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Free e-books - "the gift that keeps on taking".

I wondered when the sales pitch would arrive. This thread surpasses even the condor cultists for lameness.

Absolutely it's that easy! Go for it! Take out a loan and trade that too!

Very interesting. How are you interpreting this? Ugly

Lord Voldemort?

Don't be a fool! Alcohol is the source of, and solution to, all of lifes problems. Amore vino ergo sum Ugly-"hic"-boy

Yip, pm me. Uglyboy

RR, great explaination of your vision. It is definitely a cut above the buy and hope stategy that most people have. What is your experience wrt the possibility and profitability of this type of approach in the current market? Ugly

probability of that based on gaussian distro is ~9%. If vols decline 1.5%, probability is 5%. Also, as time erodes, probability declines and the position develops some positive curvature between 1455 and 1475....I think. Like I said, it looks a lot like a vertical, except I am not so afraid...

Good to hear RR. I traded into the position with +1x1455Cs at 10.1, -6x1475Cs at 4.3 and +5 1485 Cs at 2.40. It pretty much looks like a vertical with a little bump on the right side. I know you don't go for the pictures, but I'll see if I can put up a risk graph later. BTW, snow at...

I got out of the Vix options over the last couple of days with a 20% net profit. Lucky, lucky, lucky. Rally, you were right about their behavior, it didn't conform well with my model's predictions. OptionVue has maintained radio silence on this issue... I think that I'll stay away from...

Labib, I think it would be pretty easy to get lost in that spread without a theoretical model to help you limit your bid. Was that the bid/ask for the butterfly, or for combining it's individual legs - brokerages like TOS will often give you an okay spread on a "complex" position like a...

Nice!

rally, thanks for your insight. I've been trying to get the optionvue people to give me a straight answer about modelling VIX options. Do you have any papers/models that help? Not that it invalidates your point in the least, but I bought the longs over the last week (vol of VIX lower) and...

For those of you that didn't get enough of the excessive distributional math discussion on the SPX CS thread, I strongly doubt that VIXs future distro will be lognormal. I think it is more likely to go up than down...any wisdom on pricing these options is welcome. Ugly

How about a play on SPX's future volatility? VIX is at record lows, with the vol of VIX climbing.... I've been buying calls over the last week, and now that VIX's vol is climbing, I'm starting to sell OTM front month calls - a ratioed diagonal of sorts (long more). The big risk is a vol...

Cute double entendre

I wonder if the takeaway strategy for me is to stuff my money in my mattress. If they are truly undervalued, then buying/not selling makes sense. The thing is, I don't believe that the distro of option prices actually implies a lognormal distro. If they did, there probably wouldn't be a...

I'm definitely exhausting my memory of undergrad math, but I seem to recall that Cauchy distrobutions have unlimited variance. To me this implies fat tails are more probable? I could be out to lunch on this one. I haven't looked at this stuff for years and as Donna pointed out, I've only got...

Cool point. Everybody grab your calculators! There are a lot of neat things about the Cauchy-Lorentz distro. From the point of view of options trading, there are (at least) 2 big take home points: 1) Fat tails are real. That is, large movements occur far more commonly than predicted by the...