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Sorry, I was under impression that we are talking about listed markets. However, even in the OTC markets, a mismarked book is mismarked - even the trader himself knew he's lying and was trying to hide it. A true example of a fantasy mark would be correlaton/spread marks in the early 2006...

Well, the explanation is much simpler - 50-delta is not nessesarily ATM forward. The difference between ATM forward and the 50-delta strike is exp(-0.5*time*vol^2), so the higher is the implied volatility, the more 50-delta strike would diverge from the ATM forward.

The guy is an idiot who does not understand option basics. Just read this:

Sure, give me an example of a listed derivative that is "marked to fantasy"? Also, please tell me why aren't you arbing that mark with all of your tragic net worth? So what? when I have to make a price on a quarter-yard of single stock collar, I don't go into philosophy, but rather look at...

(a) Black76 is good enough for 90% of things you'd need (b) True. That is also true for options on any other asset, e.g. single stocks, S&P index, IR swaps or credit indices. (c) Dec options should use Dec futures prices as an underlying (d) This is either complete bullshit or I am misreading...

see my message on page 2, it defines both

"There are no free lunches, there are only cheap lunches. Even then, when biting into a cheap potato, ensure that it's not a rock. " (c) me

Obviously, every situation is different and you should take any advice on the internet with a brick of salt. However, here are a few thoughts: (a) The general thought is that you can, fairly easily, produce 30-50 percent returns while trading options. Your capital base is smaller, so it is...

Sure thing. Lets imagine that you are looking at SPYs, so here is your option chain for November regular expiration (this is ref 167.62 spot): %Strike Strike CDelta PDelta IVol 94.3% 158 0.81 -0.19 20.06 94.9% 159 0.79 -0.21 19.63 95.5% 160 0.77 -0.24 19.24 96.1% 161 0.74 -0.26 18.79...

Not really. Equity and equity index vols, in general, are sticky strike volatility while FX is almost always sticky delta volatility. So, this leads to two things: -- in the equity world it makes more sense to look at the difference between fixed % strike vols as the indicator of the skew...

What do you think comes first, option price or expected volatility of the stock? Let me ask you differently - if you have to buy or sell an option that does not have a listed market, how would you approach it?

Here is an intuitive explanation of implied volatility, without even mentioning Black/Sholes or stochastic calculus. You just need to understand the option payoff and how option price changes with the underlying. The thought process is actually pretty straight forward: (a) in order to lock...

Ok, it's good to know that you think you are exceptional! Let's just hope you have the knowledge to prove it. I don't see how sympathetic nervious system responce can be positive for optimal cognitive performance and SNS responce is one of the main effects of stress. Stress might force you to...

So, in short, you did not read the paper beyond the abstract (i.e. you did not see the actual experiments/studies and the data) but do feel qualified to argue about it. It was a general statement about the tendencies among ET posters - this is not the first time I see ignorance breeding...

(1) No, it's not normal unless you are trading far-out contracts. In general, these are liquid in the front month or the second month, depending on the time to the delivery notice. (2) Yes, there is a delivery basket and the seller, obviously, wants to deliver the bond that is the cheapest at...

Can I presume that all three of you have numerous peer-reviewed publications (in top-tier journals, of course!) that allow you to argue against the hypothesis presented in the abstract? I can't see how else you can refute the conclusions without even reading the paper. I do sincerely doubt...

If you expect the M/R happening faster, you can trade green or blue midcurves.

The only thing I can add is a quote from Charles Bukowski: Slavery was never abolished, it was only extended to include all the colors.

People in general have a tendency to take credit for pure luck. It goes both ways. Someone goes long at the right moment - well, it's his bottom-picking skills, not luck. Someone gets stuck with a large skew position and the market takes a dump next day - well, of course, it was by design. In...

Obviously, I don't know the exact details but I heard that he was "alowed to resign" (instead of being fired for cause) so he got to keep his unvested stock. I guess thats what they referring to as "back pay". It was a management-approved trade, he was simply structuring/executing it so it's...