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I haven't heard the chat so I can't really argue for or against this, but the positive vega of a double diagonal is not "homogeneous". You can't just add up the vegas across different expirations. So maybe the speaker meant that the front month would get crushed more than the back.

Assuming you are looking at the closing quotes, the bid-ask went down from 1.69-1.75 to 1.60-1.66, last went up from 1.64 to 1.76, and IV went up from 22% to 23%. With the delta of about -0.46, vega of 0.08 and QQQQ going up 0.37, the option price should drop by about 0.09...

I'd say they are getting killed not making killing.:D

oops, right, thanks!

Corn futures and options are quoted in cents per bushel. Contract size is 5,000 bushels so 1 cent is worth $50 (0.01*5000). The tick size for futures is 1/4 cent per bushel so that's $12.50 per contract. The tick size for options is 1/8 cent per bushel so that's $6.50 per contract...

Well, just look up the contract size for the particular options/futures you are interested in and then you can calculate your point $ value. In most cases, it is already stated in contract specs.

All you need is the contract size.

Yes, it is the basic synthetic relationship. 1 NDX 2000 put and a 200K portfolio is equal to 1 NDX 2000 call. Front month ATM options have the highest gamma, but also the highest theta (time decay).

When you hedge with futures you give up not only all of your losses, but also your gains. Delta hedging with options is the same principle. However, while futures' delta is constant, option's delta changes as the underlying moves, so as the option moves further OTM (in case of a put the index...

3 NQ emini futures are 60 deltas. NDX Aug 2000 put has a delta of 0.52, so one contract has a delta of 52 and would slightly underhedge the portfolio. NDX Aug 2025 put has a delta of 0.63, so one contract has a delta of 63 and would be equivalent to 3 NQ's. However, I agree with the OP, if...

The call calendar is more expensive due to the cost of carry priced in. By the way, I don't see Mar expiry on ECA. It has Aug, Sep, Oct and then the Jan's. I'm not sure what exactly you are trying to achieve?

Since when do OTM options have early exercise risk?:confused: I suggest you review synthetics before commenting on my answer.

Why don't you use the deep OTM equivalent!? A deep ITM call calendar is synthetically equivalent to a deep OTM put calendar and vice versa. To see whether a particular option is American or European you'll have to check contract specs.

You leg it.

Options lose around a third of their time value in the last month, so the last month is critical. Time decay accelerates all the way to expiry. Any good book on options discussess time decay.

As long as it expires OTM...:)

I don't see the point either, but what the heck... SPX - below 1485 & above 1580 NDX - below 1950 & above 2125 RUT - below 790 & above 880 As to how I got these...sorry, it's a proprietary calculation.:)

Watch out for the commissions and slippage foot!:D

http://www.elitetrader.com/bo/index.cfm?action=showbooks&CatID=4

Not really. When traders talk about an options software they are usually referring to an option pricing model and position analysis tools, which allows you to perform "what if" analysis on either your exisitng or prospective positions as well provides the Greeks. E.g. what would happen to...