delta-gamma neutral

xflat2186 · Mar 30, 2009

Quote from dmo:

Xflat - maybe the fact that Philly started later than the CBOE actually gave it an edge - in that traders there "grew up" with the underlying readily available. When the CBOE started in the 70's, doing the underlying was a pain and as a result the culture and trading style there developed around option-only spreads.

I've noticed that the few times I've met and talked options with equity options traders from Philly, I was surprised that they see options very much the same way as Chicago futures-options traders. It struck me, because I always notice a big difference in the culture and option trading style of CBOE guys vs CBOT.

I was not o on the floor in the 1970's but the PHLX started around the same time as the CBOE. I was only commenting on what happened in the late 80's to the 2000's. BOth of our observations are correct, and I am 100% sure there were no hand helds and liquid underlying for the equity options in the 70's.

Either way its my opinion you always offer excellent answers and advice here.

dmo · Mar 30, 2009

Quote from xflat2186:

I was not o on the floor in the 1970's but the PHLX started around the same time as the CBOE. I was only commenting on what happened in the late 80's to the 2000's. BOth of our observations are correct, and I am 100% sure there were no hand helds and liquid underlying for the equity options in the 70's.

Either way its my opinion you always offer excellent answers and advice here.

Well thanks, and I can say the same in return. I've learned a lot about the equity side of the game from your posts.

black diamond · Apr 1, 2009

Thanks, good stuff.

Quote from dmo:

Premium neutral has nothing to do with delta. It means gamma, vega and theta neutral (maybe that's what you meant). "Long premium" means long gamma, long vega and short theta. "Short premium" means short vega, short gamma and long theta.

Short, long or neutral premium has nothing to do with the dollar amount of options you are long or short.

Again, this "shorthand" only really works if all your options have the same expiration. If they do, then you need only calculate one of those 3 "premium" derivatives (usually gamma) and if that's neutral so are the two others. But no, I don't know any quick rule of thumb. You just have to use the math.

If you have options in different months, the relationships between those derivatives break apart. The more time left until expiration, the greater the vega, but the lower the theta. So to describe your position you would have to specify its greeks individually.

Reaver · Apr 6, 2009

Quote from Bigpipn:

Reread Natenberg. Thank me later.

FWIW, you are definitely on the right track. Miles ahead of 99%.

Good advice, Natenberg's book is the shiznit.

How ya been man?

mynd66 · Apr 6, 2009

Just purchaced the book. Thanks for the recomendation.

dennisb · Apr 6, 2009

Also bought Natenbergs book, my first book about trading anyway

thnx

dagnyt · Apr 6, 2009

Quote from dennisb:

Also bought Natenbergs book, my first book about trading anyway thnx

An excellent book, but a terrible book for beginners. It's far too advanced. And the people who keep recommending it, know that to be true.

Mark
http://blog.mdwoptions.com/options_for_rookies/

Bigpipn · Apr 6, 2009

Quote from Reaver:

Good advice, Natenberg's book is the shiznit.

How ya been man?

Hanging in there. I finally realized how stupid I was.

I understand [finally] risk now. You know how frustrating it was to be profitable on 70% of your trades but still manage to blow up?

No matter how high you think the probability of the trade is, it is NEVER OK to go "all in."

So yeah, made some mistakes but I'm chugging along. How are you doing man? Did I read somewhere you are moving to Ft Lauderdale?