I want to straddle Martha Stewart

[Jefferson N. Glapski]

If Martha goes to jail, prospects for Martha Stewart going down are
excellent. If Martha is innocent, prospects for a rise are excellent.
Despite her predicament, the volatility of Martha Stewart is not too much.
One thing that has me VERY excited is the prospect of straddling Martha
Stewart. I plan to do this naked. This is one of my favorite positions, and
I will benefit quite substantially from it. Fundamentally, Martha Stewart
has been attractive for quite some time, but if she goes into the Big House,
that attractiveness evaporates. I think a quick straddling position that
ends just after the sentence is the best way to approach her trial.

Thoughts?

[riskarb]

phucking troll...

arb.

Post by Jefferson N. Glapski
If Martha goes to jail, prospects for Martha Stewart going down are
excellent. If Martha is innocent, prospects for a rise are excellent.
Despite her predicament, the volatility of Martha Stewart is not too much.
One thing that has me VERY excited is the prospect of straddling Martha
Stewart. I plan to do this naked. This is one of my favorite positions, and
I will benefit quite substantially from it. Fundamentally, Martha Stewart
has been attractive for quite some time, but if she goes into the Big House,
that attractiveness evaporates. I think a quick straddling position that
ends just after the sentence is the best way to approach her trial.
Thoughts?
--
Jefferson N. Glapski
http://www.glapski.com
They put on college football's most distinctive uniforms, thinking about
those before them. The walk-ons, the All-Americans, the Legends who made
sure to uphold the tradition... They are the black shoes, white helmets and
plain uniforms of one of America's most successful programs. They are
heroes, they are winners....they are Penn State football.

[Jefferson N. Glapski]

Post by Jefferson N. Glapski

Post by Jefferson N. Glapski
If Martha goes to jail, prospects for Martha Stewart going down are
excellent. If Martha is innocent, prospects for a rise are excellent.
Despite her predicament, the volatility of Martha Stewart is not too much.
One thing that has me VERY excited is the prospect of straddling Martha
Stewart. I plan to do this naked. This is one of my favorite positions,

and

Post by Jefferson N. Glapski
I will benefit quite substantially from it. Fundamentally, Martha Stewart
has been attractive for quite some time, but if she goes into the Big

House,

Post by Jefferson N. Glapski
that attractiveness evaporates. I think a quick straddling position that
ends just after the sentence is the best way to approach her trial.
Thoughts?

phucking troll...

How is it that I know that March 12.5 calls have implied vols of 54.98% and
the March 12.5 puts have implied vols of 63.75% if I was a troll. Perhaps I
am arbing you. LOL!!!

[riskarb]

You phucking moron.. you wouldn't know an arb it fell from the sky, landed
on your face and wiggled. A same-strike put and call cannot trade at
different volty, it's simple conversion/reversal arbitrage. If they do,
then it's a stale quote numb-nuts. You massively overpaid for your
education.

arb.

"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote in
message

Post by Jefferson N. Glapski
How is it that I know that March 12.5 calls have implied vols of 54.98% and
the March 12.5 puts have implied vols of 63.75% if I was a troll. Perhaps I
am arbing you. LOL!!!
--
Jefferson N. Glapski
http://www.glapski.com
They put on college football's most distinctive uniforms, thinking about
those before them. The walk-ons, the All-Americans, the Legends who made
sure to uphold the tradition... They are the black shoes, white helmets and
plain uniforms of one of America's most successful programs. They are
heroes, they are winners....they are Penn State football.

[Jefferson N. Glapski]

Post by riskarb
You phucking moron.. you wouldn't know an arb it fell from the sky, landed
on your face and wiggled. A same-strike put and call cannot trade at
different volty, it's simple conversion/reversal arbitrage. If they do,
then it's a stale quote numb-nuts. You massively overpaid for your
education.

Calls and puts (with same strike and tenor) most certainly do trade at
different volatilities.

1. Your "arb" depends on those puts and calls being European calls and puts.
They have these things called American calls and puts.

An American put is worth strictly more than a European put.

Proof: assume otherwise

Since a perpetual European put is easily shown to be worth zero, a perpetual
American put must be worth zero.

But this is a nonsense conclusion since an American style put must not
decrease in value as the time to expiration increases. The premise is wrong,
so under a no-dividend assumption, the American put value P is
strictly greater the European put value p.

Hence P > p = C - S + K e^(-r T).

In words, the American put is *strictly larger* than the value given by the
put-call parity relation.

For more details see: R.C. Merton, "Theory of Rational Option Pricing",
(Bell J. of Economics and Mgt. Science, 4, 1973, 141-183.)

2. You ignore dividends.

3. You ignore the fact that put call parity is model independent. That is to
say, put call parity holds regardless of any option model. Implied vols,
OTOH, do not exist without the presence of an option pricing model.

4. You ignore things like transactions costs, the absence of risk free
rates, the fact that lognormal probability distributions aren't usually
realized and the fact that volatility is not constant.

