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I don't think your answer is naive, I think that you are clearly working hard to become proficient in a complex area. I hope that the same can be said of me. I bring up this difference between the assumptions underlying the B-S formula (i.e. logrithmic price distribution without jumps) versus...

This kind of comment is totally un-needed. You obviously have some insight. Why not elaborate on the statistical matter at hand rather than trying to kill the discussion?

One of the things that interested me in this thread was the (semi) numerate discussions and the relative lack of boasting one one hand and abuse on the other. It's a bit sad that this thread is starting to degenerate. Perhaps now that there is a bit more volatility, it may be possible to get...

Natenberg is a classic basic book. Cottle is fun, but pretty muddled and "quirky" for anyone not obsessed with options. A good set of mid-level books after macmillan and natenberg would include baird and possibly taleb's "dynamic hedging" although even taleb can be confusing if you don't have...

Pray for uncertain times. Is it "unAmerican" to hope for volatility?

Calculated this am with Optionvue's Theo price. We'll see in half an hour if it's possible. Good luck with yours - if you get a volty increase, do you plan to offset, or hedge vega, or something else?

It's bit off centre to allow for an upwards bias in the actual, but has a reasonable amount of vega to allow a cushion should there be a quick drop. Does anyone know how to put multiple images on one screen? Still Ugly

And the effects of dVolty here:

Nice Position. I've attached a Dec/Jan DD here : showing the effects of time and actual price

My apologies for being OT once again... If anyone here is feeling in a riskarb/mav-ish mood, I've tunneled through Neftci, Wilmott and Grimett...God help me, what else to read? I promise to be brief and on topic if I ever post again. Dazed, Confused and Ugly

bps = basis points - i.e. 1/100ths of a percent (of volty change). Asking questions is not stupid.. The reason, perhaps, to use basis points as opp'd to just "X% change" is that "X%" can refer to an absolute number (ie volty increase from 10% to 11% is 1%) or a relative number (ie increase...

Exactly, those vanity posts made me take this thread off of my RSS feed. On a more useful note, has anyone been able to get a copy of Taleb's "Black Swan" yet? Ugliest

Exactly. I've been looking at OIH a bit. Sailing, with respect to straddles, I've been doing unbalanced butterflies a bit, and I'd be interested in looking at straddles/strangles. Personally, I would probably want to do them as butterflies with deep OTM wings, to limit both risk and margin...

Is anyone systematically doing ICs/CSs/DDs on any products other than SPY and other stock indices? I want to diversify a bit. I've looked at USO and the bond ETFs, but they're a bit thin. Single stocks don't interest me at this point. Also, I sometimes save the thread as an editable text...

A "principal" of clear writing is to use as few words as possible to convey an idea.

Surrey is the arm pit of everywhere.

Riiiiiiiiight.... This is the poorest trolling I've seen in a while. What I don't get is what all these obviously fake posters get from posting threads like this. Are they lonely? Is it a dare? Did Mom put them up to it? Explique moi! Ugly

Excellent info. Thanks.

Thanks. I can see eurofx having minimal correlation to SPX. Crude though - I worry that that would be inversely correlated (which is still correlated). Do you have experience with the premia in these markets? Still Ugly.

I have a question about diversification. I trade about 1/3 of my account as index CS/ICs and I'm in the fortunate position of having had enough growth to significantly increase the funds available to this strategy. I've been thinking for a while about diversifying by using CS/ICs in another...