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It's more or less the same: investing all the amount and then buying options after bond's expiry date is like investing x% of the balance and at the same time buying options for (1 - x%) where the options premium is equal to the interests that I'll get at bond's expiration. There's no difference.

Any reference to read something about? Thanks.

Well, then replace the ATM Call with a truckload of DOTM options written on your favorite fat tail asset... this doesn't change the barbell principle, you're just amending the risk profile shape.

Hi all, just a quick poll preceded by an explanation for those who don't know what I'm talking about. This question is for those who don't consider themselves heavy traders but use options like a tool to aid medium and long term investment process; so your goal is not to frantically scalp the...

I would be naked short of TLT just in these cases: 1. strong inflation, then people sell TLT to buy something which yields more than inflation; 2. very strong economic growth, then people buy stocks for dividend yield and commotidies' demand rises; 3. strong greed, i.e. everyone jumps on...

Hi, trader198. I hope TLT plunges 'cause I'm long TLT's Gamma, too (actually I just hope it DOES move more than now, because my actual position has a strangle-P&L-profile). But you should consider more carefully what clacy states here: You should explain us why you think that, if the...

Hi, sle. I found the quoted suggestment very interesting. Would you mind explaining it more deeply? 1. What do you mean with «beta-neutral»? 2. What's the endogenous and what's the exogenous variables in you OLS linear regression model? According to what I understood, I suppose...

I switched to ActiveX 'cause some friends suggested me it's more stable than DDE :D

I do not really know if it's a problem just of mine, but, when my ActiveX Excel spreadshhet IB connected needs to refresh options prices and IVs, it freezes for a while. As this happens every 9 seconds (or less), it's almost impossible to work and make analysis during real time updating...

I don't rely on Bloomberg platform to analyze volatility, I'd rather use Bloomberg's API in order to have dynamic spreadsheets which I can manipulate according to my needs. Using API in Excel is very easy: if your school has a Bloomberg terminal try these formulas... =BDP(...) for dynamic...

Hi, sle! Probably my bank has got it, unfortunately my desk doesn't deal directly with options on equity, indexes, ETFs etc. (we just deal with interest rate derivatives in structured products pricing) so I cannot get those datas easily and so I have to use what is available here :( I know...

I'm not pro, but I found quite useful these books read in the following order: (1) J. Hull - «Options, futures and other derivatives»; (2) S. Natenberg - «Option pricing and volatility»; (3) E. Sinclair - «Volatility trading»; (4) E. Haug - «The complete guide to option pricing...

Excuse me, IVtrader, just a question: don't those profitable option traders would prefer analyzing open interests' distribution instead of supports and resistances from charts for such a goal? Then I suppose they look for technical signals in weekly or monthly charts, not daily... right?

Between those strikes Zomma and Vomma are negative, which usually is not something you want. Out of those strikes you have Zomma and Vomma positive, which is good. By the way, Zomma boundaries are far larger than Vomma's, but at long expiries it's often not possibile to find affordable...

I'm sorry, my mistake: the right word is "vertical", which I mean figures with the same maturity :) It's very hard to predict IV and R(ealized)V better than the IV term structure does, but the vertical shift in IVTS during crysis means that the market is far away from being efficient...

I'm not a "pro" but I hope to give you some hints to talk about. I use two "scanners" to search some opportunities of trading on about 40-50 of the most liquid ETFs and equity indexes: 1. the first one monitors the log-level of 30days IV. If I find an underlying whose 30d IV is above...

According to this trick, I think that you could explain me (us?) another trick just a bit similar to yours. I've read about it in Sinclair's book, but I did not realy understand how it really works and what's the equation to set the IV surface as the author does. See the attached image, please.

Thank you for your help, sle. I don't see the need to use the first equation you wrote. I mean: let the trader wants to operate with the same T, so not calendar spread; therefore he will look for skewness which is imbalanced according to what happened in the past. We could even define a...

Excuse me, njrookie1, I obviously don't want to ask you the secrets of your quantitative model but... In the past I plotted the skewness of some underlyings (*) and I noticed that variable isn't so easy to deal with (e.g. it's not stationary in covariance, maybe autocorrelated but this is...

Ok, I found the most challenging one. Actually I read something of the simpler book and it's very easy, while I've read the introduction of the harder one and it looks like good, even though I've already studied all the volatility forecasting models presented in the index. Is there really...