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I was wondering, is there a way to calculate (even an estimation will do) the theoretical change in price of a put option between two past date, given the underlying price, the number of days passed (and number of days to exp' of course), the strike price and everything but volatility and...

i have been. but i thought this forum would be a valuable source if knowledge regardless

I am fully aware of Gamma, and if you read the whole thread you will find my idea of MAINTAINING a Delta of -+0 by using synthetic contracts so that my total exposure to the Delta is kept as low as possible. (?) I don't wanna deal with futures - the risk and margin req. are too high in my...

newwurldmn - see PM please

granted. however, if I have a solid forecast for where the VIX is going tomorrow, shouldn't I try to be Delta-neutral (on S&P500 options position) and play the volatility game only? I don't know where the S&P500 index is actually going, but I do "know" its implied volatility is going to...

That makes sense, but wouldn't it require me to also but a corresponding OTM call so that my 0 delta exposure is maintained?

when the VIX drops, the market tend to raise (or the other way around). However, if I were to BUY $SPX calls based on a prediction of VIX going down, I think I may still lose as even though the SPX will indeed go somewhat up, the volatility will decline and so I may lose on the Vega more than...

interesting. I was thinking of VIX changes as changes in the implied volatility of all S&P500 options.. thought I could short or long straddles according to where I see VIX going in the ultra-near term (1 day for example). you're suggesting using a Delta=1 position (synthetic contract) to...

So even if I knew exactly where the VIX is going to close tomorrow, there's no way for me to efficiently play this advantage with options? my idea was to either be long $SPX Vega by buying puts and calls (or even make a long directional bet, although it's risky), or, if my prediction is a...

is this to say that prediction of VIX movement has no value in terms of trading SPX options? if one were to have a profound prediction of VIX movement, what would be the best way to play it then?

Thanks Sle, let me be more precise: let's make the hypothetical assumption one had the ability to predict short changes in the VIX (say, over the next day or so); what would be the best way for him to play that prediction (with options). would being long/short Vega with $SPX options work...

Thanks Sle, let me be more precise: let's make the hypothetical assumption one had the ability to predict short changes in the VIX (say, over the next day or so); what would be the best way for him to play that prediction (with options). would being long/short Vega with $SPX options work...

Sle, thanks for your answer. Allow me to be more accurate in my question: Let's make the hypothetical assumption that one can predict the change in the VIX over the next trading day. What would be the single most best way for him to play that prediction (with options)? My instincts tell me to...

Hi all, (NOTE - when I say $VIX, I mean the CBOE S&P500 Volatility Index. When I say $SPX I mean the S&P 500 index itself. I am NOT talking about any ETFs or ETNs) On the surface, $VIX is the volatility of $SPX, right? BUT, is this to say that a rise/fall in the $VIX would automatically...