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Adjusted Option

A contract that had changes to its underlying due to a corporate action (eg. stock split/consolidation) that results in a change to the multiplier or strike price. The adjustment is made to retain the options value.

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Volatility Skew

When options for the same underlying have significantly different IVs. Can occur for options expiring in the same month (price skew) or different months (time skew)

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Mini Index contracts exist for ES (S&P 500 futures) and NQ (E-mini Nasdaq 100 futures). The minimum price fluctuation for these would be 1/10 of the regular e-mini contract. (Regular tick 0.25 index points = $1.25 for MES and $0.50 for MNQ). The CBOE had… Read More »Mini-Contracts

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Gamma and Vega

Gamma is greater for Short DTE. Vega is large for Long DTEs. ATM Options with long DTE have large Vegas and ATM options with short DTE have large gammas and small Vegas

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