http://www.trade2win.com/boards/ Options trading discussion. en Fri, 20 Nov 2009 22:47:23 GMT vBulletin 60 http://www.trade2win.com/boards/images/misc/rss.jpg http://www.trade2win.com/boards/ http://www.trade2win.com/boards/options/79858-hedged-call-call-gold-silver-usd-etfs.html Thu, 19 Nov 2009 23:17:57 GMT Puts always seem over priced and calls typically seem cheap.

There's a Silver ETF (IAG) that is delivering despite the fact the USD index and Gold has been flat for a couple of days.

I traded into a Gold call (IAU) and hedged with a USD bull fund call (UUP). The gold call was relatively expensive. The UUP cost a dime (not much more than the cost to do the trade and there's a lot of Vol and Open Interest for the strike). However if the IAU goes south, the [very] cheap UUP call will pay off in spades according to my forward spot pricing software. If I loose half my IAG premium the UUP call will pay back double the cost of IAU call.

Essentially what I did was hedge the pricey IAU call with an embarrassingly cheap USD bull fund call. The CBOE has chains for all those guys. ]]> Options Cadavre http://www.trade2win.com/boards/options/79858-hedged-call-call-gold-silver-usd-etfs.html http://www.trade2win.com/boards/options/79844-volatility-standard-deviation.html Thu, 19 Nov 2009 21:02:33 GMT Hi Guys, Could anyone tell me how I would work out the % chance of a stock being above/below a price by DEC expiration given some number for volatility? More specifically, a stock is currently trading at 84.80 and its 90Call option has an IV of 44.50. So if anyone could help me calculate what... Hi Guys,

Could anyone tell me how I would work out the % chance of a stock being above/below a price by DEC expiration given some number for volatility?

More specifically, a stock is currently trading at 84.80 and its 90Call option has an IV of 44.50. So if anyone could help me calculate what I stated above in this situation, I would greatly appreciate it.

Thanks for your help. ]]> Options Giri89 http://www.trade2win.com/boards/options/79844-volatility-standard-deviation.html http://www.trade2win.com/boards/options/79698-options-asian-indices.html Wed, 18 Nov 2009 07:48:13 GMT Hi guys, does anyone know a broker (preferably European one or US) offering possibility to trade options / options CFD on asian indices? thx Hi guys, does anyone know a broker (preferably European one or US) offering possibility to trade options / options CFD on asian indices?
thx ]]> Options valgram http://www.trade2win.com/boards/options/79698-options-asian-indices.html http://www.trade2win.com/boards/options/79556-option-pricer-input-parameters.html Mon, 16 Nov 2009 14:49:58 GMT I've knocked up a little Black-Scholes option pricer in a spreadsheet in order to look at trading some long-dated (e.g. June '10) DAX index options. I just want to check a few things regarding the input parameters to ensure that I am using the correct figures:

1. The interest rate: I was going to use the value implied by the Euribor future but should I use the nearest future (e.g. Dec '09) or the one that most closely corresponds to the expiry date of my option (June '10)?

2. What should I use for the dividend yield figure for the DAX? I know that for the most accurate model one should use the individual dividend payments of the underlying stocks but I am hoping that for a long-dated option an equivalent continuous yield figure should be a reasonable approximation.

3. The volatility: can anyone give me current ATM implied vols for June '10 DAX options for example?

As an example of where I've got to, I can match the ATM Eurex web-site prices most closely with: r = 1.07% (Euribor June '10) , Vol = 25% Div Yield = 0.7% but I'd like to know whether these figures are correct.

TIA
Gnome ]]> Options a_gnome http://www.trade2win.com/boards/options/79556-option-pricer-input-parameters.html http://www.trade2win.com/boards/options/79472-iv-option-premiums.html Sun, 15 Nov 2009 07:10:59 GMT Hi guys, I have a question about the IV component in options. I have a view on what I believe will be the IV on an option for a particular stock which will be expiring shortly. If i believe that the stock will fall and that IV will be 25% for the remaining life of the option, should I be trying... Hi guys,

I have a question about the IV component in options. I have a view on what I believe will be the IV on an option for a particular stock which will be expiring shortly. If i believe that the stock will fall and that IV will be 25% for the remaining life of the option, should I be trying to purchase options with an IV below that and selling those that are higher? Also should I be looking for positions with an overall value for vega which is positive?

However I'm confused by the fact that deep ITM options have incredibly high IV's yet all of their premium appears to consist of intrinsic value. So if I were to act on what I stated above, I would be selling very deep ITM options and buying ATM/OTM options. Obviously I would very likely lose money on this trade as price would not move far enough to make the deep ITM options become OTM. If i hedged and became delta neutral, is it possible to make money of such a trade? I'm guessing the answer is no as there is no extrinsic value in these deep ITM options ... so why the high IV's??

