Search results

Definitely true in the equity world - lower-priced stocks are more volatile. In general, people attribute it to the "leverage effect" and one could come up with a number of other explanations. So, assuming that you own a 50 vol ATM option on a 5-dollar stock and a 50 vol ATM option on a...

I think I can write as well as bwolinsky. For example:

My gripe with "the power of theta" is that it comes with the "power of gamma" and "power of vega". Do you just sell naked risk premium or you actually try to hedge yourself somehow? Good statistics skills are not really going to protect you if you get caught in a liquidation festival like the...

It must take a true Jedi master to know when implied volatility is at its maximum... If you know when vol is at its max and that asset is not going down any futher, why trade an OTM put and not just buy the asset?

Thats a nice blanket statement. Care to justify it?

Now, that's what I call a statistically-significant sample size... Well, bluff etc is a skill of it's own. While I do agree that a large chunk of any performance is attributable to luck, it's a fairly easy statistical test to identify the non-random component. I have yet to see any serious...

this just keeps getting better...

I hate to show my ignorance, but should I know who he is?

Actually, why don't we take everything they own and shoot them? That would solve all of our problems once and for all... if we do that, everyone will be making 200k a year, as the OWS crowd promised .

do you throw an omega leg in for completeness of the pack? :cool:

You're right, we're all morons. There is still room for you in the other thread next to bwolinsky. Are you as much of an established trader as he is?

The "overtrading" thread got me thinking on an interesting question: When establishing an option spread (e.g. a calendar), do you think of one leg as the alpha leg (the money-maker) and the other one is a hedge? For example, if you are a seller of gamma to buy vega (in a root-time vega flat...

Way to go! Keep it up, man - you will be ruling the world in no time!

“When reality looks too ugly, fantasize.” ― Jimmy Buffett, A Pirate Looks at Fifty

I do, actually, and I have reasonable doubts that your are as successfull as you claim to be.

Actually, no, you can't.

Just in the interest of full disclosure I do use a fair bit of historical simulaton of delta hedging for various purposes (can disclose in a PM, don't feel like sharing it here). I am not sure it qualifies as bona fide "backtesting".

I am blushing!

And you seriously think that it makes you know anything about what derivatives world is all about? I read some of my wifes medical books, but it does not make me a doctor. In any case, vol arb is something that's useful to know about, even if you yourself don't want to do it (e.g. i know a fair...