5. You have no idea how much I paid for my education.

Thank you for your participation in zero-sum markets. I appreciate it. My
children appreciate it.

[riskarb]

No, I am not comparing apple to oranges... This is options theory 101 and
you must've audited that class. There is zero impact to the arbitrage,
whether you're assuming Euro or Amer. exercise. BUT, you need to be
consistent, i.e., not contrasting an amer. TO a euro. option.

Same-strike amer. calls and puts must trade at identical volty, if not, then
an arbitrage opportunity, adjusted for carry, will result.
Same-strike euro. calls and puts must trade at identical volty, if not, then
an arbitrage opportunity, adjusted for carry, will result.

These are the most basic synthetic arbitrage assumptions...

I am NOT ignoring dividends, these would be obvious model inputs, GIGO.
Guess what? MSO options are american exercise, understand the concept? Do
you understand the concept of bid and offer implied volty? Last trade volty?

Your argument contrasting american and european exercise conventions is a
pathetic ploy to subvert the fact that you are absolutely clueless and
dead-wrong.

arb.

Post by riskarb

Post by riskarb
You phucking moron.. you wouldn't know an arb it fell from the sky,

landed

Post by riskarb
on your face and wiggled. A same-strike put and call cannot trade at
different volty, it's simple conversion/reversal arbitrage. If they do,
then it's a stale quote numb-nuts. You massively overpaid for your
education.

Calls and puts (with same strike and tenor) most certainly do trade at
different volatilities.
1. Your "arb" depends on those puts and calls being European calls and puts.
They have these things called American calls and puts.
An American put is worth strictly more than a European put.
Proof: assume otherwise
Since a perpetual European put is easily shown to be worth zero, a perpetual
American put must be worth zero.
But this is a nonsense conclusion since an American style put must not
decrease in value as the time to expiration increases. The premise is wrong,
so under a no-dividend assumption, the American put value P is
strictly greater the European put value p.
Hence P > p = C - S + K e^(-r T).
In words, the American put is *strictly larger* than the value given by the
put-call parity relation.
For more details see: R.C. Merton, "Theory of Rational Option Pricing",
(Bell J. of Economics and Mgt. Science, 4, 1973, 141-183.)
2. You ignore dividends.
3. You ignore the fact that put call parity is model independent. That is to
say, put call parity holds regardless of any option model. Implied vols,
OTOH, do not exist without the presence of an option pricing model.
4. You ignore things like transactions costs, the absence of risk free
rates, the fact that lognormal probability distributions aren't usually
realized and the fact that volatility is not constant.
5. You have no idea how much I paid for my education.
Thank you for your participation in zero-sum markets. I appreciate it. My
children appreciate it.
--
Jefferson N. Glapski
http://www.glapski.com
They put on college football's most distinctive uniforms, thinking about
those before them. The walk-ons, the All-Americans, the Legends who made
sure to uphold the tradition... They are the black shoes, white helmets and
plain uniforms of one of America's most successful programs. They are
heroes, they are winners....they are Penn State football.

[Investing4All]

OK, I'm going to wade in on this pissing contest as well (because
there have been some interesting postulations made that need to be
discussed). But lets keep it civil please.

For one, about put call parity. It does not hold for all option
types. It is only true for standard options and a few others (Options
that pay spot-strike, which is what are talking about here) it is not
a universal constant for all options. It does not hold for most
exotics

That said it is true for any "virtually" distribution assumtpion as
Arb mentioned for these option types only. I say vitually because I'm
sure I could come up with a bizzarre one that would fail. (Take
constant 0 vol for example)

It is not model free in the sense that one cannot price a call with
black scholes and a put with Cox ross and expect to see the
relationship hold. As Arb said using a proper model for the options
(and the same model for both put and call) it will hold. If it
doesn't I can arb it and it is done all the time. This extends to the
fact that if we are implying the volatility from the market prices
using black scholes, then the comparison of the resulting volatilities
is invalid for US exchange traded stock options becase the result for
the put is just plain wrong. Now if the implied vols is computed
usuing a model that is appropriate for american calls and puts then
the result should be the same vol (allowing for some minor issue
discussed below) or I can arb it (and these arbs happen all the time).

Now this is all fine, but as Jeff said, transactions costs, frictions
such as bid/offer will cause the result to not be equal, but this
shouldn't be large unless the spread is huge. As a result implied vol
is more often computed from mid/market when doing these comparisons.

Now about the perpetual Put. First off it is not true that an
american call is worth more than a european call. It is true that an
american call cannot be worth less than a european call. This is not
the same thing. The same hold for a put. Now the argument that a
perpetual european put is worth zero is true. Unfortunately the same
is true for a perpetual europen call. This is obvious as you never
get to exercise so there can never be any cash flow associated with
either.

But this is meaning less. Any finite put even very long dated (I just
ran it with expiry out 8000 years) will show the american put worth at
least as much as the eurpean and neither is worth zero.

Anyhow, just though I would add these points.

