Recent content by MacroStyle

I think you have to short JPY via options at this point. Implieds are up a lot but below realised so gamma looks cheap. Also a lot of guys have RKO trades on due the pumped vols so you know the bank desks will gun for those barriers on the top side.

Mid-curve is a option on a contact further out the curve. For example 2EF3C 99.125, is the 99.125 Jan13 call on the EDH5 contact.

No ITM option will ever be worth less than it's intrinsic value. Think about it this way, if you were the market maker why would you sell an ITM option for less than it's intrinsic value, ensuring that you make a loss?

I sometimes trade 1m binary FX options on IG. I have found mispriced low delta ones because they don't appear to use the vanna-volga adjustment. Although D70 is right, the edge is often lost in the bid offer.

Anon, if i sell a DITM call and the stock price rises what happens to my P&L and how is it free? You can talk about a covered call strategy but you are still short gamma. You don't understand options and need to stop giving advice right away before you cost other people money along with yourself.

If your strategy is to just short options without every worrying about the vol market or your short gamma position you will blow up. You are constantly short tail risks. If you're not looking at skew, roll down and absolute vol level how can you be sure that the trade is good? For example...

The spread betting firm won't care what your job is. You need to check the personal account dealing policy they have at your bank. The bank might care if you are shorting their stock to hedge your bonus for example.

Dunstan The DSI can be found on Jake Bernstein on Futures, the site doesn't look very professional but the data is pretty widely used (I was put on to it by a Merrill Lynch research report). I focused on the large speculators because the other two groups (small spec and commercial) usually...

I started in the Middle Office of a Hedge Fund about 6 years ago, spent a year booking trades, calculating P&L and Risk and generally understanding how all the products (I have a degree in Chemistry so didnt have any previous knowledge). After a year I had built up the trust of the Portfolio...

Couldn't find the original sheet so I have attached an example for S&P E-mini. It uses a Bloomberg feed so if you don't have a terminal its not gonna update.

A second thought if you are interested in market positioning and sentiment I do find EPFR fund flow data and the Daily Sentiment Index survey data quite useful although you do have to pay for both of these. Fund Flow data because EPFR cover the majority of retail investment funds and provide...

The information within the report is relevant but because its used by the majority of major market particiants i have never found it that useful in terms of actual trading. I have previously used the data in the following way: (Large spec longs - large spec shorts) / open interest then...

This is not new, the COT report has been out for decades and is available to anyone. If you think that can give you an edge you are having a laugh.

They probably focus too much on the underlying and not enough on the vol market. For example i like 3M AUDUSD vol, implieds at 10 realised at 11 and 1 vol of roll down over 2M seems like good value to me given all the current unknowns with China growth and Europe crisis etc.

Scone when you have a deep ITM option the best way to lock in profit is to delta hedge. In your example you would buy the stock at $5, when the option is exercised you realise $7 (if the option is ITM at expiry). If at expiry the option is OTM you can sell the hedge back at market price and...