I'm sorry if this is a really stupid question but it has me confused.. =/

Any help on this would be greatly appreciated. ]]> Options Giri89 http://www.trade2win.com/boards/options/79472-iv-option-premiums.html http://www.trade2win.com/boards/options/79154-newbie-question-premium.html Tue, 10 Nov 2009 23:24:18 GMT I was looking at UNG puts today when it was trading at $9.25 a share and I noticed something odd about the $9 and $10 strikes. The implied premium of the $9 put seems to be more than the premium of the $10 put. How could this be? I understand that the $10 strike is in the money by 75 cents but why... I was looking at UNG puts today when it was trading at $9.25 a share and I noticed something odd about the $9 and $10 strikes. The implied premium of the $9 put seems to be more than the premium of the $10 put. How could this be? I understand that the $10 strike is in the money by 75 cents but why would this translate to such a huge discount in premiums, are NG prices considered to be that bearish long term by the writers? :eek:

The prices in question are:

UNG APRIL 2010 $10 PUT $1.70 (with UNG stock trading at $9.25/share)

UNG APRIL 2010 $9 PUT $1.10 (with UNG stock trading at $9.25/share)

The breakeven for the $10 call would be $8.30 and the breakeven for the $9 put would be at $7.90. Insinuating from that the premium for the $10 strike put would be $1.10 and that for the $9 strike put would be $1.60. This is the part that puzzles me, I know that the $10 strike is in the money by 75 cents and the $9 is out of the money by 25 cents but still does that justify such a massive a premium increase for the $9 put of about 50 cents(in premium)?

It just seems to me that the $9 put is priced too high, conversely the $10 could be priced too low but I doubt that is the case because writers don't make such blunders and if they did the market would suck up the mistake like a vaccum. So what exactly is going on here, why is the $9 put so overpriced? ]]> Options sharpie458 http://www.trade2win.com/boards/options/79154-newbie-question-premium.html http://www.trade2win.com/boards/options/78998-greeks-forex-options.html Tue, 10 Nov 2009 05:39:28 GMT OK so I am testing the waters in FX Options. Probably not the best market to start, but the one I have the most knowledge in. Noticed that there is a daily euro range from 1.4650-1.5100. Now if I was to setup a Reverse iron Condor, expecting this range to be broken, how would I set it up?... OK so I am testing the waters in FX Options.

Probably not the best market to start, but the one I have the most knowledge in.

Noticed that there is a daily euro range from 1.4650-1.5100.

Now if I was to setup a Reverse iron Condor, expecting this range to be broken, how would I set it up?

Sell a 1.5050 put
Buy 1.51 call
Sell 1.47 call
buy 1.4650 put


does that sound right?

Also, this would mean I am short theta correct? so it is best for shorter term trades so daily range might not be best opportunity to use this? ]]> Options Phoenix669 http://www.trade2win.com/boards/options/78998-greeks-forex-options.html http://www.trade2win.com/boards/options/78778-help-black-scholes-dynamic-hedging.html Sat, 07 Nov 2009 16:28:26 GMT Hi This is my first post, so not sure if this is the right forum. Please let me know if there is somewhere more appropriate. I have to explain dynamic hedging for a put option and one point I want to make is: i) When you dynamic hedge you are replicating an option. ii) The option costs... Hi

This is my first post, so not sure if this is the right forum. Please let me know if there is somewhere more appropriate.

I have to explain dynamic hedging for a put option and one point I want to make is:

i) When you dynamic hedge you are replicating an option.
ii) The option costs money so dynamic hedging will cost money.
iii) The cost comes in because you have to rebalance and have losses due to gamma.(Buy high/Sell low)
iv) I believe you can estimate your gamma costs by 1/2 sigma^2 x $gamma x t. (Or a formula very similar to this.)
v) So you can think of the cost of an option as the present value of all your future rebalancing costs.

So the question is....conceptually is theta the same thing as point iv) plus interest costs?


Any help would be appreciated. ]]> Options alcasa http://www.trade2win.com/boards/options/78778-help-black-scholes-dynamic-hedging.html http://www.trade2win.com/boards/options/78718-give-me-straight-advantages-disadvantages-options.html Fri, 06 Nov 2009 17:01:54 GMT i'd really like to know this, because they seem too simple, too 'safe'. the fact that you are completely safe with a call option (bar the loss of the premium) if a stock/currency/future etc gaps down 99.9% overnight.

advantages and disadvantages- go! ]]> Options TAjammy http://www.trade2win.com/boards/options/78718-give-me-straight-advantages-disadvantages-options.html http://www.trade2win.com/boards/options/78204-options-trading-survey.html Sat, 31 Oct 2009 20:33:17 GMT Please help a graduate student complete a study on Options trading! As a graduate student I am studying the potential market for Options trading. It only takes a few minutes, and it is anonymous. http://www.zoomerang.com/Survey/?p=WEB229TWA4B479 I appreciate your assistance in this! Please help a graduate student complete a study on Options trading!

As a graduate student I am studying the potential market for Options trading.

It only takes a few minutes, and it is anonymous.

http://www.zoomerang.com/Survey/?p=WEB229TWA4B479

I appreciate your assistance in this! ]]> Options Anipicoaes http://www.trade2win.com/boards/options/78204-options-trading-survey.html