Paul Michaud
http://www.Investing4All.com
Providing Option Pricing Models, Forecasts and
GARCH Option Volatility Surfaces for over
10,000 stocks and indices from 43 exchanges around the world

Post by riskarb
No, I am not comparing apple to oranges... This is options theory 101 and
you must've audited that class. There is zero impact to the arbitrage,
whether you're assuming Euro or Amer. exercise. BUT, you need to be
consistent, i.e., not contrasting an amer. TO a euro. option.
Same-strike amer. calls and puts must trade at identical volty, if not, then
an arbitrage opportunity, adjusted for carry, will result.
Same-strike euro. calls and puts must trade at identical volty, if not, then
an arbitrage opportunity, adjusted for carry, will result.
These are the most basic synthetic arbitrage assumptions...
I am NOT ignoring dividends, these would be obvious model inputs, GIGO.
Guess what? MSO options are american exercise, understand the concept? Do
you understand the concept of bid and offer implied volty? Last trade volty?
Your argument contrasting american and european exercise conventions is a
pathetic ploy to subvert the fact that you are absolutely clueless and
dead-wrong.
arb.

Post by riskarb

Post by riskarb
You phucking moron.. you wouldn't know an arb it fell from the sky,

landed

Post by riskarb
on your face and wiggled. A same-strike put and call cannot trade at
different volty, it's simple conversion/reversal arbitrage. If they do,
then it's a stale quote numb-nuts. You massively overpaid for your
education.

Calls and puts (with same strike and tenor) most certainly do trade at
different volatilities.
1. Your "arb" depends on those puts and calls being European calls and

puts.

Post by riskarb
They have these things called American calls and puts.
An American put is worth strictly more than a European put.
Proof: assume otherwise
Since a perpetual European put is easily shown to be worth zero, a

perpetual

Post by riskarb
American put must be worth zero.
But this is a nonsense conclusion since an American style put must not
decrease in value as the time to expiration increases. The premise is

wrong,

Post by riskarb
so under a no-dividend assumption, the American put value P is
strictly greater the European put value p.
Hence P > p = C - S + K e^(-r T).
In words, the American put is *strictly larger* than the value given by

the

Post by riskarb
put-call parity relation.
For more details see: R.C. Merton, "Theory of Rational Option Pricing",
(Bell J. of Economics and Mgt. Science, 4, 1973, 141-183.)
2. You ignore dividends.
3. You ignore the fact that put call parity is model independent. That is

to

Post by riskarb
say, put call parity holds regardless of any option model. Implied vols,
OTOH, do not exist without the presence of an option pricing model.
4. You ignore things like transactions costs, the absence of risk free
rates, the fact that lognormal probability distributions aren't usually
realized and the fact that volatility is not constant.
5. You have no idea how much I paid for my education.
Thank you for your participation in zero-sum markets. I appreciate it. My
children appreciate it.
--
Jefferson N. Glapski
http://www.glapski.com
They put on college football's most distinctive uniforms, thinking about
those before them. The walk-ons, the All-Americans, the Legends who made
sure to uphold the tradition... They are the black shoes, white helmets

and

Post by riskarb
plain uniforms of one of America's most successful programs. They are
heroes, they are winners....they are Penn State football.

[riskarb]

You're, as always, the voice of reason on this group, Paul. Yes, I tend to
"go off" but this guys was in here trolling last year, cross-posting to 100
newsgroups. Thanks for the enlightened viewpoint.

arb.

BTW, your coll2 account is kicking ass, nice work.

Post by Investing4All
OK, I'm going to wade in on this pissing contest as well (because
there have been some interesting postulations made that need to be
discussed). But lets keep it civil please.

[Investing4All]

Thanks. Unfortunately I took my first loss today which really pissed
me off. It was my one long for the day and it did start up about 1%
but I was greedy and got burned. Wrecked my unbeaten streak. Only
$240 loss but still. Oh well I'm still up a about 3K on the stocks
today (I was short) and made about $3,500 on short NDH4 today in the
futures system and about $6,000 yesterday short DJH4 and NDH4.

I think I am sending Matthew to an early grave though with my daily
bug reports. But I have to say he is doing an excellent job in
getting them corrected ASAP. The system is responding to limit orders
a lot faster now.

Paul Michaud
http://www.Investing4All.com
Providing Option Pricing Models, Forecasts and
GARCH Option Volatility Surfaces for over
10,000 stocks and indices from 43 exchanges around the world

Post by riskarb
You're, as always, the voice of reason on this group, Paul. Yes, I tend to
"go off" but this guys was in here trolling last year, cross-posting to 100
newsgroups. Thanks for the enlightened viewpoint.
arb.
BTW, your coll2 account is kicking ass, nice work.

Post by Investing4All
OK, I'm going to wade in on this pissing contest as well (because
there have been some interesting postulations made that need to be
discussed). But lets keep it civil please.

