreement I think? Not sure...

If markets are efficient and follow BS. Which they do not. Take a look at this for instance: http://www.cboe.com/micro/put/ Naked put writing beats the S&P

Good stuff, I'll lever myself via a loan shark and put my life as collateral, thats riskless profit right there!

Bank took my house after I wrote puts against it...I live in a box now Yeah, I lost it selling naked calls in AAPL....but I'll make it back selling some more naked puts in spanish and italian banks :)