IV is the market's best consensus guess of FUTURE volatility. It has no real relation to HV which is backward looking. If it were as simple as comparing one to...
Correcto, Marko. If you replace the Bjerksund model in TOS with either the Black-Scholes or Binomial, the correct vega of 83 is shown. The Bjerksund model...
Ignoring your NOV strangle for a second, your leap guts strangle has only 2.30 in premium six times or a max risk of $1380 so the vega calc is completely...
Thanks go out to Neal and Marko for clearing up my suspicion that the Vega was unrealistic for this position. Michael, you don't know how much I strive to see...
Hi Rich Did they share any examples at the class there in San Francisco? Can you share them with me. I like trading Dan S. way of IC. Ken ... From:...
Hi Neal, OK, I'm lost here. I get the ability to change from Bjerksund to Black-Scholes in the Analyze tab, but it has only one greek, the Delta. Where do you...
Hi Rob, Again, Im not the expert here. But seems to me another way to look at your position is that you are short a front month strangle, protected by the back...
A guts strangle is a position where both strikes are in the money. A standard strangle for your position would be long the out of the money 40 PUT and long...
One more consideration on locking in profit while leaving the trade with a great deal of further potential: Obviously you can just sell out those 70 puts that...
Rich: How far OTM does Bittman place his short strikes? Thanks. Akram Khan From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of...
Two years ago we had a short discussion here on the "Boston Strangle", which is what Michael calls the guts strangle. An article was published in SFO...
Ross, your question is a bit ambiguous. Above the box where you change the option model are the "price slices", whose columns are headed by all 4 greeks. If...
Ross, Your graph really says nothing about the "real" risk, and that word should not even be used. You should always look to IV for the expected future...
OK, I got it. I had the slices section closed and forgot to look in there. And yes, it much easier to put on the trade in the analyze section on a Sunday.  ...
Hello all, This is my first post here as best I can remember. I have been experimenting with some, hedged calls with this volatility so high. I have some...
The simple answer is you have created a synthetic put and paid multiple transactions to complete. The success here coming from a market decline ISE educational...
Not quite, Alex (you should have caught this one). If you look at the hedges Steve is basically trading synthetic straddles and then doing a classic set of...
Yes but if the call is deep enough to get to zero delta it's a straddle that still has directionality to the downside. The call will still erode and with no...
in a more sane market: open up a IC on RUT about 50 days out with a delta on the short call about 10 and the delta of the short put around 8. This is what he ...
Jim likes 1 SD so theres room for adjustment. His adjustments are to roll down or out a month if things are moving fast for a short term event. Even he said...
Deep calls go to 100 delta, not zero. This is gamma scalping using stock to rebalance to zero deltas. Neal ... From: "Jacobson, Alex" <ajacobson@...> Yes...
Michael is correct on this. Steve's strategy is simply gamma scalping with long calls and short stock to rebalance the deltas to zero. Aside from theta...
Doesn’t make sense. If you trade a plain straddle, the same thing can happen on large moves – i.e. one side or the other will go to zero deltas and the...
Thanks for your comments. My reasons for trying these trades were precisely what you said. My rationale was this: 1. The markets are making breathtaking moves...
Steve, what you are doing is very basic thing pros with bigger books are doing, at least here in Europe. This way You are purely betting on beating the...
Neal, The reason I went to JAN was simply to see what the behavior of a a further out call would be in these conditions. I did the SPY in DEC, and for a lower...
  Steve,one experience that I have while being gamma long is , one's hedging gains should always compensate for one's theta loss. In order to do that...
Hi Micheal, Could you give me an example of what trade I would make to trade it delta neutral (as quoted below)if I had a long straddle, and say the underlying...
Michael, I honestly don't know how to get the most out of this and another similar position I have in DIA. I'm long a "leap guts strangle" as of October 17th ...
