Coruscation: Options Archives

Greeks of leveraged ETFs

Ultra ETFs deliver a 2 delta. There is a negligible amount of gamma, theta, and vega, a small amount of rho, and some exposure to dividend risk and borrowing costs.

-- ET comment on the option greeks of ETFs.

Posted by at 7:03 PM | Permalink | Comments (1) | TrackBacks (0)

Think or swim: think different than other brokers ?

Think or Swim aims for high volume from quickly expiring options.

The average accounts remain above 40K. The Annual avg trades per remain
above 180 and the churn hovers around 7%. TOS is pillaging competitors at
a 14:1 ratio (nearly 12,000 accounts taken away from OXPS, Schwab, TD,
Etrade etc in 6 months).

Continue reading "Think or swim: think different than other brokers ?" »

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Option Volatility & Pricing: Advanced Trading Strategies and Techniques, Sheldon Natenberg

Option Volatility & Pricing: Advanced Trading Strategies and Techniques, second edition (1994, Hardcover) by Sheldon Natenberg.

Natenberg not only takes great pains to explain the concept of volatility, in addition to other inputs into an option pricing model, but clearly shows that option pricing isn't the exact science many seem to believe, for the simple reason that we never know if our volatility estimate is correct.

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Options as a Strategic Investment, Lawrence G. McMillan

Options as a Strategic Investment, 4th Edition (2001), by Lawrence G. McMillan .

Comprehensive and informative. Covers pretty much every conceivable option strategy in the context of both equity and futures options and imparts realistic expectations.

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Buy-Write covered calls: BEP and BWV

There are many funds today offering some version of covered call strategy (BuyWrite strategy). We have been asked "What do they do?" and "Are they a good addition to a diversified and allocated portfolio?"

In September 2004 the Ibbotson Associates consulting found higher returns and much lower volatility for a the BuyWrite index versus the S&P 500 alone.