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visits member for 2 years, 8 months
seen Apr 11 '12 at 11:58

Nov
16
awarded  Yearling
Apr
2
revised How companies choose earnings release dates, & effect on Implied Volatility
added 6 characters in body
Mar
31
asked How companies choose earnings release dates, & effect on Implied Volatility
Jan
11
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?
Jan
10
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.
Jan
10
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.
Jan
9
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
Jan
9
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
Jan
9
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
Jan
9
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?
Jan
9
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?
Dec
15
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?
Dec
10
accepted Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)
Dec
5
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.
Dec
2
comment Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)
Geeze, missed that.
Dec
2
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.
Dec
2
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"?)
Dec
1
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).
Dec
1
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?
Dec
1
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)?