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The Greek Alpha

Submitted by msebastian on Wed, 06/13/2012 - 6:28pm

Recently I came across the some chatter amoung some option students about Alpha.  Not in the kind hedge funds generate to make the big dough but the more vanilla kind.  This isn't the first go around, we have been getting these types of questions from our options mentorting students for some time.

AAPL Options Implied Volatility in the Toilet

Submitted by msebastian on Mon, 01/30/2012 - 5:13pm

It is somewhat common knowledge that I continue to be a seller of option premiums right now.  However, that doesn’t mean that traders should be selling all option premiums.  There are a few tech names where the implied volatilities have been crushed to levels that we have not seen in some time.  Take AAPL for instance:  30 day option implied volatility is at two year lows:

AAPL_1.JPG

LiveVol (R) www.livevol.com

The Other Greek

Submitted by msebastian on Wed, 05/25/2011 - 8:39pm

In a conversation between one of my more experience option mentoring students and one of my less experienced students, they discussed whether a long

Why Do Option Traders Beta Weight Gamma, and not Theta and Vega?

Submitted by msebastian on Thu, 12/30/2010 - 1:41pm

Most option traders can get delta, and even the weighting factor.  Gamma seems to be different; I often have new options mentoring students that do not have a full grasp of how gamma works.

Why Do I need to Beta Weight My Option Portfolio?

Submitted by msebastian on Wed, 12/29/2010 - 10:34pm

While I am not an Option Mentor, deep down I am a floor trader at heart.

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