Milan

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[Milan @_not_linear]

Lets put this into context (numbers for Nifty).

After a great rally into closing yesterday, one might think, why not short Nifty puts with delta hedged for further vol compression on Friday open and you will mint millions!

[Rohan 🦆 @G3ni3sWish]

Vanna, 2nd order option Greek - A Small 🧵
What is vanna? It is a 2nd order option Greek that can be interpreted in 2 ways:
Let f be the option price, σ be the volatility and S be the spot price. Then,
Vanna = ���2f/(∂S.∂σ) … 2nd order partial derivative

[Milan @_not_linear]

@SachaSucha @G3ni3sWish Don't care about G detonations, I double down on every spike. Theta is the edge bro!

[Milan @_not_linear]

@G3ni3sWish @SachaSucha Algo Traders after learning if-else ladder for the first time

[Milan @_not_linear]

@LeverageAlpha_ @sanjufunda @G3ni3sWish @Fallibilist Not possible between CDSL to NSDL

[Milan @_not_linear]

@G3ni3sWish @LeverageAlpha_ @sanjufunda @Fallibilist @SachaSucha I would rather write off that Rs.900

[Milan @_not_linear]

@SachaSucha @G3ni3sWish @LeverageAlpha_ @sanjufunda @Fallibilist Once you’re in, you’re in for good, there���s no getting out fully.

[Milan @_not_linear]

@Nick_khandelwal @1lot_fader @SachaSucha

[Milan @_not_linear]

@1lot_fader @SachaSucha @Nick_khandelwal Team JS.
Risk Reversal + Delta Hedge = get banned to save 9.20 straddlers for smooth decay 😂

[Milan @_not_linear]

@SachaSucha @Nick_khandelwal Grind depends on roast level, darker roast has higher density with same grind setting as compared to light roast. Also let it rest at least 7 days to get all the real flavour.

[Milan @_not_linear]

@SachaSucha When you ask for cutting chai but they give you videshi foamy dream.

[Milan @_not_linear]

@G3ni3sWish My qwant

[Milan @_not_linear]

@1lot_fader @Pankaj_ji_Mwale Indeed is Rega (change in risk reversal typically 25d IV) and Sega (change in butterfly IV)

[Milan @_not_linear]

@G3ni3sWish @Fallibilist @sathvikpg Yo mama so fat, when she sits down, realized vol spikes and implied vol plays catch-up!

[TradingAlgo @Souvik131]

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🧵 on a few of the examples 1/n

[Milan @_not_linear]

@p_sharma8202 I don’t think it matters if it is a 251 days or 365 days model unless we are looking at cross assets with different expiries.
My original idea was to have a ballpark number of required move, vanna would complicate things significantly, also Vanna ATM is zero.

[Milan @_not_linear]

How much does the underlying need to move to offset a 1% drop in implied volatility (IV) when holding a delta-hedged, long gamma/vega position?

Gamma PnL ≈ ½ × Γ × (ΔS)²
Vega PnL ≈ Vega × Δσ

Set gamma PnL equal to vega PnL:
½ × Γ × (ΔS)² = Vega × Δσ

[Milan @_not_linear]

Translation: I didn’t get dumped, it’s just that the rest of the world got upgraded.

[*Walter Bloomberg @DeItaone]

BESSENT: OTHER COUNTRIES' CURRENCIES RISING, NOT DOLLAR FALLING

[Milan @_not_linear]

@Shivam_Pardesh Either you keep DTE constant at start of the day and track model intraday theta as Theta*hrs/24, or just recompute IV with reducing dte, this will bake in the IV changes along with theta.

[Milan @_not_linear]

@Rainmaker1973

[Milan @_not_linear]

Below graph shows the breakeven move for dte vs IV combination

[Milan @_not_linear]

Re-arrange and solve for percentage move ΔS/S when Δσ = 1%:​
ΔS/S = √(0.02*Vega / Γ*S²)

This can be simplified further for ATM, where:
Vega ≈ S × √T × ϕ(d1​)
Γ ≈ ϕ(d1​) / (S × σ × √t)

So, breakeven move to cover 1% drop in IV for delta neutral ATM is
ΔS/S = √(0.02*σ*t)