Futures bonding - finding seams - page 6

 
Yuriy Asaulenko:

There is no movement and there isn't. The price is not determined by theoretical, but by the last trade and the option's stack. And who would trade an option on a breakdown).

And delays are only determined by trades and the put. Sometimes you can buy and sell very profitably. With options there is no need to make any fuss at all.


The point is - if they are not traded at a breakdown, then there is a price gap - which is then overlapped by a strong movement.

The trouble with options is that they often roll without a hitch - in waves - maybe it makes sense to trade them as a trend?

 
Aleksey Vyazmikin:

That's the thing - if they are not traded at breakdown, there is a price gap - which is then bridged by a strong move.

The trouble with options is that they often roll without a hitch - in waves - maybe it makes sense to trade them as a trend?

On the trend, I do not know. Imho, it only makes sense positionally. Then everything is balanced, and all sorts of flips don't matter.
 
Yuriy Asaulenko:
Against the trend, I don't know. Imho, it only makes sense positionally. Then everything is balanced and all sorts of upsets don't matter.

I have an idea that has not yet been tested - averaging against the trend by picking options beyond 2 strikes from the price - the advantage is that you can limit the risk, compared to a normal martin.

 
Aleksey Vyazmikin:

I have an unproven idea - averaging against the trend by gaining options beyond 2 strikes from the price - the advantage is that you can limit the risk, compared to a normal martin.

Don't do that.( Temporal decay will eat up all profits.
 
Yuriy Asaulenko:
You don't need to do that.( Temporal decay will eat up all profits.

That's what I want to check. More precisely, to see the dynamics of decay depending on the price movement - in trend and in flat, and depending on the distance of the strike. To the eye - it's all not uniform and requires experimental study.

 
Aleksey Vyazmikin:

That's what I want to check. More precisely, to see the dynamics of decay depending on the price movement - in trend and flat, and depending on the distance of the strike. By eye, it's not all uniform and requires experimental study.

There is a formula for calculation. It really works. There is free software that allows you to watch the process. Everything is calculated. So why experiment? ))

Take your word for it for now. In a couple of days, it will eat everything up. Neither trend nor flat will save it).

And in practice it all must be calculated. Constantly.)

 
Yuriy Asaulenko:

There is a formula for the calculation. It really works. There is free software, too, you can watch the process. It all adds up. So why experiment? ))

To get a feel for it :)


Yuriy Asaulenko:

For now, take your word for it. It will gobble up everything in a couple of days. Neither trend, nor flat will save it).

In practice it all must be calculated.

My practice is not unambiguous, that's why I have ideas.

I didn't see a perfect "book" decay.

An interesting observation, not made by me but monitored by me, seems to be that if an option on Si declines over 100 RUR, then at expiry the price will not be at that strike.

 
Aleksey Vyazmikin:

To get a feel for it :)


I've just had an ambiguous practice, hence the ideas...

I didn't see a perfect "book" breakdown.

An interesting observation seems to be, not made by me, but I monitor it, that if an option on Si decays beyond 100 RUR, then at expiration the price will not be at that strike.

Again take my word for it, the decay is indeed perfect and fully consistent with the formulas. Options have all sorts of dependencies and decay is only one of the variables. That's why you don't see it.

If you want I can give you a book on options. If you need it, please drop me a line in about a week. I won't be here.

I'm going to bed. Nighty-night.

 
Yuriy Asaulenko:

Again take your word for it, the decay is really perfect and matches the formulas completely. Options have all sorts of dependencies and decay is only one of the variables. That's why you don't see it.

If you want I can give you a book on options. If you need it, please drop me a line in about a week. I won't be here.

I'm going to bed. Good night.


Well, I like to check everything out - maybe that's why I'm making slow progress, but by a lot...

Thank you, do you offer a living book as a donation? I've been meaning to read Connolly Kevin - Buying and Selling Volatility - I have a plan.

Have a nice dream.

 

Decided to look at the glue on the euro/ruble futures - horror


How can it be brought to a human form? I understand that if I correct it by hand, it will again get messed up when communicating with the source of information...

Reason: