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  • Day Trading Options

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    The document discusses strategies for profiting from temporary price distortions in options markets close to expiration dates. It describes calculating yields while accounting for margin requirements, and taking advantage of pricing inefficiencies around earnings announcements, expiration weeks, and news/rumors. Specific strategies mentioned include trading volatility distortions with strategies like log straddles/strangles. It also discusses estimating intraday volatility and simulating price changes to identify stocks that exhibit frequent spikes, in order to profit from short-term distortions.

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    Options, day trading

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    The document discusses strategies for profiting from temporary price distortions in options markets close to expiration dates. It describes calculating yields while accounting for margin requirements, and taking advantage of pricing inefficiencies around earnings announcements, expiration weeks, and news/rumors. Specific strategies mentioned include trading volatility distortions with strategies like log straddles/strangles. It also discusses estimating intraday volatility and simulating price changes to identify stocks that exhibit frequent spikes, in order to profit from short-term distortions.

    Copyright:

    © All Rights Reserved
    Scarica in formato DOCX, PDF, TXT o leggi online su Scribd
    Segnala contenuti inappropriati
    685 visualizzazioni1 pagina

    Day Trading Options

    Caricato da

    amostdq
    The document discusses strategies for profiting from temporary price distortions in options markets close to expiration dates. It describes calculating yields while accounting for margin requirements, and taking advantage of pricing inefficiencies around earnings announcements, expiration weeks, and news/rumors. Specific strategies mentioned include trading volatility distortions with strategies like log straddles/strangles. It also discusses estimating intraday volatility and simulating price changes to identify stocks that exhibit frequent spikes, in order to profit from short-term distortions.

    Copyright:

    © All Rights Reserved
    Scarica in formato DOCX, PDF, TXT o leggi online su Scribd
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    di 1

    Trading Options at Expirations Profiting form Price Distortions in Very Brief Time Frames Jeff Augen

    Chapter 1 Basic Concepts Calculating yield have to account for margin requirement (on short side) Take advantage of occasional pricing inefficiencies that arise in the options market earnings announcements, expiration week, weekend time decay, intraday implied volatility swings, differences between overnight and intraday volatility, or news and rumours Chapter 2 New Directions in Automated Trading Chapter 3 Trading Volatility Distortions Estimation intraday volatility

    Trading volatility distortions simplest direction-neutral trade is log straddle/strangle Strangle puts and calls at different strikes For the above select socks that exhibit high frequency of intraday spikes measuring the standard deviations of these spikes Simulate price changes by using Black-Scholes formula Chapter 4 Working with Intraday Price Spike Charts Trading using 2-minute price changes in standard deviations measured against most recent 20-pricechange in histogram form

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