Options and leverage : Question

The option market with the lowest implied vol and highest dgamma. In this case, DOW. The question should read, "which atm options" to maintain equiv deltas across index classes.
 
Quote from riskarb:

The option market with the lowest implied vol and highest dgamma. In this case, DOW. The question should read, "which atm options" to maintain equiv deltas across index classes.
More...
this is the correct answer, not the other stuff you read here
 
Quote from Digs:

So DIA would be the best selection...
More...

Yes, depending on which dow contract offers the greatest IndexVal/Prem ratio. Obviously all the dow contracts, futures options will be very close in terms of the ratio and implied vol-line.
 
No on dgamma, but unnecessary with an implied vol figure. Buying cheap gamma and curvature is a function of low volatility. OTM index calls have the cheapest gammas. OTM puts have good curvature, but the index smile adds cost and reduces slope. Having a +dgamma fig simply means that your gammas are increasing, as a visual example; it's the left-half of the bell-curve. With short otm, you're accumulating d/g risk. As a rule: buy upside gammas[otm], sell downside gammas[atm].

www.ivolatility.com for index IVs.
 
Quote from uninvited_guest:

So you disagree then, and buying deep OTM options is not risky.
More...

Yes, I absolutely disagree. I don't define an option's "riskiness" via its delta figure.
 
You must log in or register to reply here.
Back
Top