options: intraday pricing with greeks

I'm excluding Theta effect in intra-day option pricing here (although time value erosion should be continuous in theory)

Time1
         Delta        Vega         
         0.5            0.2
         PU           IV              Option Mkt P         
         163.34     47.86         8.625

Time2
         162.5      47.05         8.05
         ============
         -0.42      -0.162        8.043

Note 8.043 is very close to 8.05. Experience shows this to be true in general for small underlyer price changes.

recipe: papaya salad

so awesome

need a deep mortar and pestle

garlic
green or red chilli
green beans
peanuts
shredded papaya (you can shred papaya with a simple house knife as shown in this video)
dried shrimp
palm sugar (it's liquidy)
tomatoes
lime juice
fish sauce

suggestions

you can add shredded carrots too

garnish with toasted peanuts or cashews

recipe: fish cake

I like the vietnamese style.

Ingredients: (4 người)

- 300g fish fillet

- 150-200g ground pork

- 3 stalks spring onion, finely chopped

- 1 small bunch of dill, finely chopped

- 1.5 tbs fish sauce

- 1/2 tsp ground pepper

- vegetable oil, to pan fry

Cooking:

- Combine all the ingredients, except for the oil – of course. Use the back of a spoon to mix and press the mixture hardly until you get a nearly fine paste.

- Shape into small flat balls of free size.

- Heat the oil in a large frying pan, fry the fish cakes until golden brown on both sides.

recipe: salad: Vietnamese Crab Salad with Rice Noodles

Ingredients

50g (2oz) sugar, or more to taste
50ml (2oz) fish sauce
50ml (2fl oz) lemon or lime juice
1-2 small chillies, seeded and sliced finely
2 cloves of crushed or finely grated garlic
2 tsp finely grated ginger
125g (4oz) thin or medium rice noodles, softened by sitting in a bowl of boiling water for 5 minutes, drained and rinsed
300g (10oz) cooked crab meat (brown and white meat if possible)
300g (10oz) cucumber, deseeded and chopped
150g (5oz) radishes, trimmed and sliced
75g (3oz) peanuts, toasted under a hot grill until golden , then skins rubbed off (and blown away outside), and chopped roughly
2 tbsp chopped coriander

Method

Mix all the ingredients for the dressing. In a bowl, toss together the dressing with the drained noodles, then add the brown crab meat (if using), the cucumber and the radishes and toss.
Place on a serving plate or shallow bowl.
Sprinkle over the white crab meat, the toasted peanuts and the chopped coriander and serve.

recipe: fish: White fatty fish with madras curry powder

You may have a hard time wrapping your brain around pairing madras curry and olives, but if you think about it a moment, it really works. The French regularly use many of the ingredients that are in curry with olives—you’ve probably tasted the combination and not even known it. But you’ll see for yourself how well these potent ingredients harmonize in my Seared curried butterfish with warm olive chutney.

Serves 4

Ingredients
2 tablespoons madras curry powder
1/4 cup rice flour
4 pieces butterfish or other fatty white fish
3 shallots minced
1/2 cup mixed olives, pitted, minced
1 large tomato, 1/4-inch dice
Juice of 1 orange
2 tablespoons chopped cilantro
Sea salt and freshly ground pepper
Canola oil for cooking

Directions
On a pie plate, combine the curry and rice flour. Season fish with salt and pepper. Dredge the fish fillets on both sides into the rice flour mixture. In a cast-iron pan over medium-high heat coated lightly with oil, sear the fish until golden, brown and delicious, about 8 minutes total. Remove fish and wipe out pan. In same pan coated lightly with oil, saute the shallots, then add olives, tomato and orange juice and heat through. Toss with cilantro and serve 1 heaping tablespoon over each fillet. Serve on banana leaf.

options: time value over wknd counts or not?

10/15/2010 Fri GOOG soared after earnings last evening
This news bodes well for AMZN whose earnings comes out Tuesday or so I believe. I wanted to buy call today (with the intention of closing out before Tuesday since volatility crunch could again decrease the option value) but I didn't like theta eroding option value over the wknd.

In theory, wknd should not matter i.e. there should be a usual one day of time value erosion. However, I feel there is some level of additional value erosion going from fri to mon.

Does that happen? Let's see!

How do we do this? On Monday morning, at the open, record the option prices and see if they reflect any ADDITIONAL time value erosion from the wknd or not!

Note: If there is a significant level of price change, then answer should be YES. If there is a small change only, the answer is IDK.

AMZN
fri 11:47AM P=161.27
B A DGVT IV VOL OI
nov 165c
7.40 7.55 .46 .02 -.13 .20 45.09 314 2789
nov 165p
11.20 11.30 -.53 .02 -.13 .20 45.52 78 971

fri close P=164.64
nov 165c
9.40 9.55 .53 .02 -.13 .21 46.13 1730 2789
nov 165p
9.75 9.85 -.47 .02 -.13 .21 47.25 713 971

=============================================

mon at or around open P=??
nov 165c
???
nov 165p
???
=============================================

calculations