Recent content by slik

I would disagree that the example given indicates a 50% of the index being outside this range. Surely the straddle is a tick interpretation of the standard deviation priced into a given period => at should indicate 65% probability of remaining in this range at expiration no? Beyond that, delta...

if its vols/skew data you are after, there is a data provider called sigma28 that specialise in conditioning this type of data..... it aint cheap though- its aimed at pros - ie IB/HFvol desks and market makers

As a market maker (well unitil I got canned recently!), having the +theta +gamma position is ideal: it means you get paid and am long gamma! The only way you get it though is by trading the vol surface- selling high vol options to buy low vol ones and traditionally (with a smile on the vol...

thats right elvis- cash settled means you get the difference between the strike and the settement price (assuiming its in the money)..... you can then withdraw the cash and get yourself some big ol' burgers and a deepfried peanut butter sandwich!

Presumably, you wanted to be a flow trader in a bank- well, options wise, you can do that at market making houses like liquid capital and tibra.

I don't think they take positions as such- I imaginethey hedge their positions out in the 'real' market- they just quote wider and take the instant edge.

look back at your p_l graphs, condors/iron condos are the same and the margin is limited to the premium or the width of the strikes. ratios are charged like being short an option- you are short the '2' option if you are lon the '1'

think you are right Chinabean......Selby Jennings seem to have job postings that are too good to be true. they are also a bunch of utter ar$e holes to deal with- like the foxtons of the recruitment world!

It all depends on two 2 factors, 1) time remaining and 2)Volatility change on such a move. If the spot moves from 8200 to 7700 say 3 days after you have sold the 7000 one month put, vol will go through the roof (7800 in the dow being the recent low), and in particular, puts will be bid to...

You are right if the right discipline is adhered to and you make sure that you get out on your preset limits. Liquidity and stops are not the problem, the problem is the discipline required to hit these stops- with options it is easy to run a short right until the strike is nearly breached; it...

Whilst derivatives have inherent risk, its their use which is what caused the debacles. The securitisation on the MBS's with AAA rating when they were really toilet paper- The fact that the banks sat on the debt they could not sell (usually the riskiest) without hedging themselves properly (It...

volatility of the calls got hammered on the rally explains why the price remains the same- lower vol = lower option premium- same delta is because a rally will increase the delta bit lowering vol will decrease the delta- so the example you gave evidently resulted in no delta change- they offset...

I don't wanna come across all preachy preachy in this thread its just that I wanted to share my own experiences- I have sold options on spread betting accounts and have regretted it!I just didnt want a novice to read this thread title and think selling strangles is easy money , that is all...

Option data is not easy to get. You can get some from bloomberg, but implied vols are not stored for very long on bloomberg. It is not easy to analyse this kind of data either; you need to compare 30 day options with 30 day options etc I remember my firm buying the data directly from the...

I assume you are talking about puts in equity indices. Take a look at equity indices graphs over the last 12 months, notice anything, there are voilent moves down. Bring up accompanying implied vol, notice anything? Vol ge$ts bid through the roof in the way down- the market is panic mode.You...