1. How do we calculate the one day expected move? I have this equation from my notes (i understand the 365 calender days could be replaced by 255 trading days)

=(D6*H6)*SQRT(1/365)
where D6 = IV & H6 = price

2 I saw this comment from Steve “the straddle price at the close on the weekly options is what the market is pricing in” — what does it mean? Can this be explained?

3. 1/2*gamma*spotprice sqared ( 1/2*r*x2 ) is the amount of deltas required to go delta neutral with a gamma hedge.

4. SQRT(theta/gamma) is the amount of spot move required to eat up your theta.

All of the above are from my notes and may contain errors.

Please add more of party tricks here.

This topic was modified 6 years, 9 months ago by faz.

This topic was modified 6 years, 9 months ago by faz. Reason: multiple typos