[Jefferson N. Glapski]

Post by Investing4All
OK, I'm going to wade in on this pissing contest as well (because
there have been some interesting postulations made that need to be
discussed). But lets keep it civil please.
For one, about put call parity. It does not hold for all option
types. It is only true for standard options and a few others (Options
that pay spot-strike, which is what are talking about here) it is not
a universal constant for all options. It does not hold for most
exotics
That said it is true for any "virtually" distribution assumtpion as
Arb mentioned for these option types only. I say vitually because I'm
sure I could come up with a bizzarre one that would fail. (Take
constant 0 vol for example)
It is not model free in the sense that one cannot price a call with
black scholes and a put with Cox ross and expect to see the
relationship hold. As Arb said using a proper model for the options
(and the same model for both put and call) it will hold. If it
doesn't I can arb it and it is done all the time. This extends to the
fact that if we are implying the volatility from the market prices
using black scholes, then the comparison of the resulting volatilities
is invalid for US exchange traded stock options becase the result for
the put is just plain wrong. Now if the implied vols is computed
usuing a model that is appropriate for american calls and puts then
the result should be the same vol (allowing for some minor issue
discussed below) or I can arb it (and these arbs happen all the time).

Put call parity is model independent. The price of the calls and puts are
exogenous.

And yes, it is common for Black Scholes to be used by the market for vol
quotes. It is also a well-known fact that Black Scholes systematically
misprices certain types of options. If it misprices prices given volatility,
it misprices vol given price. It's not enough to make enough of a difference
to be meaningful in most cases.

Post by Investing4All
Now this is all fine, but as Jeff said, transactions costs, frictions
such as bid/offer will cause the result to not be equal, but this
shouldn't be large unless the spread is huge. As a result implied vol
is more often computed from mid/market when doing these comparisons.

Quotes are usually bid. And bid/ask spreads in this case exceed that
difference.

Post by Investing4All
Now about the perpetual Put. First off it is not true that an
american call is worth more than a european call. It is true that an
american call cannot be worth less than a european call. This is not
the same thing. The same hold for a put. Now the argument that a
perpetual european put is worth zero is true. Unfortunately the same
is true for a perpetual europen call. This is obvious as you never
get to exercise so there can never be any cash flow associated with
either.

Just used it for a proof. Early exercise of a call on equities is not
optimal (except in Japan, arguably, depending on your realized rates).

Post by Investing4All
But this is meaning less. Any finite put even very long dated (I just
ran it with expiry out 8000 years) will show the american put worth at
least as much as the eurpean and neither is worth zero.

I think you have this reversed. P>p.

[Investing4All]

Post by Jefferson N. Glapski
Put call parity is model independent. The price of the calls and puts are
exogenous.

It actually isn't. you cannot compare across models. It is model free
in the sense that for those option types where Put/Call Parity holds
then any valid model for that option type should be constructed such
that Put/Call Parity holds (And even this is only true under the
usually Black Scholes model assumptions. If I no longer assume
completeness this doesn't hold for example and in reality completeness
doesn't exist, Actually Arb this is something to think about for
yourself as well. Often we can'tyhedge and option and thus cannot arb
it even if it is miss priced. This is not typically an issue for
exchange traded stock options but somehing to think about anyhow.)

To this point look at the relationship below. the last part of the
equation assumes riskless arbitrage which need not hold for all option
models. It is always assumed for most basic models but is not
necessary for more complex ones.

p = C - S + K e^(-r T).

Anyhow within the context of this discussion it should hold for most
commonly used stock option models.

That said if an option is American and I use black scholes to imply
the vol I am probably OK for the call as long as there is no dividends
but when I imply the vol for the put and compare, there is no reason
for them to match. This is not a violation of P/C parity it is simply
an artifact of having used an in appropriate model for the put.

Post by Jefferson N. Glapski
And yes, it is common for Black Scholes to be used by the market for vol
quotes. It is also a well-known fact that Black Scholes systematically
misprices certain types of options. If it misprices prices given volatility,
it misprices vol given price. It's not enough to make enough of a difference
to be meaningful in most cases.

I agree that in most cases the differenc is small. Just as the
difference is small between when I use bid vs ask inn most cases. The
problem is that it is not safe to assume it is always small and thus
when the resulting difference is not small it means there is an arb.
It just may not be the case.

Post by Jefferson N. Glapski
Quotes are usually bid. And bid/ask spreads in this case exceed that
difference.

Actually when you compute implied vol in and of itself for use say in
end of day mark to market for use say in FAS 133 valuations (I know
where you work so I assume you know what this is) you are usually
going to use mid market vols, same is true for risk management. Now
that said it is more desirable where I have both sides to use the one
most appropriate. If I am valuaing a short position, I should use
market ask vols to value it for FAS 133 for example as this is where I
could cover. Anyhow this is somewhat splitting hairs.

Post by Jefferson N. Glapski

Post by Investing4All
Now about the perpetual Put. First off it is not true that an
american call is worth more than a european call. It is true that an
american call cannot be worth less than a european call. This is not
the same thing. The same hold for a put. Now the argument that a
perpetual european put is worth zero is true. Unfortunately the same
is true for a perpetual europen call. This is obvious as you never
get to exercise so there can never be any cash flow associated with
either.

