Questions tagged [option-strategies]
The option-strategies tag has no usage guidance.
197
questions
2
votes
1
answer
100
views
P/L of a position described in terms of Up-Gamma and Down-Gamma
I can't visualize the profit/loss of a position described in terms of its Up-Gamma and Down-Gamma. The question arise from pag. 193 of Dynamic Hedging by Taleb.
How would you describe a position that ...
- 207
0
votes
1
answer
70
views
Potential arbitrage opportunity or fallacy?
Suppose we have two European options with the same expiration: a call priced at $c$ with strike price $K_1$ and a put priced at $p$ with $K_2 (>K_1)$. Further, suppose the zero-points of the two ...
0
votes
0
answers
39
views
Approximation of an Autocall (trigger 100%) with ATM options prices
thank you very much for trying to answer this question, and I hope it will be helpful to everyone in my situation.
I am preparing for an interview, and I've come across these three questions on the ...
1
vote
1
answer
148
views
P/L table for a delta hedged position
I am trying to replicate the table at pag. 119 of Dynamic Hedging by N. Taleb with no success. In the example called "A misleading delta" an operator has the following position:
long \$1 ...
- 207
0
votes
2
answers
182
views
How to conclude which option is overpriced (by using implied volatility)
I have a small question regarding how to conclude which option is more overpriced?
See the following table
Option Theoretical Value
Option Price
Option Implied Volatility
7.00
8.00
26%
6.00
6.75
28%...
0
votes
1
answer
230
views
PnL of a delta-hedged straddle
On Twitter, this question has been making the rounds:
If you sold a 30 vol for a one year out at the money straddle, have access to free, perfect, and continuous delta hedging, and stock realizes a ...
0
votes
0
answers
21
views
Setting Bid-ask for option forward-type strips
do you know if there is any methodology on how to define spreads when fx option market maker is trying to quote for exaple various fx forward strip strategies?
From bbg ovml or software which we are ...
- 1
1
vote
0
answers
64
views
We can forecast the direction of (constant maturity) implied vol of various indices well. Is that useful?
We've been financial building ML models for years, and have multiple portfolios live - but we're new to the volatility space, none of us are options traders.
How could we effectively use implied vol ...
- 111
0
votes
2
answers
136
views
Constructing payoff with options
Suppose that COMPANY A has issued a special bond that does not pay any coupons. At maturity T, the bondholder receives the principal (face value) equal to 1,000 plus an additional ...
0
votes
0
answers
63
views
Why a Short Iron condor payoff is showing always positive
I created a Short Iron condor on Nifty 50 index European option for 9 Nov weekly expiry on 1 Nov morning 10.30 AM (live market). It's payoff is showing always positive curve. Why ? However when same ...
- 335
0
votes
0
answers
73
views
A naive approach to choose a strike
The idea is to choose a strike base on the premium and historical data to have maximum profit.
For example a selling a (European) call.
$$Profit = Premium_K - (S(t) -K)^+$$
Replacing $(S(t) -K)^+$ for ...
- 1
0
votes
0
answers
99
views
What would be the practitioner way of hedging jump risks?
I have developed a keen interest in volatility strategies and have implemented various approaches based on practitioner delta. This delta is meticulously calibrated using a no-arbitrage implied ...
- 43
1
vote
0
answers
93
views
Arbitrage between gamma and delta on smaller timescale in options selling
I have observed that sometimes (mostly for OTM options) near expiration, an increase in option price cannot be fully explained by delta and theta(given volatility is constant). The gamma spiked the ...
- 111
0
votes
1
answer
256
views
At what threshold on delta percentage should I hedge my option portfolio?
I am able to identify and build an option portfolio with long/short call/put options across different strikes and expiries such that the gamma is positive and cost is negative. Upon inception I hedge ...
- 31
0
votes
0
answers
37
views
Accounting of a stock put option for Monthly % Changes
am looking to backtest a strategy of systemic put buying on an equity index (e.g SPX Index) so say a strategy of buying 1Y 90% SPX Puts rolled 1 day prior to expiry.
As opposed to only calculating the ...
- 11