GNTA high IV

[riskarb]

Quote from Hello_Dollars:

Angus, the graph doesn't look quite right to me. With virtually any ATM backspread done in a 1X2 or better ratio that I've ever looked at, the max loss would be minimal on any one day move (assuming there's more than a few days to expiry). The only thing that would alter that would be a very signinificant vol crush. So I'm assuming you've modeled one. However, I'm not sure that's a reasonable assumption in this case in light of the speed and magnitude of the real (and projected) price decline.

As with any long gamma/delta neutral strategy.

 

[Ikspec]

Quote from Maverick74:

About one second. LOL. Seriously, it takes one second. Sorry I have not responded to your PM yet, I'll try to get back to you this afternoon.

Do you define your universe with OptionVu or does it scan all options for all U.S. equities? If it scans all of them in a second, I'm impressed and might have to pick up OptionVu. I use some limiting paramaters on Bloomberg, like I won't have it scan options with no volume, etc. but it still takes long enough where I only run it a few times a day.

Don't worry about the lack of response. Being busy is understandable.

 

[Maverick74]

Quote from Ikspec:

Do you define your universe with OptionVu or does it scan all options for all U.S. equities? If it scans all of them in a second, I'm impressed and might have to pick up OptionVu. I use some limiting paramaters on Bloomberg, like I won't have it scan options with no volume, etc. but it still takes long enough where I only run it a few times a day.

Don't worry about the lack of response. Being busy is understandable.

Yes, the entire universe and beyond. If I want, I can limit my scans to anything I want. Still takes a second though. LOL.