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The Skinny On Options Modeling hero image

The Skinny On Options Modeling

Not everyone derives option pricing in their free time, but TP does. If you ever wanted to know how your trading platform sets up a chain or why we’re able to predict movement, then this dense lecture series is what you’ve been waiting for.

Probability of Touching
Aug 17, 2017
TP joins Tom and Tony to explain the metric known as "Probability of Touch" and how this number can improve trade entry and management.
P/L Context For IV Reversion
Jul 20, 2017
Whether IV is high or low, a 1% change in IV will have the same impact on a short premium strategy. Why are we focused on putting on short premium in High IV then?
When to Use IV or Vol Index
Dec 15, 2016
What are the differences between the Implied Volatility method of determining volatility and the Vol Index? What are the practical differences? TP is in the house to break it down.
30-Year Bond Options: TLT VS /ZB
Nov 17, 2016
Tom Preston joins Tom and Tony to discuss why TLT options are priced higher than /ZB options.
Understanding VIX Options and Futures
Oct 27, 2016
Today TP digs into the details of trading volatility. Volatility is what we're all about at tastytrade, and knowing how the VIX futures and VIX options trades is important to doing it successfully. TP walks through the nuances of /VX futures.
 Option Values and Market Kurtosis
Sep 22, 2016
TP is here to explain kurtosis. When market returns have fatter tails than the normal distribution curve market participants often bid up OTM options beyond what the Options Models value them. Find out what we can learn from this concept.
Jump-Diffusion and Volatile Markets
Jun 30, 2016
The Black-Scholes Model for pricing options is the most widely used but is not the only model. Why don't we use, for instance, the Jump Diffusion Model? Tom Preston, aka TP, our expert in options modeling, joins the guys to explain things.
Why 45 DTE is the Magic Number
May 26, 2016
Anyone watching tastytrade will eventually realize that we use 45 DTE in almost all our studies. Our research has shown that is the best choice.Tom Preston aka TP, joins the guys to explain why the 45 DTE figure is the inflection point in option models.
Can Greeks Be Optimized?
Feb 11, 2016
Can an option portfolio be optimized to take advantage of the Greeks?
Higher IV≠ More Risk
Jan 7, 2016
This segment explains the impact of higher implied volatility (IV) and why, despite what you may think, it doesn't mean greater risk for premium sellers
Probability of 50% Profit
Dec 17, 2015
This segment explains a system Dough users can utilize to learn the probability that their trade will reach 50% or better of its maximum potential profit
Black Scholes vs American Options

Oct 15, 2015
This segment is about the pricing difficulties using the Black-Scholes system for valuing in-the-money options with American style exercise.
Excess Option Risk Premium
Sep 24, 2015
Premium sellers who don't understand the concepts of skew and kurtosis will gain a better understanding from this segment on excess option premium!
Futures Option Pricing
Sep 10, 2015
This segment focuses on the pricing of futures options versus equity options and how to adjust the Black-Scholes model to account for the differences!
When Theta is Too Big for Its Option
Aug 20, 2015
This segment explains why theta, the greek representing time decay, does not always seem to fit an out of the money option with little time left!
Deconstructing Option Prices to Isolate Volatility
Aug 5, 2015
This segment explains option modeling to see the role of volatility in pricing so we can increase the return on capital for the same relative risk!
Beta Weighted Delta
Jul 1, 2015
Watch This episode of "The Skinny On Option Modeling" for an explanation of beta weighting deltas and how it may help your P/L!
Why Multiply Vol by the Square Root of Time?
Jun 17, 2015
Watch this segment of "The Skinny on Options Modeling" for an explanation of volatility and variance in the Black-Scholes model!
Selling IV Where It Counts
May 20, 2015
Find out how to calculate the Implied Volatility of an option and how vega effects this calculation!
Why Black-Scholes Doesn't Do American-Style Options
Apr 22, 2015
Find out why the Black-Scholes model can't correctly predict the theoretical price of American-style options!
Turning Assets Into Standard Normal Variables
Mar 26, 2015
Learn how you can turn the price of any asset into a standard normal random variable and why this is important for modeling returns!
Volatility, Returns and Two-Sided Markets
Mar 11, 2015
Learn about a common component of option pricing models and how no matter what volatility (movement) is, it decreases returns!

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