Alex F.

Does RSX Still Have Room to Run?

The ETFs are safe as they are actual fund structures where the assets are held by a custodian. The ETNs, on the other hand, are not safe as they are essentially debt instruments hence they carry credit risk of the issuer.


On Jun 11 04:44 PM IronCity wrote:

> Sorry, I have a concern: Are the ETNs and ETFs really sure? Can you
> lose money if the issuer fails? Is there any case of failure?
> Thanks.

A Way to Play the InBev and Anheuser-Busch Takeover

BS Detector,

Buying a stock and a put is nothing more than buying a call - synthetics 101, so it is not more conservative, it's the same thing.

Adapting Annualized Volatility

I think you mean that the returns/prices that are used in the calculation are not normally distributed and not volatility. However, this assumption doesn't yield the standard deviation incorrect. It may not be a perfect measure, but it's still valid and useful.


On Dec 17 06:40 AM American in Paris wrote:

> Since volatility is not normally distributed, it is a mistake to
> use standard deviation as the measure.

Adapting Annualized Volatility

Your calculation of the weekly volatility is wrong. Initially when you calculate the standard deviation you get a daily number so to get to the annual number you multiply by the square root of 252. To get a weekly number you need to multiply by the square root of 5 and NOT 52, as there are 5 trading days in a week. So the weekly volatility is 2.2%.

Looking at it another way, your 7.11% weekly volatility number doesn't make sense when you consider that the annual is 15.63%. So the underlying moves 7.11% in a week, but only 15.63% in a year!?

Selling Theta: Five Option Write Ideas for a Closed Market

You are forgetting one important issue. Everybody knows that we have or rather had a long weekend coming (actually the same applies to a regular weekend or any holiday), including market makers. Therefore, the weekend decay is priced in prior to the actual weekend. And if you followed the option premiums from Monday to Wednesday you would've noticed that they were decaying at an accelerated pace. In other words, the market makers had been slowly taking out the long weekend decay over the first 3 days of the week.

Reporters Fail to Distinguish Between Speculators and Hedgers in Option Trades

Don,

What's your opinion on the put/call ratio then in this context?

VIX Premium Ratio Finally Perks Up

Either I'm having a brain fart or you are constructing the implied/realized volatility ratio incorrectly.

Implied volatility is a measure of expected volatility over the next month.

Realized volatility is a measure of realized volatility over the previous month.

So today's realized volatility value corresponds to the implied volatility one month ago. Therefore, you should lag the realized volatility and not implied.

Will Hedge Strategy ETFs Replace Hedge Funds?

Slovenia has been on Euro for two and a half years so you may wanna update your article.

Visa Earnings Play: Option Straddle vs. Option Strangle

What about the implied volatility? There's not a single word about it, and it will have a major impact on the straddle/strangle value!

Get on Base with SPY Covered Calls

Why would you make two trades and pay double the commissions and splippage when you can achieve exactly the same thing with a simple short 84 put!?

Is This BUD for You? A Volatility Opportunity

If the deal falls apart then the likely stock price for BUD is in the low 30s, which would make owning the stock at 41.90 much less attractive.