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1

I'd echo @noob2 and add https://www.ivoletf.com/ for rates related vol/inflation hedge. I think at some point there will be some ANT (active non-transparent) ETFs running a strategy similar to tail risk hedging. Paul Kim has recently filed downside/upside convexity ETFs, which may become more relevant in the future. As evidenced: The option overlay is ...


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For a given maturity, given three equally spaced option strikes $K_1,K_2,K_3$ a "butterfly" combination consists of shorting 2 of the middle strike calls and buying one each of the "wing" or lateral calls. This position has a positive cost i.e. $c_1+c_3-2 c_2 >=0$ (why? because it has a positive payoff for $S_T\approx K_2$ and zero payoff elsewhere). In ...


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I'll assume rates to be 0, so any $\text{Call}=\text{Put}+S-K$ so in the end you need to have $p_1+p_3-2p_2$, theoretically


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Note that \begin{align*} \max(S-K, 0) = S-K + \max(K-S, 0). \end{align*} Then, \begin{align*} &\ \max(S-K_1, 0)+ \max(S-K_3, 0) - 2 \max(S-K_2, 0)\\ =&\ S-K_1 + \max(K_1-S, 0) + S-K_3 + \max(K_3-S, 0)\\ &\qquad -2(S-K_2) - 2\max(K_2-S, 0)\\ =&\ 2K_2 - (K_1+K_3) + \max(K_1-S, 0)+\max(K_3-S, 0)- 2\max(K_2-S, 0)\\ =&\ \max(K_1-S, 0)+\max(K_3-...


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To buy back a short strike is to buy back an option you have sold to the market, thus closing out the position. In this case it would be putting a bid at 5c per contract.


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Having a position "tested" or "stressed" is trader jargon for "an assumption I made when entering the position is turning out wrong and I am losing money" or "the trade is going the wrong way at the moment". For example: you sell an OTM option with strike K, as the underlying S approaches (and goes beyond) K that option position is "tested" or stressed. You ...


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Given a certain market environment, option quotes are impacted by at least the following factors: moneyness (distance from spot/forward to strike) and tenor (time to maturity). This makes it difficult to compare option quotes accross strikes and tenors and certainly makes it impossible to compare the price of options accross different underlying stocks. For ...


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