Recent content by nickleeson88888

Thanks Cutz. Good site!

In current market conditions, does it matter which 2 other Greeks are better to hedge against including delta? that is 3 Greeks in total. For example you should hedge against Rho in the current market if you think interest rates are going to change. Any suggestions?

cheers wayneL. all valid points indeed. are you able to tell me if it's possible to obtain a particular options price on a daily basis and its implied vol? i've got my eyes set on WOW call options expiring on dec 2011 with a strike price of $34.00. the day i picked this option, obviously it...

I'm interested to hear about peoples favourite films related to finance. Mine include Rogue Trader and Wallstreet. One film a little less money related is American Psycho, which is a personal favourite of mine. Feel free to post some memorable quotes as they can apply to everyday scenarios...

one more thing, how do you get the same call price & volatility for like several consecutive days when the financial review only states those traded above 5k and some days the option quoted from the previous day is no longer stated?

right you are maz. we're now using volatility to identify if the call is mispriced. that is by analysing historical volatility and seeing whether current volatility is significantly different. we'll use historical prices to calculate the 'correct' volatility and if it's lower than implied...

thanks for the help guys. just want to clarify my question a bit, but first the assignment asks: 1.to identify an option you believe is mispriced. 2.develop an arbitrage, delta-neutral strategy that will make money from the mispriced derivative. detail minimum costs, and you can use as much...

hi guys, i've got a bit of a dilemma here, :banghead: trying to work out a delta for a uni assignment. we are shorting 1000 calls at $9.63 amd buying delta number of stocks = 880 stocks at $60.69 (delta = 0.88 from the financial review). we borrow $43,777.20 to pay for the remaining...