Questa mattina ho letto il primo
thread suggerito da maveri75.
Ci sono tre interventi su cui, a mio avviso, ruota la discussione (eccezion fatta per il solito filone di discussione sul significato della IV).
Li riporto nel seguito, evidenziando gli aspetti che reputo più significativi:
Imagine the mythical "smart money somebody" learning something that is likely to make an individual stock make a significant move. This person is likely to have at least a little time to think through an action - the easiest action to take that doesn't disturb the market in the stock itself is going long an OTM position. This also has the advantage of (usually) being the most leveraged position as well (assuming they don't do something stupid).
Then you move to the next ring of players. They have second-hand information on this likely big move - but they also know it's second hand information so they are likely to take a position that's somewhat less likely to be "all or nothing".
Then the third ring out, with third-hand information...
Then active retail...
Then passive retail...
Then CNBC...
Then the pro mutual fund manager...
Ok you get the picture.
In each step outwards from the center of information, the confidence in the information gets weaker and weaker. The tendency then will be to take positions nearer and nearer ATM, as it will be perceived as being less risky. Until finally you're at the typical fund level where they're so ATM that they're buying the actual stock.
With each step outward, there should be a jump in IV, or change in Greeks consistent with increased sensitivity to directional movement - starting somewhere way OTM, and migrating inwards towards ATM, until finally the stock itself is moving.
As always, comments more than welcome.
Questo è un ragionamento interessante, probabilmente l'unico che affronta in modo concreto il funzionamento del mercato inteso come sintesi del comportamento degli operatori.
Il "personaggio" MAESTRO, invece, mi ha lasciato perplesso, e non serve che vi scriva il perchè; al di là della filosofia sugli «
swarm behaviour» in natura, sull'intelligenza collettiva in cibernetica etc. ciò che emerge con prepotenza è uno schema tremendamente in stile analisi tecnica sulla sequenza di Fibonacci applicata ai
book.
A voi:
Let us say that ES H9 trades at 827. For March expiration options nearest OTM put premium is Bid = 45.75 and Ask = 46.50. (Bid + Ask)/2 = 46.125. Let us deduct this number from the current price (827 – 46.125 = 780.87). The nearest strike is, of course 780. Put premium at 780 is Bid = 28.50 and Ask = 29.00; (Bid + Ask)/2 = 28.75. Let us divide 46.125 by 28.75. Surprisingly this ratio is 1.61 which is very damn close to a famous Fibonacci number (golden ratio) of 1.61803399. What does it mean? Why did it happen? What would happen to this ratio under different volatility conditions? How one can use these ratios to his advantage? What distance in the chains does the number 46.125 represent? Do these ratios maintain throughout all the options in the chains, all the strikes and expirations? Do they behave as a “swarm”? What happens if some of them don’t? How frequently these numbers change and why? I can continue for a long time with those questions. Don’t expect me to give you answers. I think you have enough now to do your own research.
E il fondo lo tocchiamo con:
For those who are still interested. Once you established the stable ratios between the strikes and premiums do the following. Create a drawing where you have 12 lines angled by 30 degrees to each other (much like the numbers on your clock face). Mark each end of the lines with the number that corresponds to a strike price. For example: if your strike prices are separated by 5 points you will have a “clock face” where the strikes will mark each hour. Keep on marking these lines for the entire length of the option chains. Now measure the distance on the “12 o’clock” line that is equal to the ATM Put premium. The line that is similar to “1 o’clock” which is 30 degrees to the right from the first line should be shorter than the first one as the put premium with the strike price that is 5 points OTM is less than ATM put premium. Next measure the put premium for the “2 o’clock” line that is 10 points away from the money. Keep on doing that until you get the spiral with all the strikes and premiums marked similar to the one that I have attached to this post. Notice that you will get a precise Fibonacci spiral and its shape will tell you a lot about upcoming move of the underlying. When the Volatility rises the spiral will “wind” it self up and when it drops it will “unwind” it self. That is the “swarm” behavior indicator I spoke about. The rest of it is Up to you. Enjoy! Mind you that you can also have similar spiral for Calls as well. I call this method “Option Spiral” rather than Option Chains. Of course, my analysis is a lot more complex than that, but this drawing should give you a good idea. The most fascinating part is that the spiral maintains all the Fibonacci ratios at all times (collective behavior).
Con tanto di immagine a corredo, sa molto, molto di presa per i fondelli:
) io non ho mai approfondito, e che prevede di ricavare la densità di probabilità del sottostante dalla option chain... siamo nel quantitativo, non nell'esoterico, però 
