4100+ entries in 0.161s
mjrIII: as i am pretty sure i can do futures with some businesses
mjrIII: though the actual place i get a futures contract from is not relevant
mjrIII: i'm looking at icbit.se
mjrIII: and as far as i can see, no interest calculated on the futures
mjrIII: jurov: it depends, confident enough to try a test program
mjrIII: so if you wrote options while hedging you should be able to offer more efficient pricing i would imagine
mjrIII: but intuitively, while the bots options are fully backed, they are not hedged
mjrIII: again, these are just using standardized finance tools, which i am not sure how well they apply
mjrIII: which should correspond to an option price of .11
mjrIII: jurov: i think that is your random walk
mjrIII: which is much higher, but still not even half of 300
mjrIII: YTD i think daily historical vol is 120
mjrIII: see what i arrive at, brb
mjrIII: i'm gonna redo the numbers for every day in the last year
mjrIII: not sure if i wrote that correctly
mjrIII: square root of the avg(difference from avg return for n periods)^2
mjrIII: and i arrive at vol by doing the following
mjrIII: which was the highest vol for any month
mjrIII: yes, and for the month where the price tripled, that is where i calculated volatility of 50
mjrIII: depending on what you think of as extreme
mjrIII: i am basically trying to show returns for any given price between 40 and 130
mjrIII: well, that is what i am trying to do, in a way
mjrIII: but if that IS the case...does my hypothesis make sense?
mjrIII: if the numbers are wrong, of course it wouldn't make sense
mjrIII: there should be an arbitrage opportunity, i think that is self-evident, no?
mjrIII: but given that vol is 50, and options are being priced at vol 300
mjrIII: underlying premise and all that
mjrIII: so, if the actual greatest volatility we have seen so far is 50, let's assume that is true
mjrIII: there must be a scenario where the premium is not 33% of the underlying
mjrIII: but if i do this as a thought experiment
mjrIII: i haven't done the math perfectly
mjrIII: but not like 10x the price of the european option
mjrIII: typically you pay more of a premium for the increased optionality
mjrIII: yes...and that does make it harder to price
mjrIII: which was much lower than 50
mjrIII: then calculated their standard deviations from the average return
mjrIII: and to calculate that, i took the "returns" on btc on options expiration days for the last 12 months
mjrIII: if you look at daily volatility, its around 11 i think
mjrIII: meaning if i opened an options contract on the beginning of the month, the change would never have been sharper than volatility of 50 (that was the highest number i could make the spreadsheet give me)
mjrIII: and even in march and april and may, it never went above 50
mjrIII: by looking at historical data i can calculate the daily, monthly, yearly, etc volatilty
mjrIII: at the current prices, that number is 300
mjrIII: you arrive at implied volatility, or what that person writing/pricing the option thinks the possible moves are
mjrIII: if you reverse engineer the prices being offered, for the underlying price and the strike price
mjrIII: which is just a measure of how much it moves
mjrIII: one of the largest factors in an options price is the volatility
mjrIII: meaning there should be signifigant profits in the middle (which no one has tried to take) if you can handle your risk
mjrIII: so, i really don't know, all i know is that the implied vol of those prices is 6 times higher than the greatest vol i've observed in any given month
mjrIII: and its very complicated, depends on if you measure p&l in btc or USD (that is not as simple a decision as one might think)
mjrIII: of course there are risks
mjrIII: that is what i mean by arbitraging the difference between the future and the option
mjrIII: but the combined premium of that number of puts should more than offset any losses from the future contract if i can charge .15 btc per put
mjrIII: so i should be able to sell some number of puts (can't figure out how many without actually trying)
mjrIII: remember that i only put up one bitcoin for the future contract, though that allows me to hedge 10 bitcoins prices
mjrIII: if prices rise, i still collect premium, and futures gives me less btc, though same USD
mjrIII: but as the future profits on price falling, it should offset the loss from the put
mjrIII: so now, due to the put, i lose money when price falls
mjrIII: since with the future, i profit when price falls, i should be able to take risk in that direction
mjrIII: so that would be the future side
mjrIII: fewer bitcoins, but same dollar amount
mjrIII: BUT if the price rises, i still have $680 dollars
mjrIII: which means that my profit occurs if the price falls, i can sell at the higher price of my contract
mjrIII: so, i am effectively guaranteed to receive $68 per bitcoin at months end, up to 10 bitcoins
mjrIII: anyway, if i can for example, sell 10 btc at $68 at months end, and only have to put up 1 btc as collateral
mjrIII: but let's say i am more comfortable with the cp risk than i am with the fx risk
mjrIII: which does entail cp risk
mjrIII: i can find one person, and craft my own forward contract between me and him
mjrIII: although let's pretend there is
mjrIII: so i can build in profits in either direction to offset losses by the options
mjrIII: mircea_popescu: does that not make sense?
mjrIII: as i've said...the goal was not to speculate, the goal was to arbitrage
mjrIII: and also, hopefully see more volume in options
mjrIII: so, if i can "employ my btc" by writing options and collecting premium, while doing it in a fully backed way (not exposed to the risk at the expense of some profits), then that seems like a great way to acquire more btc
mjrIII: since i don't have much capital
mjrIII: and my goal is to acquire bitcoin
mjrIII: the implied vol by these prices is 300
mjrIII: but my point is that when march and april happened, the vol was 50
mjrIII: i just think that most people would be too scared to writeoptions
mjrIII: so if i jump in, he might compete
mjrIII: he specifically said that because no one is going in the mid market, he is not adjusting
mjrIII: 30 day volume is 71,000 btc...
mjrIII: oh, volume still seemed pretty high