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Radiant-Discount-899 t1_ja8939d wrote

Thanks for sharing this!. Few questions.

  1. What is the tool/library you use to get the gamma and other greeks.
  2. How are you determining the expiry date for the play?
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hardyrekshin OP t1_ja8a679 wrote

  1. MiBian

  2. Slope of theta. Ideally want to be out of the play before the slope increases.

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Radiant-Discount-899 t1_jaag270 wrote

Thanks for the response!. I have another question

The notes says Black Scholes model is calculates for European Market and not US Market options? You still think it applies for US as well?

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hardyrekshin OP t1_jaah0aq wrote

It applies as long as there is no arbitrage condition.

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