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Negative Theta Options over Weekend
- Thread starter TraderGreg
- Start date
Quote from xflat2186:
master,
For the context of this board an options delta will not exceed 1.0
I agree this can be a fun an interesting place for open minded people and people who are seriously looking to learn. Obviously for a bunch of us options are not only a business but a passion.
Ask me to speak and I will go on for hours about options/markets, hockey or old Porsches and vintage racing.
I find it troubling when I encounter some people who portray themselves as something other then their posts indicate they are. Its my beliefe they do a dis-service to those who are actually trying to learn here. On the other hand its the internet and some people cant handle the anonymity of it.
Have a good day,
X
It's clear I lack the language skills to describe the trading strategy. My ignorance is only surpassed by my arrogance.
I won't post anything more about it until I can adequately describe it.
IMO any options play- long, short, spreads, diagonals, etc are just different points points on the risk-return profile. Correct me if I'm wrong.
The strategy I was trying to describe relies on one major tenet and a few minor ones. The big one being that there is no better asset class than the common stock of publicly traded companies, and the best investment vehicle representing that is the SP500. 10%+ annual returns over 80+ years is hard to argue. There is not a better asset class IMO.
So if you are of the belief that the best place to put your money over the long run (that is key) is the SP500, then this strategy might interest you.
The other couple of minor tenets are:
1. The idea that the general day-to-day movements in the market are mostly noise, a random walk so to speak. Yes, markets move for a reason, but a lot of the advancing and backfilling is just noise.
2. The idea that the put-writers index and it's 20 year study is worth examining (I wish I could find right now, I can't)
Sorry for the noise.
Quote from atticus:
The maths are correct and I knew it to be so in a high swap environment. I've yet to witness a commodity in which the swap was 600 basis. CL would be the best empirical-fit, but vols are 40% which would reduce your D to ~1.04 or so [in my head]. Anyway, point taken.
Thanks Atticus,
To keep being honest, as I said before, this is not a discovery I've made myself.
In fact the book that is the bible for option trader in wall street was written by the Collector of option models, I named Espen Haug.
First time I saw that (early 2000's) I was overhelmed because that was almost a decade I worked on option trading, searching some modeling arrangements and I realise that I did not master the basics. Just like a judo black belt who discovered first steeps.
That 's all my aim here to bring you my experience as a "too pround of himself's guy". Be careful of the basics.
If you want to discover a lot of thing about options behaviour (like long terme option vega decrease), please read the complete guide of option pricing formulas.
Cheers
Maw
Quote from dmo:
Okay, with these numbers we'd have to be talking about a stock not a futures contract. But why is your cost of carry rate 3 times more than your risk-free rate? That doesn't make sense in the real world.
You don't know that. I mean you can't know that.
Negative interest rates make no sens in the real world but use to be. In fact zero interest rate do neither but...
The only way to get through is to keep in mind no arbitrage argument. I said argument not that arbitrage don't exist. That the only way to build a model robust enough that can match some great part of reality.
For the cost of carry that rates 3 times the risk free rate, take a look of some commodities historic prices.
One more time guy, I don't tell you that a delta is always higher than one, i tell you that it could happen. That's all.
Have a nice day
Maw
Quote from MasterAtWork:
Thanks Atticus,
To keep being honest, as I said before, this is not a discovery I've made myself.
In fact the book that is the bible for option trader in wall street was written by the Collector of option models, I named Espen Haug.
Espen is a nice and very bright guy, but he didn't leave P*l*m* because he was killing it. And thanks, I have his book. Anything to help a fellow Scandinavian.
Quote from atticus:
Espen is a nice guy but didn't earn a dime at Paloma.
I agree and that 's why he early stopped. But the guy is one with peter Carr (call-put supersymetry) that hit my mind. Very usefull way to think about options.
Among options modele you can find how people think in terms of probability and volatility. And we quite know almost nothing about these ones.
Maw
Quote from MasterAtWork:
I agree and that 's why he early stopped. But the guy is one with peter Carr (call-put supersymetry) that hit my mind. Very usefull way to think about options.
Among options modele you can find how people think in terms of probability and volatility. And we quite know almost nothing about these ones.
Maw
Right, I recall SS from Haug's book.
Master, nice to have you aboard.
Flat6 would have been a good one too. I have a little side business away from options which is mostly buying, selling trading, restoring and racing old 911's. Needless to say its not a huge money maker I am in it for the pure love of the original 911 concept. I am no fan of any 911 built in 1999 or later. I am a purist in terms of only being a fan of the air cooled models.
The pic are my two babies lovingly restored by me and my wife, the turbo I flogg the piss out of on the track.
Flat6 would have been a good one too. I have a little side business away from options which is mostly buying, selling trading, restoring and racing old 911's. Needless to say its not a huge money maker I am in it for the pure love of the original 911 concept. I am no fan of any 911 built in 1999 or later. I am a purist in terms of only being a fan of the air cooled models.
The pic are my two babies lovingly restored by me and my wife, the turbo I flogg the piss out of on the track.