Recent content by JorgeOrvananos

Hi David... I am still stuck with the straddle puzzle.... could I send you an email?

Hi David... Good news is that I made a new friend in your forum ... Sixcarbs is amazing!!! However, we have not been able to correctly solved the puzzle... I sent you a detailed PDF and a spreasheet last Monday...not sure if you saw it.... BUT I just found a new clue to the puzzle... I...

jorge@gfr-ny.com

U around?

Using May's numbers, Delta=2840 and Gamma=3021... Do you want to send me the spreadsheet even in raw format and I can play with it ....i can add or delete contracts, play with the signs, etc... sometimes another set of eyes helps?

Hola...here is the May Expiration SPX Options Chain.... Answer hint - We will know exact May numbers tomorrow...BUT they should be around these levels: May Delta = 2,842 and May Gamma 3,034.... Not sure how hard is for you to compute the numbers.... would be curious if you get something...

yes I will send you a spreadsheet with may option chain and then we can see how the numbers match tomorrow when he publishes the may expiration numbers

Well... he ain't a nice guy like you...as a matter of fact he is a pretty mean guy....so he won't tell me what he is eliminating... did you set this up in a spreadsheet?

Delta = 2,834 ( so I think that is right in the money) Gamma=3,121 So 2 things that I can think about: a) Are you setting this analysis spreadsheet as a short straddle? b) In his definition he says "Extreme out of the Money options may be filtered out for some options".... Maybe we can play with...

Well...I will know tomorrow morning since this particular analyst sends numbers at 8am.... I will let you know as soon as I get them.... NOW I WON'T be able to sleep all night to see those numbers so I can send them to you... Thank you SOOO much for all your help...Will let you know first thing...

Hola.... Here is the complete SPX Option Chain data for today (For SPX April 17 contract expiration)

I will send you today's data at the end of the day.... You are a super star!!!

Really? WOWOWOWO! You are a genious

I will send you a spreadsheet at the end of the day since CBOE is still open now... better to get end of day complete numbers.... THX so much for trying so hard!!

I have been doing some research and I think I found what they are called... it is called a "Zero Beta OR Zero Delta Straddle"... once we get the Delta Neutral then we can figure out the Gamma Neutral