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majiangpai (Model的男人，消灭投机.客) 于 (Mon Feb 26 14:05:00 2007) 提到:
If we setup portfolio (options and underlying e.g. Bio-tech) as delta-and-
gamma neutral shorting the vega before the news come out. And offset the
positions after news come out (lower iv), we should gain on iv decline.
Is is feasible? If not, why?
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Phase (amplitude) 于 (Mon Feb 26 14:08:33 2007) 提到:
what is iv?
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