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location Toronto, Canada
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visits member for 3 years, 9 months
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accepted use synthetics for a pairs trading strategy
Nov
22
asked Why vertical skew is same for puts and calls
Nov
22
comment use synthetics for a pairs trading strategy
Thanks. I understand the con about reverting in sixty days. However the option strategy will be cheaper,not more expensive. Commissions at IB are low and the options will require less capital upfront. Please feel free to correct.
Nov
21
asked use synthetics for a pairs trading strategy
Nov
21
accepted Why gamma for ATM option decreases as volatility increases
Nov
21
asked Why Statistical arbitrage is no logner useful
Nov
21
awarded  Commentator
Nov
21
comment What math concepts are used in designing volatility models
Thanks a lot. Can you narrow down what fields of probability? Also is a good knowledge of time series,ARIMA and GARCH necessary? Also if you can point out a beginner book for each of the above topics with examples relating to options? A general textbook on probability will probably have not finance specific examples.
Nov
21
accepted What math concepts are used in designing volatility models
Nov
21
asked What math concepts are used in designing volatility models
Nov
21
asked Why gamma for ATM option decreases as volatility increases
Nov
19
comment Why IV shares an inverse relationship with underlying
Thanks. Can you use call option in your example, because it seems like when we use call option, a rising market means greater demand of calls,hence more IV.
Nov
18
asked Why IV shares an inverse relationship with underlying
Nov
7
comment Options: Vertical LEAPS
Ok thank you very much.
Nov
7
comment Options: Vertical LEAPS
After 6 months, if you are still bullish, it means the underlying has moved up. Which means the short leg will have increased in value. So how can you close it for 50 - 80% gain? You need to buy it back at a higher price, which will give a loss, correct?
Mar
10
awarded  Tumbleweed
Mar
3
asked Rationale behind formula for pivot point calculation
Feb
13
comment Estimate the effect of a buy order on stock price
Thank you very much. This is helpful.
Feb
13
asked Estimate the effect of a buy order on stock price
Feb
12
comment Estimate the market maker's price from the posted Bid/Ask and Trade price
Oh this is a matter of confusion to me since a long time. The Bid and Ask is posted by the MM and not by other retail traders.