CME Group published the following product update today:
Effective Sunday, October 11, 2009 (trade date Monday, October 12), the following changes to the listing rules for COMEX Gold options will occur:
The strike price interval will be set to $5.00 (CME Globex strike price increment=5) increments for all trading months on all venues regardless of the level of the underlying futures prices. Currently, the strike price interval is dependent on futures price levels as follows: $5.00 (5) if futures prices are under…
CME Group published a paper last August detailing some of the spread types supported on Globex (“Options Spreads on the CME Globex Platform“). Most of the usual suspects are supported, but one of the most important features added in recent years is the ability to create user-defined and “generic” spread types:
Generic spreads can be defined with up to 40 legs and allow users to create delta neutral strategies. Generic spreads work in conjunction with the UDS: Covereds and can be…
When the market is frustrating or weird or mostly untouchable, we find that’s usually the best time to geek out. The research linked below has, beyond its immediate educational value, the hidden benefit of also being difficult and long enough to keep you from overtrading and/or obsessing about day-to-day nonsense.
Emanuel Derman on models.
More on volatility as an asset class. We expressed our doubts about pursuing this notion qua retail traders here. Obviously, there are variance and volatility swaps for those…
Thursday, October 1, 2009
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