# Tagged Questions

101 views

I am in the process of analyzing historical options data, and I keep finding options that mysteriously disappear before they are due to expire. For example: For the QQQ $69 Put, ... 2answers 90 views ### Why long power and short gas for Merchant power plant Merchant power plant is one that can be turned on whenever you want. Suppose it is generating electricity from natural gas and we have a spark-spread option. Why is that the person who owns plant is ... 2answers 204 views ### Algorithmical replication of a profit and loss function using different options I often see questions like "Given this payoff graph (example below), construct a portfolio that replicates it." I want to know if there is an efficient method/algorithm to find the individual pieces ... 1answer 286 views ### Risk-free investment strategy for european call and put option I have some trouble solving the following question: We have an european call and put option (with the same maturity date$T$en strike$E=10$). The stock price now is$S=11$and we use a continuous ... 1answer 172 views ### Calculating Greeks in Covered Calls? Just want to confirm whether Delta, Gamma, Theta, Vega will be calculated in the following way? Since we own 100 shares of stock while selling a call we need to subtract greek value from one? right? ... 0answers 14 views ### Where to find, d/l specific (OCC) historical Option data beyond the free 2 years [duplicate] The OCC www.optionsclearing.com/‎ provides a nice breakdown for CBOE options data, however they only go back 2 years on any given day. Is there a good not-too-high-cost database one can recommend for ... 0answers 100 views ### stock option strategies long vs short What makes an option strategy long or short? I got the impression that if it is a net debit (you pay to open the strategy) it is classified 'long' (strangle, straddle) Then I learned about the call ... 2answers 168 views ### What is most reasonable approach to determine side of a multi-leg options order? Say, 4-legged multi-leg options order with below leg ... 1answer 2k views ### Seagull option strategy - clear example It looks like the subject of seagull option strategy is not as clearly explained as for other strategies (butterly, bull,bear spread). Thus, can someone provide a clear example of what you buy and ... 1answer 108 views ### Symmetry of option-implied probability density I was wondering whether the option implied probability density of the log returns:$x = \ln\left(\frac{S}{S_0}\right)$with S the value of a certain stock, is always symmetric ? I was asking myself ... 1answer 120 views ### Hedging differences between equity and index options? Suppose we hedge an index option using futures on that index. How would the hedging strategy be different if the underlying could be traded directly (from a risk point of view)? 1answer 1k views ### Call option arbitrage opportunity I am having trouble wrapping my head around some text provided to us by our lecturer (unfortunately he is currently unavailable). If we let$c$be the price of a European call option,$S_0\$ the ...
195 views

If a linear sum of options is constructed such that the premium payout is zero, then does it mean that resultant greeks of the cumulated options positions will be nearly zero. For simplicity, lets ...
268 views

### What is the Benefit of holding a short option?

i am new to corporate finance and ask myself why a investor is interested in being short on a Option? The only he can win is a premium but he can loose much more. I understand with being a short I can ...
984 views

### How to calculate the most realistic historical option prices with additional publicly available parameters

This is a follow up question of this one. My aim is to create the most realistic historical option prices possible with publicly available data. I want to do this for backtesting purposes. The ...
559 views

### What benchmark/index to use for backtesting a portfolio of stock options?

What benchmark should I use for backtesting a model for when I should buy an option of a particular stock? For equities, one could say their portfolio outperformed the S&P 500. I would like to ...
1k views

### True or False? An option's price will always be greater than or equal to its intrinsic value

Since if the option's price is lower than its intrinsic value (eg. strike price - current stock price for puts), then an arbitrage opportunity arises from buying the option at bargain and then ...
96 views

### Analysis of Unbalanced Covered Calls

Hello I am doing an analysis on covered calls with and extra amount of naked calls. Ignore the symbol and current macroeconomic events. I couldn't find any reference to this strategy (unbalanced is ...
2k views

### Are there comprehensive analyses of theta decay in weekly options?

Are there comprehensive analyses of how much theta a weekly options loses in a day, per day? I know what the shape of theta decay looks like, in theory, where the decay towards zero happens more ...
201 views

### In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small?

I am tweaking a covered call algorithm. The short leg consists of out of the money call options. The goal is to collect the tim premium, but an equally favorable circumstance is when the call ...
629 views

### Can you replicate an option on an arbitrary basket of stocks?

Since a market index is nothing more than a basket of stocks, you can create your own index by putting together stocks of your choice. The only difference is that you can trade options on major ...