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The ATRX( illiquid options) mar 25 call seems to have traded a bit more than usual, so it got quite expensive on friday, trading volalitity 70. Somebody wanted that mar 25 call pretty bad, and the marketmakers seemed to have left the volatility at other strikes and months for what it is...

Could you give me an example of the kind of skew selling position you would go into? I am curious, I would like to get some more insights here... I try to do it with individual stocks, when i dont agree with differences in volatility levels/extreme skews... but no rules here... every...

Thanx for your reply... The futures are by the way mini futures... so the 4 futures together are having just 80 deltas... maybe still too much... maybe 3 futures would be better...having -60 deltas from the futures. Still, i am gonna see how this kind of stuff is gonna work out the next few...

I have been looking for some way to short the skew found in many optionseries, trying to earn the skew, or at least some of it. I came up with a position (didnt trade it though) in the dutch AEX index. It is made delta neutral with shorting the future of the AEX index. The same strategy can of...

Does someone knows more about optionclub.com as a source for information about volatility and more regarding options? Or do you know better alternatives/programs with which you can scan option volatilitys/volatility changes etcetera...?

MBRM risk management software plugings for exel mbrm.com It is professional ,and costs about 1000 dollar.

Thanks sle for your contribution., i have one further question for you. Probably i might disagree with forward vol with skew level one day... Could you provide me with some sources where i could study this material? there i think this stuff is all important in the attempt of making money...

Here is the formula in a excel file for calculating the FV. I am not positively sure it is correct, there i found it out myself with a math student friend of mine, but it should be correct.

mdcigan, thats exactly what i meant. i already have the formula for calculating forward volatility. it is a nice easy formula, you can put it into excel easily, and it gives a nice insight in the volatilty structure on a stock... specially when there are big differences in iv over different...

I am not talking about skew over different strikes, I am just referring to different months trading different volatility, over the same strikes. (if you call that skew as well... ok...didnt know that...) I didnt formulate my question well, or you misunderstood what i meant. I will try it...

Does anybody know where to get something what could calculate forward volatility? With forward volatility i mean what should become the implied volatility over a period of time in the future, knowing volatility from now to TIME1, and knowing volatility from now to TIME2. Then what should be...

To my opinion every strategy regarding options should involve a disagreement with the marketprices of the options. So if you think some options are too cheap, and some are too expensive, you buy the cheap, sell the expensive, and hedge it. If you can buy a cheap and sell an expensive options...

i think this strategy doesnt work, but i hope it does, would be too easy no? At least it will work out for the brokers a good deal...

imagine the hypothetical optionprices where the november is trading at vol 100 and the december at vol 25. ok, you will never see it, it is exagerated to make something clear. (the nov would be even more expensive then the dec, with same strikes....of course impossible) but if you buy here...

go long a volatility 80 month and short a volatily 140 month, and make that one theta neutral, you will see you end up with a shipload of gamma!!!! isnt that funny?

a stock at 30 with IV 50 all the months. Dec 30 call –10 at 2.00 Jan 25 call +12 at 5.80 Jan 35 call+12 at 1 March 30 call –7 t 3.70 Stock –395 at 30. Thats what i had in mind looks like your strategy, at least it has the same characteristics i think. Do this wont work in real...

this positition was vega positve, theta positive and gamma positive. due to expensive gamma in december... though on thing to be mentioned, dec volatiliy will walk up (nov is estimated 80) so dec must be getting higher everyday. this trade would only become loosing trade up to november...

the jan is long, i made a mistake typing... so dec atm short jan long otm march atm short. and make all that stuff delta/vega/gamma/theta neutral.

this was a win-win trade: Cvtx Nov 22.5 call +3 2.30 Nov 27.5 call +7 0.50 Nov 20 put +7 0.80 Dec 22.5 call –25 4.80 Jan05 30 call +20 5.00 +200 a 23.18 this trade was done some 2 weeks ago, when volatility jumped into december, due to news to be expected in december, but not so much...