Just used it for a proof. Early exercise of a call on equities is not
optimal (except in Japan, arguably, depending on your realized rates).

Not true it is almost always optimal when dividends are being paid.
It doesn't require negative interest rates. In fact negative rates
violate the Black Scholes assumptions.

Post by Jefferson N. Glapski

Post by Investing4All
But this is meaning less. Any finite put even very long dated (I just
ran it with expiry out 8000 years) will show the american put worth at
least as much as the eurpean and neither is worth zero.

I think you have this reversed. P>p.

Again, this is not correct. Consider. If I own an American option I
always have the option of holding it to maturity in which case the
payoff is identical to a european and the value gievn that expected
payoff is the same as a european. Now with an american put I have the
same option as the owner of a european put but I also own an extra
option to exercise early. The second option to exercise early must be
worth zero or greater it cannot be worth a negative value. Thus an
American Put is always worth at least as much as a European.

Anyhow I think this has been a worthwhile discussion and hopefully
some have learned something.

That said we need to keep it civil or I won't play. there is no point
going off about cost of education and stuff (I'll add a zero onto the
end to most people on here) and trying to rip each other to pieces.
That kind of mud slinging gets us nowhere except to a useless forum.
None of this on the board should be personal. There are no stupid
questions and if a statement is wrong we should simply make a case why
and debate it (As hard as it is to believe, even I can be wrong on
occasion.) We shouldn't be foaming at the mouth about it.

Paul Michaud
http://www.Investing4All.com
Providing Option Pricing Models, Forecasts and
GARCH Option Volatility Surfaces for over
10,000 stocks and indices from 43 exchanges around the world

[riskarb]

I agree Paul, and you certainly offer more to this ng than I and I'd like to
see many more of your posts in the future.... I will try to refrain from
the "abuse" post, however. That being said, I won't apologize for anything
I've stated, as I may be a complete ass, but I'm never wrong...;-)

I thought the topic of this thread moronic, made worse in his attempt to
make the refutation of the reverse-conversion trade.


arb.

Post by Investing4All
That said we need to keep it civil or I won't play. there is no point
going off about cost of education and stuff (I'll add a zero onto the
end to most people on here) and trying to rip each other to pieces.
That kind of mud slinging gets us nowhere except to a useless forum.
None of this on the board should be personal. There are no stupid
questions and if a statement is wrong we should simply make a case why
and debate it (As hard as it is to believe, even I can be wrong on
occasion.) We shouldn't be foaming at the mouth about it.
Paul Michaud
http://www.Investing4All.com
Providing Option Pricing Models, Forecasts and
GARCH Option Volatility Surfaces for over
10,000 stocks and indices from 43 exchanges around the world

[Jefferson N. Glapski]

Post by riskarb
No, I am not comparing apple to oranges... This is options theory 101 and
you must've audited that class. There is zero impact to the arbitrage,
whether you're assuming Euro or Amer. exercise. BUT, you need to be
consistent, i.e., not contrasting an amer. TO a euro. option.

Imagine a dividend. That certainly affects things.

Post by riskarb
Same-strike amer. calls and puts must trade at identical volty, if not, then
an arbitrage opportunity, adjusted for carry, will result.
Same-strike euro. calls and puts must trade at identical volty, if not, then
an arbitrage opportunity, adjusted for carry, will result.

Let's ignore transactions costs!

Post by riskarb
These are the most basic synthetic arbitrage assumptions...
I am NOT ignoring dividends, these would be obvious model inputs, GIGO.
Guess what? MSO options are american exercise, understand the concept?

Do

Post by riskarb
you understand the concept of bid and offer implied volty? Last trade volty?

Yes. You don't understand the bid/ask vols, with a spread greater than the
difference I mentioned. Who mentioned transactions costs? I did. Who ignored
them? You.

[riskarb]

Here is your "arbing volty" thread:

"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote:

How is it that I know that March 12.5 calls have implied vols of 54.98%
and the March 12.5 puts have implied vols of 63.75% if I was a troll.
Perhaps I
am arbing you. LOL!!!

### Where is the mention of trans. costs, slippage, etc? All you're
implying here is that you can "arb" this position! You stated it
point-of-fact... and the fact is you don't understand the basic
lock-arbitrage. You posted the volty diff and that it was possible to trade
those voltys. Pathetic attempts nonwithstanding, you're still clueless, and
a pathetic troll to boot:

http://makeashorterlink.com/?R2D021D37

You're one sick mofo... trolling on unrelated newsgroups that your parents
passed away and left you an inheritance? WTF? I clicked on your home page,
and it states your parents are very much among the living:

under autobiography: http://www.glapski.com/ "We officially moved to the
place where my parents still live on January 15, 1978"



Seek help Chief, stop trolling and read Hull... Merton isn't up to speed on
floor arbitrage.


arb.

Post by Jefferson N. Glapski

Post by riskarb
No, I am not comparing apple to oranges... This is options theory 101 and
you must've audited that class. There is zero impact to the arbitrage,
whether you're assuming Euro or Amer. exercise. BUT, you need to be
consistent, i.e., not contrasting an amer. TO a euro. option.

