Are these frequently traded? I have no idea but I'm going to use these prices anyway.
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BUT the negative skew (puts > calls) implies a negative relationship between price and vol, i.e. all else equal you expect vol to drop when price rises, just like with stocks. So a 1.2% vol drop on a $1 price rise is not crazy at all
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Hence the question -- if I buy OTM calls and spot moves up $2, how much money have I lost? :)
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That's it for this round of
#learninginpublic, now@volmagorov can explain all the ways I screwed it up.Show this threadThanks. Twitter will use this to make your timeline better. UndoUndo
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