Questions tagged [option-strategies]
The option-strategies tag has no usage guidance.
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Which option strikes are better to sell for mean reversion strategies [closed]
Suppose I have an underlying with following values:
Spot Price: 100 Average: 98
Now let's say this stock goes to 108 and according to systematic evaluation it is overbought. I want to take a short ...
- 111
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104
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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
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75
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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 ...
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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 ...
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152
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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 ...
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183
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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%...
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1
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260
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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 ...
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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 ...
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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 ...
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137
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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 ...
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63
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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 ...
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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 ...
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100
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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 ...
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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 ...
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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 ...
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