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Congratulations Tiv! Sounds like a good couple of months for you. Someone with your amount of $$AUM is clearly well beyond needing any kind of external validation or approval from contributors on anonymous forums, so I can only assume your post here was because you were not aware of the...

Well, my understanding is that a 1 tick wide vertical will replicate a European digital everywhere on the map of risk-neutral possible outcomes. Path-independence means only expiration risk profile replication is necessary from a static hedge point of view. This replication obviously doesn't...

They use a special magic potion which allows very accurate calculations. OR perhaps they use the standard Black Scholes/Binomial formulas like everyone else...I forget which. Not necessarily. Current discussions are taking place now. Also, search on ET, this has been discussed before with...

Momentary segue: Random mumblings as a follow up on replicating a European binary with vanilla verticals. Ramp payoff for vanilla versus discontinuous payoff for digital: More from www.riskglossary.com As can be seen the discontinuous payoff is not too dissimilar to a...

Basically, it defaults to the front week/month but you are not stuck with it. You can vary the IV you want to use by clicking on the spanner icon on the far right at the top of your positions and adjust up/down by an absolute amount. Whether you believe weekly IV is of use or not is your...

My facetious remark of the day: Try turning your monitor upside down :D

Nick and others, it seems most questions have been answered? RE: Gamma scapling a straddle with options - nice work if you can get it. Personally, I generally won't do this on the CALL side however due to unfavorable IV activity. If I'm really bullish, when I sell the PUTs, I might also...

Good "leg in". Some random musings on whether your forecast could have been leveraged in a different manner for folks with different risk appetites. What-if alternative scenario: Bought ATM PUT rather than 1240 OTM PUT. Gamma scalp by selling fat and juicy lower PUT on sell-off to...

http://mediaserver.thinkorswim.com/demos/ana4.htm

I differ on interpretation: The "Up or Down" is synonymous with a double touch = long double American digital/binary i.e. it is the other side of the "Barrier Range" bet = double no touch = short double American digital/binary The "Double Touch" bet (possible misnomer) is the...

:eek: Straddle Gamma, and other greeks also known as hedge parameters. The clue is in the question :D More elaborate and helpful responses from others to follow I'm sure...

Doh! Only just saw this. Still testing basket selection methodology. I am hoping we will have higher volatility for some months to come so I'm not worried about missing the boat.

What you are doing is gamma scalping with options rather than stock. It is particularly viable under current climates - higher volatility and more so on the PUT side. Again, the skill is deciding when to scalp! Good luck. MoMoney.

Agree, but normally after a 3 day weekend the time travel IV manipulation would have been played out by the end of the resuming day to bring us back to the present. :D

I'm just a broken clock that happens to be right twice a day :) There is large ambiguity over correlation of IV/VIX and SPX price action in general. Anecdotal evidence suggests that there is more of a correlation between IV and SPX price "bands". Modelling volatility of IV or vvol as it is...

Yes, it's getting there! Waiting patiently :) Wonder if you've seen this IV: http://www.risklatte.com/volatilityToday/volatilityToday050721a.php It talks about dispersion trading from a correlation point of view under certain circumstances.

Ahh, front month puts better :) Die SPX die.

I'm not sure how you intend to manipulate/handle the data but it should be a fairly straight forward exercise to extrapolate the codes for the relevant strike prices: 1005 = A...1100 = T 1105 = A...1200 = T 1205 = A...1300 = T :confused: Or is the problem figuring out which range is...

Great microwave metaphor. I would equate his theory with the effects of emotional investment. The greater the emotional investment the less likely to change position in the face of facts that contradict the position. Religious beliefs are prime examples of this but waaaay OT :)

http://www.indexarb.com/ Enjoy!