Imagine a dividend. That certainly affects things.

Post by riskarb
Same-strike amer. calls and puts must trade at identical volty, if not,

then

Post by riskarb
an arbitrage opportunity, adjusted for carry, will result.
Same-strike euro. calls and puts must trade at identical volty, if not,

then

Post by riskarb
an arbitrage opportunity, adjusted for carry, will result.

Let's ignore transactions costs!

Post by riskarb
These are the most basic synthetic arbitrage assumptions...
I am NOT ignoring dividends, these would be obvious model inputs, GIGO.
Guess what? MSO options are american exercise, understand the concept?

Do

Post by riskarb
you understand the concept of bid and offer implied volty? Last trade

volty?
Yes. You don't understand the bid/ask vols, with a spread greater than the
difference I mentioned. Who mentioned transactions costs? I did. Who ignored
them? You.

[Jefferson N. Glapski]

Post by Jefferson N. Glapski
How is it that I know that March 12.5 calls have implied vols of 54.98%
and the March 12.5 puts have implied vols of 63.75% if I was a troll.
Perhaps I
am arbing you. LOL!!!
### Where is the mention of trans. costs, slippage, etc? All you're
implying here is that you can "arb" this position! You stated it
point-of-fact... and the fact is you don't understand the basic
lock-arbitrage. You posted the volty diff and that it was possible to trade
those voltys. Pathetic attempts nonwithstanding, you're still clueless, and

No I am not. You called me a troll. I was actually fishing. I posted the
volatility, not to imply there was a tradeable difference. You incorrectly
assumed this. Where the fuck in that post does it say I am going to arb it?
The only trading suggestion I made was to straddle MSO. It's not an arb, you
narrow minded fool. It's a basic bet.

I have made arbitrage profits in the past, but it would be stupid of me to
publicize it. It wasn't risk arbitrage either.

I was just amused by your bravely anonymous name. That's why I mentioned an
arb. The LOL should have indicated that.

Post by Jefferson N. Glapski
http://makeashorterlink.com/?R2D021D37
You're one sick mofo... trolling on unrelated newsgroups that your parents
passed away and left you an inheritance? WTF? I clicked on your home page,
under autobiography: http://www.glapski.com/ "We officially moved to the
place where my parents still live on January 15, 1978"

And you, as well as the other fishies, bit on the counterintuitive
probability

Post by Jefferson N. Glapski
Seek help Chief, stop trolling and read Hull... Merton isn't up to speed on
floor arbitrage.

I've actually met Hull in addition to reading him. Perhaps you should learn
to read next time.

[riskarb]

"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote in
message

Post by Jefferson N. Glapski
No I am not. You called me a troll. I was actually fishing. I posted the
volatility, not to imply there was a tradeable difference. You incorrectly
assumed this. Where the fuck in that post does it say I am going to arb it?
The only trading suggestion I made was to straddle MSO. It's not an arb, you
narrow minded fool. It's a basic bet.

### Then what was the point of pointing out erroneous implied volty, you
were stating the volty WERE trading at distinctly diff. volty. You
attempted to cover this brain-fart with this moronic dribble:


Glapski: "Calls and puts (with same strike and tenor) most certainly do
TRADE at
different volatilities.

### OMG, wtf were you thinking...? LOL. priceless

Glapski: 1. Your "arb" depends on those puts and calls being European calls
and puts.
They have these things called American calls and puts.An American put is
worth strictly more than a European put. Proof: assume otherwise"



### NO, this arb does not require Euro options... Backsolving $prem for
implied volty simply illuminates the arbitrage, assuming a consistent model,
but as some of understand, a PDE model is of little use in pricing
reversal/box/roll arbitrage.

### There is PROOF that you were/are profoundly ignorant of option theory,
outside of what you've spewed through false recitation of Merton.

### How's your mom and pop? Apparently they've risen from the grave and
residing in Canada! Good for them! I'll be they wish their son JG would've
remained anon. I fail to see the relevance of posting options topics to
football ng's, so YES, you're trolling not fishing... OK, it was fun for
awhile, say hi to Hull for me, lol.


arb.

Post by Jefferson N. Glapski
I have made arbitrage profits in the past, but it would be stupid of me to
publicize it. It wasn't risk arbitrage either.
I was just amused by your bravely anonymous name. That's why I mentioned an
arb. The LOL should have indicated that.

Post by riskarb
http://makeashorterlink.com/?R2D021D37
You're one sick mofo... trolling on unrelated newsgroups that your

parents

Post by riskarb
passed away and left you an inheritance? WTF? I clicked on your home

page,

Post by riskarb
under autobiography: http://www.glapski.com/ "We officially moved to the
place where my parents still live on January 15, 1978"

And you, as well as the other fishies, bit on the counterintuitive
probability

Post by riskarb
Seek help Chief, stop trolling and read Hull... Merton isn't up to speed

on

Post by riskarb
floor arbitrage.

