Recent content by AJJ

Hi, If you are familiar with the workings of options, I would like to recommend straddleplanner.com. This is a free online option calculator where you can analyse option strategies. Although it has not got a graphical interface, you can see the P/L of your strategy with up and down price...

brainteaser questions Hi, Here are two teaser questions: 1. You buy a "time call spread" both ATM strikes. ....question...what is your delta? (no dividend, no interest) 2. You buy a call....question...what happens with the call price (CP.) when the interest rate rises? Good luck.

Hi, With regard to the differences in interest rate between German and Greek goverment bonds I have a question: As both countries have the same currency and they are both part of the EU. What risk would I run... if I would go short the German Government bond and use the money to go long the...

Hi, Reading all reactions with regard to my previous posting, I think it is best to explain what I mean by working out an example. To better understand my explanation, you can set up, manage and work out the example yourself at straddleplanner. com. (my site). Gamma trading example: Position...

Grantx, Your sheet is not quit clear to me. Therefor I have some questions. If I look at the 7400 strike, I see lower vols in the calls than in the puts. This sounds like a arbitrage opportunity. What was the index price when you took this snapshot? Also in the 7050 strike I see some...

Gemmill and Implied volatility Grant, I've read plenty......basically zero. Gemmill will not change this view, so don't bother to read it. :) From a market maker point of view I would say that the best information is received from comparing IV over multiple strikes and expirations. All...

Math levels Grantx, Thanks for the documentation. By the looks of your study it seems to me that your math skill are way higher than mine. The way you determine the IV, is based on the past. Maybe article of Gemmill could be of interest for you. Gemmill G.”Did option traders anticipate the...

OTM call and puts A Dashing Blade, Er . . . and you don't know this stuff? Ha, That's funny. To clearify. The reason why I put this question online is because there is not one correct answer! What I want to hear from interested persons is what there view is on this. Normally the stock moves...

With regard to skew I have a question: Lets take the example: Suppose that the future stock price is exactly 100. And that you only have a 90 and 110 strike on that stock. Which option value would be bigger: the 90 put or the 110 call? And which option would have a bigger delta? Thanks

Position calculation Hwoodl, With regard to the position you want to value. I would like to tell you that I have an online option manager site, where you could enter your whole position and it will produce the delta's, gammes ... for you. The site "straddleplanner.com" is free an specially...

Online risk manager. Grantx, Thanks for your reply. I am curious to here how you would determine the IV. Meanwhile I would like to mention that I have build on online option calculator. The calculator is free and open to anyone who knows how the greeks work. On this site you can enter entire...

Determining the IV per strike Grantx, What do you mean with back out via iteration? Indeed regardless of the model used, you must do efficient guess work. What I meant was: In order to accurately ‘determine” the IV for one strike you must determine the IV for the whole expiration. If you do...

calculating the delta jim, To calcute the delta of your strategies you must use a model. (e.g. CRR) Than when using it you must set the "correct" volatility per strike. If you have done that (there are a variety of calculators online) you can add the delta per option to come to a net delta of...

Fp, You can you use a variety of models for this!. E.g Black and Scholes and CRR. Each model will generate different numbers. Thus use with caution. AJJ

Hi, My name is Alexander (age 38) and I am Dutch. I have been a market maker in stock options for over 6 years. Concerning the use of forums I must say I am very illiterate, so I hope that you as "owner" of this option forum could point me in the right direction I am looking for forum where I...