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What exactly do you mean by "direction of skew movement"?. When you are trading the skew, there are 3 principal risks (sources of P&L): (a) the actual change in the slope of the skew in the implied space. e.g. if you are trading 95% strike against 105% strike and your underlying stays in...

Hmm, the fact that Nomades first name is Charles makes me wounder if he is the same charles that "teaches" people how to sell options... just sayin...

IV * sqrt(time) would give you a single sd move, if thats what you're asking for. E.g. "S&P will move 2.1% tomorrow - that 2.1% = IV(ATM) * sqrt(1 day /252)".

Oh, that boss? no, she's too busy to care and I am too busy to notice ... I think having kids is the only bailout that our marriage can get at this stage.

I tell my boss to go to hell every other day and we've been working together for the past 6 years... The reality of finance is such that (as a wise man put it) "you don't get rich in this business, you only attain new levels of relative poverty". If you are looking for happiness and balance...

Oh, common dude, the web site is pure entertainment! Have you actually followed any of the links?

Now, looking at relative value in vol is a different game there - VIX futures options vs VXX options is a pretty good game if you know how to play it.

Well, this summer Americans got pretty close to a lesson of their own... It's pretty clear that any unilateral default would be a complete and utter disaster. Also, it's pretty clear that any hostile stance against Greece would result in more pain for the holders of the debt. If Greece is...

I am pretty sure MS is invoking the loss of borrow clause, it's pretty standard for large OTC option deals. Loss of borrow covers halt of trading too, so I would recon MS is in the clear on this one.

out of curiosity, what metric do you use to say that it's Oct VIX is cheap compared to VXX and how did you come up with the ratio?

Well, a comparable (by education and experience) specialist on wall street would be taking home more. I think the mistake a lot of people make is that extra 100k or 500k a year is a great thing. You have to do what you love, else by the time you hit your 40s you are going to hate yourself. I...

I think this chart is missing re-invested dividends (there is a total return S&P some place on the web) which would make the buy and hold argument even more compelling. There is one big BUT there - your median returns would probably look significantly worse then your mean returns. Which means -...

Personally, I think Natenberg is a horrible, totally outdated book. I have not read the McMillans book, but thumbing through it creates the same impression. This said, I do not think there is a good book on options that combines academic concepts and the general experience of being an options...

I am sure there is NOTHING out there that massively outperformed over a long horizon, especially once you risk-adjust in some way. If there was, people would be all over it and it rather quickly would get overpriced and crash (dragging down it's risk-adjusted return and changing the world for...

Certainly, lets have an constructive agrument. Here are a few points to start with: (A) You should compare the total return of gold vs real estate. Even assuming that your real estate has appreciated at the rate that is slower then gold, it has been earning carry in one or another form...

I'll chime in tomorrow - just came back walking my dogs and have to go to bed. As usual, there are many ways to do this and to analyze it, but it certainly works once you get it going.

My woman keeps saying that too... it must be true then :cool:

In general, you don't want to buy options for all of the index components. What you do is you select a subset, either by weight or by "the driving force" and only buy vol on that subset. My preference would be to slowly leg into it over a few days, doing chunks of index against each of the...

Did I somehow suggest that it's riskless? I said it's consistent - meaning, you realize a reasonable return to risk ratio.

Anyway, the showerhead question resolved. In dispersion the idea is that you buy a basket of options on single names and short the option on an index containing these names. What you are in essense doing is going long the idiosyncratic risk of stocks and shorting the general risk premium...