Quote from atticus:
We are sorta attempting to talk about delta. Let's say, as a purely hypothetical exercise (recall the academic vacuum), that vola did rise to 70%. Can you approximate the 5-strike delta with shares also at 5? (Shhh, let's dream it's determinate-able).
Is this beyond your vast capabilities as a Master qu(a)nt?
Quote from bwolinsky:
I only make directional bets, as you know, atticus.
The stock would have to move many orders of magnitude greater before volatility would double, and unless you actually know what the implied volatility is after that change, it is still indeterminable, and depends on the options prices after and only after the change in volatility.
Quote from atticus:
This is so ridiculously misguided and patently false that I don't know where to begin. You can't possibly believe this to be true.
Beau, do not trade options.
Quote from bwolinsky:
All right. You got me. I don't typically trade options. That's right. I can't stand non-linearity because it is a method of CBOE manipulation.
I don't see why I couldn't believe that not knowing the options prices after the volatility change could not be true.
Quote from bwolinsky:
I've already calculated the delta for the q's option, and that much was obvious I already know how to do that.
I don't care about FTR, or about what happens when you double the volatility of those options.
Quote from bwolinsky:
The probability FTR moves $1 is unlikely, and if it was likely, delta would be higher relatively speaking.
Quote from bwolinsky:
You can calculate it yourself. It won't be that different.
(asking for atm delta from a vol figure of 35% to a vol-figure of 70%)
Quote from atticus:
Beau, if you don't a problem with this:
Then you will never get it.
Quote from atticus:
Probability meaning (derived from) vola? What if you double the vola from 35% to 70%? Then what is the delta of the 5C? Are you playing, or seriously injured?
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