Market Measures - January 6, 2023 - Crouching Vega, Hidden Deltas

The tastylive network

English - January 06, 2023 15:43 - 14 minutes - 13.1 MB Video - ★★★★★ - 173 ratings
Investing Business Education How To Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed

Previous Episode: Bootstrapping with Dylan Ratigan - January 6, 2023 - The 51 Billion Dollar Live Music Industry is About to Be Disrupted

Next Episode: The Trader's Instinct - January 6, 2023 - New Years Resolution

Delta attempts to describe how option prices change when the spot price changes, but it is ignorant of the change in IV that tends to accompany changes in spot price. Vega describes how option prices change with changes in IV; by combining Vega with the anti-correlation between IV and spot price, we can arrive at extra, hidden, effective Deltas. Today, Tom and Tony explore both data and theory to see how we can construct short option positions that are as price neutral as possible.