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The whole point of using order flow in options is that you know buying/selling pressures in VOLATILITY, not in options (unless you are an HFT player). Synthetics don't really change anything. In my experience, you get some value out of knowing long-dated vega flow. On the short end, gamma will...

DIA dispersion/RD would be a tricky beast given the index calculation method. I've never looked at it, but I wonder if there is some bias to longer-dated implied correlation due to dollar weighted nature (i.e. when a particular stock goes down and it's vol goes up, it's share in the index...

Large market makers have former special forces soldiers on retainer especially for the cases like this one.

I am not going to disagree with your statement. By nature options have to be systematically overpriced and bigger the event the more the risk premium. I don't think you are about the problem properly in this case. Think of it the following way - you bought a straddle that contains an event and...

Indeed. Though in thin case you just predicting that KNOWN uncertainty is not priced properly.

Are you telling me that sellers of convexity in single stock options do not get compensated for the risk they take?

What country would that be?

Unless you have some sort of special connections upstairs, how could you predict an increase in uncertainty? Any known events are going to be priced in well and unknown events are, well, unknown.

Well, it's not really a question of enjoyment in my case - I am going to Europe for a 3-month business trip (trying to unravel a disaster) and while there I get to use a company car. Like almost all cars in Europe, it's manual so if I can't drive it I have to rent one on my own dime.

Years ago my dad was teaching me to drive stick, I was 13 at the time, so maybe I'll remember something. I figure I'll do the first one or two lessons with that guy (at least get to damage his car a little) and then switch to the clunker for practice. Main issue is that in the NYC it is going to...

For a variety of reasons I want and need to learn how to drive stick shift ASAP (see below) and need to do it rather quickly. At the moment, I have a few avenues (or a combination of any of them). First, there is some dude in the Bronx that teaches how to drive stick for measly $85 an hour. I...

Sure, we are talking about options (or any vol products) but you seem to be asking question that have little to do with options. It is much more about the philosophy of the financial markets and the roles of various players in it. So, a few points: (a) Options, like any other derivative can be...

For my PA I am a happy seller of index puts (covered by strike cash) - after all, you can think of them as getting paid for dollar averaging. I also think that front end crash is crazy rich these days due to silly regulations so a private investor might as well figure out a way to sell them (you...

I refuse to acknowledge that I have EVER written any silly poetry. I am a mature adult!

I think you were talking to me too, right? I have read the paper and worked through his math when it first came out. His results more or less coincide with the general experience of every options trader - sell puts and you gonna be rich in the long run. However, you are likely to get fired along...

Similar story was Laura Sloate, she was doing some sort of value stock trading and was very good at it. I remember interviewing with her shop and being impressed by how thoughtful she was (very rare in our business, I think). Also, I remember her saying that her seeing eye dog gets a pound of...

It is pointless to put a return number on a derivative strategy, indeed, and nobody does. In finance the general convention is to talk about return on capital, which supposedly takes into account whatever leverage is used and assuming reasonable risk management given some amount of capital...

Given that most of us have access to leverage in one or another form, absolute return on capital is irrelevant. What matters is your risk-adjusted return, in whatever way you define it.

The fact that you lost money trading options does not mean everyone does and it does not mean that an educated trader can't come up with a working strategy.

Actually, there are multiple components to the skew and each one explains a little bit. They are different for an index and for single stock. For an aspiring options trader, it's worth doing some simple excel work to understand each. There is a realized volatility component - try taking some...