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There is such a thing as a high volatility name and low volatility name, mainly relating to the amount of idiosyncratic volatility that a stock presents. In general, volatility in high vol names is much less market regime dependent and is driven by the name-specific events and speculation. For...

Actually, upon analysis it seems to be a simple long vega bet, at 10 vol I don't hate it either. A bigger one went up today, $12mm in March vega, though closer to ATM. Did not seem to make the same retail waves this time around.

It's more complex then that. What you probably want is a history of ATM volatility so you can use it for ranking and compare the current implied for the straddle to it. You P&L is going to be inherently noisy because aside from the vega P&L, you are going to see a lot of sources of noise and...

The relationship bewteen fixed strike volatility and "composite" volatility is not straight forward. Usually, when people talk of composite vol, it's some sort of fair-variance like product, while a long-dated straddle is mainly exposed to the fixed strike volatility. Composite volatility would...

You can just take the b/a spread and divide it by Vega. This said, chances of the implied vol being calculated correctly in a retail broker are pretty low in my view (for starters, vs. the right forward price).

it also could be a large vega bet on vol surface re-strike - that would be my guess, it's $5mm of vega.

Dude, it's very simple - you take ATM volatility for two expirations, say e1 and e2. This gives you a system of linear equations: vol(e1)^2 * BD(e1)/252 = ambient_vol^2 * (BD(e1)-1)/252 + event_vol^2 * 1/252 vol(e2)^2 * BD(e2)/252 = ambient_vol^2 * (BD(e2)-1)/252 + event_vol^2 * 1/252 I...

We are talking about people a few years out of college here. Senior guys on the same desk could be taking home an order of magnitude more. Majority of small businesses fail. It's very hard to make it from zero to hero, no matter what the way. Probably the best way is to buy a functioning...

On a good desk (like mine :p ) juniors are working 9-10 hours a day, 5 days a week. That gets them paid $90-$125k + bonus per annum and they learn a ton while doing it. A smart desk manager would not enforce face-time either, once you done with your shit, you free to go. I have, however, seen...

Well, that's the new normal - an average sell-side trader is earning less because the business is more competitive and and an average buy-side trader is earning less because there are fewer opportunities. At some point pretty much every business becomes a commodity and does not make the crazy...

300k is barely enough to support a middle class lifestyle in Manhattan for a family of three. It's the reality - a shitty 2-bedroom (900 square feet) would ding you 4k a month in rent or a whopping $1.2 million to buy. Everything else scales accordingly. Obviously, hot young guns can share...

There already is a bunch of products like that, KI/KO puts, touch-no-touch etc. Exotics desks price them in monte carlo (local vol, usually) and they are fairly common in FX and less so in equity space. There are even "perfect trader options" out there. My experience is that anything where...

how is that? event is 1 business day and everything else ambient vol.

Mea culpa i should have been clearer. In my defence, I was in the park on my iPad and had a few glasses of wine before I left.

I am a former child myself -- Henry Blake, Mash

I was estimating the price of an OTM option - easiest way to do so without a calculator is to price an ATM option (so, 0.4 * sqrt(t) * iv) and subtract the delta adjustment (it's log(strike/spot) * delta ATM). As I said, the right way is to take two consequtive implied vols (e.g. 1m and 2m)...

"So, you seek the Holy Grail?" (c) you know

Break-even of an option is not the same thing as implied move for a single day which you are going to delta hedge. Let's say the weekly straddle is priced at 1.75% - since a straddle price is approximately 0.8 * volatility * sqrt(T), the average implied volatility is 0.0175/(0.8*sqrt(5/252))...

Please, do elaborate... At different times during the day, the market was predicting earnings move from 7% to 8.5%.

Sold a few hundreed of Nov 500/550 strangle @ around 19 (sorry, not gonna disclose the exact size or level). Have not hedged the delta yet.