I've actually met Hull in addition to reading him. Perhaps you should learn
to read next time.
--
Jefferson N. Glapski
http://www.glapski.com
They put on college football's most distinctive uniforms, thinking about
those before them. The walk-ons, the All-Americans, the Legends who made
sure to uphold the tradition... They are the black shoes, white helmets and
plain uniforms of one of America's most successful programs. They are
heroes, they are winners....they are Penn State football.

[Jefferson N. Glapski]

Post by riskarb
message

Post by Jefferson N. Glapski
No I am not. You called me a troll. I was actually fishing. I posted the
volatility, not to imply there was a tradeable difference. You incorrectly
assumed this. Where the fuck in that post does it say I am going to arb

it?

Post by Jefferson N. Glapski
The only trading suggestion I made was to straddle MSO. It's not an arb,

you

Post by Jefferson N. Glapski
narrow minded fool. It's a basic bet.

### Then what was the point of pointing out erroneous implied volty, you
were stating the volty WERE trading at distinctly diff. volty. You
Glapski: "Calls and puts (with same strike and tenor) most certainly do
TRADE at
different volatilities.

Have you heard of bid ask spreads?

Post by riskarb
### OMG, wtf were you thinking...? LOL. priceless
Glapski: 1. Your "arb" depends on those puts and calls being European calls
and puts.
They have these things called American calls and puts.An American put is
worth strictly more than a European put. Proof: assume otherwise"
### NO, this arb does not require Euro options... Backsolving $prem for
implied volty simply illuminates the arbitrage, assuming a consistent model,
but as some of understand, a PDE model is of little use in pricing
reversal/box/roll arbitrage.

The way you stated it, it did require European options.

You also forgot about lending/borrowing the discounted strike price.

Post by riskarb
### There is PROOF that you were/are profoundly ignorant of option theory,
outside of what you've spewed through false recitation of Merton.

You are because you ignore transactions costs.

Post by riskarb
### How's your mom and pop? Apparently they've risen from the grave and
residing in Canada! Good for them! I'll be they wish their son JG would've
remained anon. I fail to see the relevance of posting options topics to
football ng's, so YES, you're trolling not fishing... OK, it was fun for
awhile, say hi to Hull for me, lol.

Pussies are anonymous.

My parents don't reside in Canada, you closed minded fool.

[riskarb]

"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote in
message

Post by Jefferson N. Glapski
3. You ignore the fact that put call parity is model independent. That is to
say, put call parity holds regardless of any option model. Implied vols,
OTOH, do not exist without the presence of an option pricing model.

*** Right, but put/call parity doesn't backsolve for implied volty, and
we're referring to an impled volty differential here... By all means,
continue to trade based upon p/c parity w/o inputs for carry, divs, exercise
conventions.

Post by Jefferson N. Glapski
4. You ignore things like transactions costs, the absence of risk free
rates, the fact that lognormal probability distributions aren't usually
realized and the fact that volatility is not constant.

*** Transactions costs -- negative edge, marking down your ficticious
arbitrage proceeds, unless you get paid to trade this *magical* implied
variance.

*** The distribution curve can be anything you like it to be... norm.,
lognorm, fat tails, leptokurtic, etc... this has ZERO impact on the
arb-equivalence.

*** Constant volty, immaterial as well.

arb.

[Jefferson N. Glapski]

Post by riskarb
message

Post by Jefferson N. Glapski
3. You ignore the fact that put call parity is model independent. That

is

Post by riskarb
to

Post by Jefferson N. Glapski
say, put call parity holds regardless of any option model. Implied vols,
OTOH, do not exist without the presence of an option pricing model.

*** Right, but put/call parity doesn't backsolve for implied volty, and
we're referring to an impled volty differential here... By all means,
continue to trade based upon p/c parity w/o inputs for carry, divs, exercise
conventions.

Post by Jefferson N. Glapski
4. You ignore things like transactions costs, the absence of risk free
rates, the fact that lognormal probability distributions aren't usually
realized and the fact that volatility is not constant.

*** Transactions costs -- negative edge, marking down your ficticious
arbitrage proceeds, unless you get paid to trade this *magical* implied
variance.

Marking down? Try eliminating them.

Post by riskarb
*** The distribution curve can be anything you like it to be... norm.,
lognorm, fat tails, leptokurtic, etc... this has ZERO impact on the
arb-equivalence.

An assumption of B/S is what? Where do the vol quotes come from?

Post by riskarb
*** Constant volty, immaterial as well.

Where do you think the quotes on vols come from? A model that assumes
constant volatility.

[riskarb]

"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote in
message

Post by Jefferson N. Glapski
Where do you think the quotes on vols come from? A model that assumes
constant volatility.

The arbitrage makes that volty assumption meaningless, as is the case with
any "lock" or arbitrage. I understand it, understand it to have no bearing
whatsoever on your MSO implied volty disparity. Here's the ONLY point, to
refresh you memory:

#### BUY the Mar call at 54.98% volty, SELL the Mar put at 63.75% volty
and SELL 100 MSO shares at the prevailing price when this ficticious volty
were exhibited.

