Plotting option prices against strikes, it looks like relatively clean data, which is a pleasant surprise (note the CME strikes prices are in cents so need to divide by 100)pic.twitter.com/j52WFMGkRo
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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.
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Cool thread. Full transparency: I didn't know CME had mid curve CL options. More transparency - not sure why they do.
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This happens all the time in single names, particularly in OTM calls/puts after an earnings event where you get a less than implied move upward/downward. The biggest mistake retail investors make is buying the wrong option to express a view.
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Love this! Thank you for sharing how you approach a new problem!
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Great work...now you can do this on tick data to calibrate how vol slope or turbos as oil options folk might refer to see how dspot/dvol changes and if you want to re-handicap your position delta The models usually have this as a parameter that you can change by expiry
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But you can run an API to IOA software that can update that parameter. Only thing is it only works for ATM so it's a "local" adjustment. Finger in the air works fine if you have traded oil long enough and know where the bodies are
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