kahler_potential
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#21
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#21
Well... The trade could come good. Gotta remember the shadow gamma... if the STOXX tanks that far, implied vols are gonna be even higher than 35% (which is already getting silly).


Incidentally, part of the way LTCM blew themselves up was selling index vol at 35% in late August.
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President_Ben
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#22
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#22
(Original post by Mikesev)
Fine, even if it's 0.1%, its still a crap load of money to trade on an option so deep.
Depends how rich you are. The option premium vs notional could still be lower than 10 bps.

Please explain then, because my understanding of options is that the S&P tanks 35%, they start to make make money. Else, nada.
You know, there are more greeks than delta.
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President_Ben
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#23
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#23
(Original post by kahler_potential)
Well... The trade could come good. Gotta remember the shadow gamma... if the STOXX tanks that far, implied vols are gonna be even higher than 35% (which is already getting silly).
Would you have sold the 35% marked vols at the time?

Incidentally, part of the way LTCM blew themselves up was selling index vol at 35% in late August.
Or rather, selling it naked.
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Mikesev
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#24
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#24
(Original post by President_Ben)
Depends how rich you are. The option premium vs notional could still be lower than 10 bps.



You know, there are more greeks than delta.
Ok, so what is your take on the trade?
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Mikesev
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#25
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#25
Hehe just saw this on another board, maybe the guy who bought this put was on to something...

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rboogie
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#26
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#26
haha, that's interesting.
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President_Ben
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#27
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#27
I can only see a white box with a red cross...

My take on the trade is that it is fairly normal. A little unusual - but not worth making a huge fuss over.
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Mikesev
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#28
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#28
(Original post by President_Ben)
I can only see a white box with a red cross...

My take on the trade is that it is fairly normal. A little unusual - but not worth making a huge fuss over.
Fair enough, its good to hear your thoughts on it anyway.

Edit: The picture shows two graphs of the DOW, one throughout 1987, ending of course with Black Monday. The other in 2007. The price scales have been adjusted such that the traces of the two years actually bear a very close similarity, with major features coinciding closely in time, and suggests a repeat of the crash.
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john !!
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#29
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#29
hmm. interesting but I am totally unconvinced that it will be as dramatic as that
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supernova2
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#30
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#30
You could probably mess about with the scales on either side to get most things to look like one another at some point.
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Econ4m1t
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#31
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#31
http://hnn.us/articles/895.html

Derviatives securities, computer trading, lliquidity,... sounds familiar!
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Mikesev
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#32
Report Thread starter 12 years ago
#32
(Original post by supernova2)
You could probably mess about with the scales on either side to get most things to look like one another at some point.
Well you'd have a hard job aligning the peaks, bull runs and reversals lol
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