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Naj... appreciate your input. I was under the impression that binomial models were, by nature, symmetric. I don't think the volatility smile is what I've been after. I think sticky delta models might be what I'm looking for bt I've sure not been able to find anything that puts this concept in any format remotely accessable by math challenged amatuer investors.

I've read about sticky deltas but I've never seen anything that seems to "translate" these papers into good general concept information. I've read a couple of papers on using sticky deltas to develop implied volatility smiles. The conclusions being that more "lifelike" smiles are deveoloped than those using constant volatility and delta.

This whole business has actually frustrated me to the point of enrolling in a "distance learning" class from a local University that starts this fall. I'm pretty sure I need to first understand the magnitude of what I don't understand :)

I hope you'll continue to add anything that might help us (me!) understand real world option behavior. I continue to believe options are an area of marked pricing inefficiency where individuals can still play.

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