option01 c, jpm all put skew, higher iv striking down; c relativ

HISTORICAL VOLATILITY 10 days 19.89% 22.58% 21.42% 44.56% - 07-Jul 6.95% - 05-Apr 20 days 21.99% 21.85% 18.34% 38.97% - 22-Jul 15.40% - 15-Apr 30 days 21.12% 20.88% 18.88% 41.94% - 29-Jun 15.80% - 02-May IMPLIED VOLATILITY IV Index call 31.68% 29.48% 23.76% 42.99% - 01-Jul 19.06% - 28-Apr IV Index put 30.87% 29.99% 23.42% 43.12% - 30-Jun 19.10% - 27-Apr IV Index mean 31.27% 29.74% 23.59% 42.82% - 30-Jun 19.16% - 28-Apr HISTORICAL 30-DAYS CORRELATION AGAINST S&P 500 Index (SPX) 30 days 71.50% 72.30% 59.59% 91.71% - 10-Aug 44.04% - 29-Apr     Implied Vola (%) Call Delta Change (%) Call Bid/Ask Mean Expiry Strike Days Put Bid/Ask Mean Change (%) Put Delta Implied Vola (%) 34.97% 68.54% -0.43 (-17.48) 2.030 Jul 16, 2011 38.0 22 0.725 0.16 (28.32) -33.06% 33.83% 33.55% 55.62% -0.33 (-19.19) 1.390 Jul 16, 2011 39.0 22 1.105 0.25 (28.49) -45.27% 32.65% 32.40% 42.08% -0.24 (-21.24) 0.890 Jul 16, 2011 40.0 22 1.600 0.33 (25.98) -58.63% 31.19% 31.07% 29.13% -0.16 (-23.13) 0.515 Jul 16, 2011 41.0 22 2.240 0.41 (22.74) -71.61% 30.12% 31.70% 62.69% -0.37 (-12.29) 2.605 Aug 20, 2011 38.0 57 1.320 0.19 (17.33) -37.19% 31.14% 30.59% 54.54% -0.32 (-13.61) 2.000 Aug 20, 2011 39.0 57 1.715 0.25 (17.06) -45.49% 30.05% 29.62% 45.84% -0.26 (-14.90) 1.485 Aug 20, 2011 40.0 57 2.200 0.31 (16.09) -54.35% 29.08% 28.81% 37.07% -0.20 (-15.81) 1.065 Aug 20, 2011 41.0 57 2.775 0.36 (14.91) -63.34% 28.18% Price Chart Volatility Chart   HISTORICAL VOLATILITY 10 days 27.67% 38.08% 20.46% 53.11% - 26-Jul 9.13% - 04-Apr 20 days 32.79% 31.54% 20.60% 49.04% - 22-Jul 14.29% - 18-Apr 30 days 28.34% 28.36% 19.78% 45.21% - 16-Jul 15.93% - 29-Apr IMPLIED VOLATILITY IV Index call 36.31% 35.40% 25.49% 51.32% - 29-Jun 19.41% - 20-Apr IV Index put 34.07% 35.44% 25.40% 49.47% - 29-Jun 20.54% - 20-Apr IV Index mean 35.19% 35.42% 25.45% 50.40% - 29-Jun 19.98% - 20-Apr HISTORICAL 30-DAYS CORRELATION AGAINST S&P 500 Index (SPX) 30 days 56.95% 53.70% 44.01% 87.65% - 13-Sep 16.05% - 29-Apr

Implied Vola (%) Call Delta Change (%) Call Bid/Ask Mean Expiry Strike Days Put Bid/Ask Mean Change (%) Put Delta Implied Vola (%) 39.40% 68.52% 0.16 (7.40) 2.395 Jul 16, 2011 38.0 22 0.705 -0.10 (-11.88) -30.38% 36.49% 37.59% 58.43% 0.12 (7.79) 1.730 Jul 16, 2011 39.0 22 1.040 -0.13 (-11.11) -41.21% 34.97% 36.21% 47.05% 0.09 (8.72) 1.185 Jul 16, 2011 40.0 22 1.490 -0.16 (-9.97) -53.47% 33.50% 35.25% 35.56% 0.06 (8.45) 0.770 Jul 16, 2011 41.0 22 2.075 -0.19 (-8.39) -65.97% 32.34% 36.87% 63.99% 0.18 (6.29) 3.125 Aug 20, 2011 38.0 57 1.430 -0.06 (-4.03) -35.63% 35.27% 35.87% 57.12% 0.17 (7.48) 2.515 Aug 20, 2011 39.0 57 1.820 -0.08 (-4.21) -42.81% 34.33% 34.97% 49.83% 0.14 (7.90) 1.980 Aug 20, 2011 40.0 57 2.275 -0.11 (-4.61) -50.47% 33.29% 34.20% 42.40% 0.12 (8.93) 1.525 Aug 20, 2011 41.0 57 2.820 -0.15 (-4.89) -58.30% 32.49% Price Chart Volatility Chart

所有跟帖： 

• skew01 This is entirely because the market moved heavily towards -marketreflections- ♂ (0 bytes) () 06/25/2011 postreply 08:18:54

• skew01 Delta Neutral Options Strategy stock or underlying Delta -marketreflections- ♂ (52298 bytes) () 06/25/2011 postreply 08:41:01

• option01 德布罗意波 p=mv=h/λ -marketreflections- ♂ (4461 bytes) () 06/25/2011 postreply 08:48:05