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| bio | website | |
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| age | ||
| visits | member for | 1 year, 7 months |
| seen | May 3 at 15:57 | |
| stats | profile views | 92 |
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Apr 25 |
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option chain data visualization, sunburst @lmorin they are there |
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Aug 1 |
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Science behind options pricing into Earnings event thats true, I just remembered that the option pricing is based on the volatility from previous earnings events |
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Jul 31 |
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Science behind options pricing into Earnings event this was very useful, but I am referring to how options price the initial sharp move so well. for instance the price of a straddle before an earnings announcement prices in a 7% move in the stock (before the straddle will become profitable after IV crush). Immediately after earnings release the stock pops near exactly 7% in either direction. Why does this happen with such frequency and accuracy |
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Jul 9 |
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What drives changes in implied volatility on ETFs/ETNs? yes, there is a bit of cognitive dissonance, as I completely disagree with what I've read about how the markets works, simply by observations. so I would like to get to the bottom of this |
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Jul 9 |
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What really drives option implied volatility? for reading I opt more for VIX white paper and that sort of thing, but I suspect they aren't the most impartial straight to the facts sources out there. I'll check out Hull's book |
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Jul 7 |
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What really drives option implied volatility? the problem is that changes in implied volatility are SAID to be because of changes in demand on that contract. But instead, the quotations from the market makers are only changing because of implied volatility, where there is no demand. |
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May 23 |
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What are VIX back-month futures based on? wow, thank you this is exactly what I had hoped. I read the entire vix white paper and did not notice where it said that (although the futures contracts would be detailed elsewhere), can you point me to where those particular specs are detailed? |
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Feb 9 |
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Is Visual Basic a fast enough for millisecond orders I didn't realize this "All .NET languages are perfectly able to compete with the speed of C and even FORTRAN." thanks! |
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Feb 8 |
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Is Visual Basic a fast enough for millisecond orders emsfeld, I'm not going for high frequency trades, and ideally the brokerdealer and clearing firm were located geographically closer, but this is the estimation I have thanks! |
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Feb 2 |
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What drives changes in implied volatility on ETFs/ETNs? "With an ETN this probably had to do with option prices taking off in one of the underlying components." how exactly does this work and how is it tracked? |
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Jan 3 |
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accumulation/distribution and options to create excessive position to hit the tape with later a) not in every jurisdiction, which I never specified. b) not if the market cap isn't that large. I think you made too many assumptions. lets continue talking about roadblocks to such a thing, since getting filled without moving the bid/ask is easy now. |
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Dec 22 |
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How to hedge a bull call spread one idea I just had is that it could be hedged with binary options that could be bought very cheaply closest to expiration (if price < 55, then max payout). the only problem is that binaries only exist in limited quantities and conditions (ie. BSZ is a binary ticker for S&P500 which can correlate to Nasdaq, also BSZ only has monthly options, so timing to get the cheapest binaries can be impractical for this strategy, and the strike prices are too few) |
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Dec 4 |
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Are there comprehensive analyses of theta decay in weekly options? my question is what does the theta decay look like on a graph. Is it the same picture above in a smaller time (ie. the first 2 days it decreases slowly) or is the just the last slice on the right of the picture above (ie. it decreases rapidly with no gradual beginning) |
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Dec 4 |
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Are there comprehensive analyses of theta decay in weekly options? extrinsic value is everything that is not intrinsic value... so theta, volatility. |
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Dec 3 |
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Are there comprehensive analyses of theta decay in weekly options? yes, assume at the money or 1 strike out of the money where the extrinsic value is greatest. |
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Nov 28 |
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Does an option's price “ratio” with the underlying security price? there is reason to option pricing, and the parts that do not follow reason, just brush those aside as "volatility" and "slippage". you need to learn the reason part because a lot of your questions seem like you jumped in with some very specific instructions but no knowledge of the mechanics |
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Nov 27 |
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What are good conditions to roll a leap further out in time? Okay, you just need to understand the underlying concepts and then do your own simulations and backtests so you can add your own variables, since there are hundreds of things you can do with options. When volatility is high you can expect it to get lower, which allows you to earn more premium faster from your short option. the back month option will be pretty much unphased. Earning more premium is always better. The front month is more expensive, and it makes you back month less expensive, making your capital expenditure for the same amount of leverage to be less. |
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Nov 26 |
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What are good conditions to roll a leap further out in time? lets assume that they are both the exact same strike price, just different expirations points, then yes, the ratio should still be the same. |
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Nov 26 |
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What are good conditions to roll a leap further out in time? theta theta theta theta theta! theta is synonymous with time value. You have to think of options as insurance, you pay more for longer coverage, and when people think the coverage is worthless (like... 1 day before expiration and out of the money) then the option is near worthless. theta gradually decreases throughout the lifespan of the option. with LEAPS, there is a lot of theta no matter how much intrinsic value is there. |
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Nov 26 |
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What are good conditions to roll a leap further out in time? the effect of volatility decreases the further out you go (because nobody expects market conditions to be the exact same 6,12,24 months from now). the more time you have, the less important the entry is. so on your front month leap, theta decay is accelerating and you can expect volatility to deflate the price as well. you are aiming for a new debit in this spread, so the back month should be expensive solely due to theta |
