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Strategies & Market Trends : Waiting for the big Kahuna -- Ignore unavailable to you. Want to Upgrade?

To: William H Huebl who wrote (67352)	11/14/2003 3:09:42 PM
From: mishedlo	Read Replies (1) \| Respond to of 94695

You mean time premium may also go up with VIX? Actuality it is volatility premium not time premium but to answer your idea --- yes. The closer strikes will show the affect much more pronounced. leaps will show it much less but it will show as VI said M

To: William H Huebl who wrote (67352)	11/14/2003 5:05:08 PM
From: shoreco	Read Replies (2) \| Respond to of 94695

>> You mean time premium may also go up with VIX? << I'm sure that was a sarcastic comment, but for the new comers it is called the "Vega"... Interest rates change the "Rho"... Vega Vega is the rate of change of the options value with respect to the 1% change in the volatility. Rho Rho is the rate of change of the options value with respect to the 1% change in interest rate. EOM Shoreco PS In May 2002 I was following some SPX puts that were trading around $7 and they were about 9 months out...(They were way otm puts)... They went on to hit $70 shortly after this "Vix" change... stockcharts.com[r,a]daclyyay[d20020414,20020814][pb7!b25!b50!b100!b150!b200][vc60][iUb14!Ua12,26,9!Lh14,3!Ll14]&pref=G I bought some, but sold way too soon...LOL...

To: William H Huebl who wrote (67352)	11/15/2003 7:01:08 AM
From: Real Man	Read Replies (1) \| Respond to of 94695

I think it should p = X exp (-r T) N(-d2) - S0 N(-d1) (p - European put value) d1 = [ln[S0/X] + (r + sigma^2/2)T]/[sigma sqrt(T)] d2 = d1 - sigma sqrt[T] S0 - stock price, X - strike r = 1% - risk-free rate sigma - volativity T - time to expiration N(x) - normal distribution. What enters the normal distribution is sigma sqrt(T). Which means, you gain a lot more on the volativity rise than you lose in time premium, with long-term options. If you use this formula to sell options and delta-hedge options sold, you will make billions with them. Unless, of course, this house of cards collapses, because N(x) is the wrong distribution in reality. But Mythman says it's a myth. So, if Mythman is right, you can have Fed's printing press at home. All banks do. -g- BWDIK?