Options and Greeks

MajorUrsa · Oct 19, 2006

Quote from daddy'sboy:
But this is exactly what makes ET so much fun, a little bit of the old fisticuffs and learning through humiliation and sarcasm and a swift kick up the butt . You've got to love it!

O, but I do, and I don't mind being roughed up when I'm wrong.
But it's all about respect. Someone having only 10 posts is not welcome when he starts out with insulting people. Insulting can be done anywhere, this place is at it's best when the right mix is reached.

Ursa..

Optionsguy · Oct 19, 2006

What would be cool here is if people just add facts. NOT opinions or emotions.

For the record I knew of the BS model well before this post. Yet it did little for my specific question... I did get a bit from the other responses as well, but the name calling and elementary bull is not necessary, it makes for a waste of time reading among other things. It also makes everyone who takes part in such activities look like little school girls. I for one would not really listen to anyone who feels the need to say such bull s**t.

You should be ashamed of yourself.

Are we not too busy watching the market to stop and act like babies. OR is this forum where people go to let it all out.

I am new here, and I thought I found a place where PROFESSIONAL and MATURE investors and traders meet. Bummer.

Optionsguy · Oct 19, 2006

PS I changed my name cause spreading is stupid.

El OchoCinco · Oct 19, 2006

Some of the best option traders I have heard of or read about swear by spreading. It is the individuals who go long call or long put who have the hardest time making money.

Quote from Optionsguy:

PS I changed my name cause spreading is stupid.

RichardRimes · Oct 19, 2006

Quote from Optionsguy:

What would be cool here is if people just add facts. NOT opinions or emotions.

I am new here, and I thought I found a place where PROFESSIONAL and MATURE investors and traders meet. Bummer.

Actually trading is done primarily based on opinions AND emotions...very few facts

and to your second point I think the average age of the ET'er is 13 (emotional age)

FullyArticulate · Oct 19, 2006

Quote from tower:

That is why the futures exchanges use CRR, Whiley or binomial models and not BS.

I can find nothing about Whiley as a pricing model--do you have a reference?

Black would be the appropriate European exercise model for "futures exchanges".

Just as an aside, the adjustment for American exercise options is typically VERY small. Black or B-S are generally within a few percent.

I am surprised there isn't widespread use of a levy jump process model.

Profitaker · Oct 19, 2006

Quote from FullyArticulate:

I can find nothing about Whiley as a pricing model--do you have a reference?

Maybe it's a typo. Try Whaley.

momoneythansens · Oct 19, 2006

Quote from Optionsguy:

PS I changed my name cause spreading is stupid.

Very "PROFESSIONAL and MATURE"

momoneythansens · Oct 19, 2006

Quote from FullyArticulate:

Still awake.

It's done in batch. I don't care in realtime if there's unusual activity, I can scan several thousand stocks after hours in a few minutes to look for trades the next day. Rarely does unusual activity signal an overnight event.

DTN's a pretty nice feed.

Thanks for that. Batch makes sense.

By the way, it is Whaley.

Wonder if you'd considered leveraging Quantlib for your app?

Supports Whaley and Merton 76 Jump Diffusion amongst many others.

Optionsguy · Oct 19, 2006

Quote from momoneythansens:

Very "PROFESSIONAL and MATURE"

I practice what I preach.

As far as other people making money ONLY with spreads... good for them. I have tested my way of doing things well over 100 times and I find that when I spread, it kills the profit. If I were not to spread I would profit 100% or better more than 50% of the time. So, my comments work for ME - yay me!

(can't wait to hear about that one... hehe)

Ok, so as long as I know I am dealing with children here, I guess this could be fun fun fun!