If possible, it would result in a reversal arbitrage grossing 877 basis in
edge! ####


You were the tool that stated MSO same-strike calls and puts showed an 877bp
disparity in implieds, and you were proven wrong. What is your argument,
that Penn State didn't teach you basic arbitrage equivalence?


I am done with you... go back to pumping your Jon Stewart groupies and stop
sh*tting in our yard.


arb.

[riskarb]

"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote in
message

Post by Jefferson N. Glapski
How is it that I know that March 12.5 calls have implied vols of 54.98% and
the March 12.5 puts have implied vols of 63.75% if I was a troll. Perhaps I
am arbing you. LOL!!!

*** OK genius, I'll make it brutally-simplistic for ya... Here's what you
do... BUY the Mar call at 54.98% volty, SELL the Mar put at 63.75% volty
and SELL 100 MSO shares at the prevailing price when this ficticious volty
were exhibited.

If possible, it would result in a reversal arbitrage grossing 877 basis in
edge! You're woefully out of your depth.




"Jefferson N. Glapski" <***@PENNSTATEglapski.com> wrote in
message
5. You have no idea how much I paid for my education.

Over your head, ANY amount paid was too much, sinking in?




arb.

[Jefferson N. Glapski]

Post by riskarb
message

Post by Jefferson N. Glapski
How is it that I know that March 12.5 calls have implied vols of 54.98%

and

Post by Jefferson N. Glapski
the March 12.5 puts have implied vols of 63.75% if I was a troll.

Perhaps

Post by riskarb
I

Post by Jefferson N. Glapski
am arbing you. LOL!!!

*** OK genius, I'll make it brutally-simplistic for ya... Here's what you
do... BUY the Mar call at 54.98% volty, SELL the Mar put at 63.75% volty
and SELL 100 MSO shares at the prevailing price when this ficticious volty
were exhibited.

The bid ask spread makes this impossible.

Post by riskarb
If possible, it would result in a reversal arbitrage grossing 877 basis in
edge! You're woefully out of your depth.

And transactions costs are higher than that. Imagine that.

[Habitant]

On Tue, 27 Jan 2004 22:33:41 GMT, "Jefferson N. Glapski"

Post by Jefferson N. Glapski
If Martha goes to jail, prospects for Martha Stewart going down are
excellent. If Martha is innocent, prospects for a rise are excellent.
Despite her predicament, the volatility of Martha Stewart is not too much.
One thing that has me VERY excited is the prospect of straddling Martha
Stewart. I plan to do this naked. This is one of my favorite positions, and
I will benefit quite substantially from it. Fundamentally, Martha Stewart
has been attractive for quite some time, but if she goes into the Big House,
that attractiveness evaporates. I think a quick straddling position that
ends just after the sentence is the best way to approach her trial.
Thoughts?

I would invite her for supper first. Win or not, fill her with good
(bad) champagne.

Straddlin' Martha, butt naked, even if its one of your favorite
position, might mean some doin'!

Give us an holler how it went, you rake!

[DirtBag©]

Post by Habitant
On Tue, 27 Jan 2004 22:33:41 GMT, "Jefferson N. Glapski"

Post by Jefferson N. Glapski
If Martha goes to jail, prospects for Martha Stewart going down are
excellent. If Martha is innocent, prospects for a rise are excellent.
Despite her predicament, the volatility of Martha Stewart is not too much.
One thing that has me VERY excited is the prospect of straddling Martha
Stewart. I plan to do this naked. This is one of my favorite positions, and
I will benefit quite substantially from it. Fundamentally, Martha Stewart
has been attractive for quite some time, but if she goes into the Big House,
that attractiveness evaporates. I think a quick straddling position that
ends just after the sentence is the best way to approach her trial.
Thoughts?

I would invite her for supper first. Win or not, fill her with good
(bad) champagne.
Straddlin' Martha, butt naked, even if its one of your favorite
position, might mean some doin'!
Give us an holler how it went, you rake!

Ever wonder how Martha is in the sack? me neither...<g>

[Habitant]

Never crossed my mind!

My guess is she's into leather.....

Post by DirtBag©
Ever wonder how Martha is in the sack? me neither...<g>

[Jungle Jim]

Post by Jefferson N. Glapski
If Martha goes to jail, prospects for Martha Stewart going down
are excellent. If Martha is innocent, prospects for a rise are
excellent. Despite her predicament, the volatility of Martha
Stewart is not too much. One thing that has me VERY excited is the
prospect of straddling Martha Stewart. I plan to do this naked.
This is one of my favorite positions, and I will benefit quite
substantially from it. Fundamentally, Martha Stewart has been
attractive for quite some time, but if she goes into the Big
House, that attractiveness evaporates. I think a quick straddling
position that ends just after the sentence is the best way to
approach her trial.
Thoughts?

Glap, Ithought ypu saod she was innocent in an earlier post. Are you
changing your mind ?