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 Nov16 awarded Yearling Apr2 revised How companies choose earnings release dates, & effect on Implied Volatility added 6 characters in body Mar31 asked How companies choose earnings release dates, & effect on Implied Volatility Jan11 accepted What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? Jan10 comment What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? Related, do you by chance know of any formulae that describe "dollar-cost-averaging" for short term applications. E.g. if an instrument varies approximately 20% a day in price, are there formulae that describe the effect of purchasing this instrument perhaps 10-12 times over 3 days at regular intervals, always spending the same amount, to average one's price down? Of course not every trade will succeed, as the item purchased may not rise back up, but is there formula that can help understand this better? Thanks much. Jan10 comment What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? Thanks much for your detailed answer. I am surprised at how high the ratio (0.5072) came out with these numbers. Jan9 revised What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? edited body Jan9 revised What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? added 6 characters in body; edited title Jan9 revised What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? added 6 characters in body; edited title Jan9 asked What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger? Jan9 comment How sensitive are vertical spreads to changes in implied volatility? Thanks Glyphard. I'm curious, is there a reason for what you noted in regard to the PnL line, i.e. flattening on an increase in volatility, or steepening on a decrease in IV? Dec15 comment Calculating Theta assuming other variables remain the same Brian, if the option is purely out of the money (i.e. all time premium), doesn't theta just say, it's going to decay at this rate, this far from expiration (i.e. be the derivative of the standard rate of decay curve)? So, volatility (or other factors) can jack up an options price, but given that price on any particular day, can't one then pick the rate of change off the curve (per days of expiration), and come up with a theta value? Dec10 accepted Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Dec5 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) They have a $1 option, to approximate the buying/selling the index. Dec2 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Geeze, missed that. Dec2 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) E.g. as an example, my brokerage charges 8.2% interest to short a$25,000 position, so that would significantly change the return of the pair, as far as I can see. Thanks. Dec2 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Thanks Tal. There is both the index, e.g. AVSPY (NASDAQ OMX Alpha AAPL vs. SPY Index), and then separately options on that index (which I have yet to digest, if their equations, etc are the same; please comment if you know). Doing the long-short pair may cause one to have to pay fairly significant interest rates charges on the short, which changes the return substantially (e.g. I guess your comment on dynamic replication"?) Dec1 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) ... I'm indirectly questioning / trying to understand better the merits / detriments of this type of investing (i.e. anything non-obvious). Dec1 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) Any idea how popular "pairs" trading is? It seems with many stocks having very high market correlations/everything tends to move together with the euro debt crisis, it isn't very popular? Dec1 comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes) E.g. perhaps use less of one's cash balance available for investment (generally speaking)?