Comments for Dean Mouscher's masteroptions.com

Comment on What is an Option Worth? by jumpbackjack

jumpbackjack — Sun, 24 Mar 2013 12:06:36 +0000

Great video, well worth the time to watch it. I’ve just made major strides in understanding implied volatility. Please do more videos. Thanks.

Comment on What is an Option Worth? by Gloria

Gloria — Fri, 15 Mar 2013 04:48:44 +0000

Great video, thank you for taking the time to explain the topic in a clear manner.

Comment on The VIX – What You Need to Know by johnny

johnny — Wed, 30 Jan 2013 01:01:46 +0000

Question: in your example of fair-pricing conversion, let me see if I get it right: to work out a system that always locks in brake-evens, you’d tell the computer:
A. track front month VIX future price (let’s call it variable “J”)

B. search the front month’s VIX options chain for a straddle at strike price “K” for which Pk-Ck (that is, ATM call price minus ATM put price) equals J-K.
in simple words and from your example: the difference between 29 and 25 is 4, and the difference between 4.75 and 0.75 is also 4.

C. if conditions are met, simultaneously long the future and sell a synthetic contract (selling and buying P and C at the same strike so your total delta is 0).

am I correct so far? of course, you could reverse the order and short a future while buying the synthetic contract.

Now, to make the algorithm profitable, all one has to do is change sequence B to say:

B. B. search the front month’s VIX options chain for a straddle at strike price “K” for which Pk-Ck (that is, ATM call price minus ATM put price) IS LARGER than J-K. [Pk-Ck>J-K]
in simple words and from your example: the difference between 29 and 25 is 4, and the difference between 4.75 and 0.70 is also 0.5 which would leave you at a 0.5 profit.

Now my question is:
1. did I get it right?
2. how common is a profitable arbitrage situation on those products? I am, since the options are priced using Black-Scholes, it’s hard for me to imagine the difference between puts and cal prices will always be 0.. right? but if that;s the case – how come not every algo in the world is working on that?

thanks in advance

Johnny

Comment on Do 90% of Options Expire Worthless? by Kevin

Kevin — Sat, 24 Nov 2012 19:43:55 +0000

The definition of “worthless” is the real question here.

About 50% of options expire in-the-money and about 50% expire out-of-the money. Makes sense…just look at an option chain on any given day.

Do you consider an option that has expired in-the-money to be worthless?

The “80-90% of options expire worthless” saying assumes that all options that have depleted their time value are considered worthless.

Comment on What is an Option Worth? by Vic Ruiz

Vic Ruiz — Thu, 30 Aug 2012 17:44:53 +0000

I just want to thank you. This video is one of the best on option trading.

Thanks again.

Comment on The VIX – What You Need to Know by Phillip Edie

Phillip Edie — Sun, 12 Aug 2012 13:29:20 +0000

I didn’t I discover these no nonsence videos years ago, they would have saved me a lot of real world pain. Thank You Dean.

Comment on Do 90% of Options Expire Worthless? by forex community

forex community — Sun, 05 Aug 2012 22:54:17 +0000

very well said…

Comment on The SPX/VIX inverse relationship by forex community

forex community — Sun, 05 Aug 2012 22:50:06 +0000

Thanks for the chart,it made it easier for me to understand….

Comment on Do 90% of Options Expire Worthless? by C

Thu, 12 Jul 2012 20:55:08 +0000

Yes, but most of the time there will be zero premium left in the option or your charged commission rate will cost you more than the trade anyway.

Comment on Scalping Option Gammas by bonus options binaires

bonus options binaires — Mon, 28 May 2012 18:12:00 +0000

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