# Tagged Questions

A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.

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### Shorting an option every day vs shorting only at maturity

Suppose we have 2 strategies : strategy A : every $N$ days, we short a call option with a time-to-maturity of $N$ days; strategy B : every day, we short $\frac{1}{N}$ of a call option with a time-to-...
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### Creating Options Database

I am trying to create a database which will hold information for various stock options and will need to be updated daily. The idea is to use this database to keep track of changes in the open interest ...
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### Why is $N(d_2)$ not needed for hedging?

I'm trying to understand delta hedging. If I sell a plain vanilla call option, in order to delta hedge it, I have to buy delta amount of stocks. What I don't understand is that the BS price of the ...
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### How to derive Black's formula for the valuation of an option on a future?

I've got a question about 1976 Black Model and Bachelier model. I know that a geometric brownian motion in the P measure $dS_{t}=\mu S_{t}dt+\sigma S_{t} dW_{t}^{P}$ for a stock price $S_{t}$ leads (...
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### Where to find E-mini S&P options price data or chart?

ES futures price data is easy to find, e.g. on Yahoo finance or with a free NinjaTrader demo account. I'm looking for the same for options on that futures contract. The best I could find is the ...
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### Stock price distribution from options marks

I am reading the following link: on "recovering probability distributions from option prices" - how to subtract influence of stochastic volatility? At the end of the derivation it seems ...
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### What is the theoretical expected growth in an option's value over a given period of time?

Say an option with five years left before maturity has a value of $x$ today. Theoretically, under the B/S framework, what is its expected value in five years (upon maturity)? Do we assume it will ...
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### Delta hedge compound option

Delta hedge portfolio should be adjusted from one period to the other, as the ratio changes. How does it work with compound options though? Suppose, I have a put on a call option on a stock, in 2 time ...
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### Where can I find best end of day option data? [duplicate]

Looking for accurate end of day option data. Preferably with Greeks. Any recommendations?
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### Example of options that cannot be priced with least-square Monte Carlo

Can you give some example of options that cannot be priced with least-square Monte Carlo? Intuitively, this is any option for which a payoff depends on a previous exercise decision. It's relatively ...
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### Open interest and short selling

Open interest of SPY: https://finance.yahoo.com/q/op?s=SPY+Options If someone sell short a contract the open interest adds up or down? The open interest on yahoo finance is a reliable Information of ...
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### Who Uses American Options?

...in other words, why would a person want to have the right to exercise an option early? What advantage does that really give you? Are Euro-style options not good enough for some people? Who are ...
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### Hedging portfolio of options with different underlyings

Suppose i have call options for 90 of the 100 stocks of NASDAQ100. How can i hedge the risk using NASDAQ futures? Also, how can I get rid of the residual risk?
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### About the Feller Condition in Heston Calibration

I have noticed when reading (many) articles about Heston Calibration that not all (few actually) do care about the Feller condition. Below is a compilation of calibration results from some different ...
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### Most recent work on American option **ANALYTIC** pricing

I am studying American options and inquisitive on why they lack an analytic pricing formula. I found a paper by Kim,1990 on analytic valuation of these options and then Byun,2005 paper which studies ...
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### How was this probability of negative U.S rates by end 2017 calculated?

http://www.bloomberg.com/news/articles/2016-01-26/bets-on-negative-u-s-rates-by-end-2017-jump-above-10-chance Options markets show some investors are taking out protection in case rates instead ...
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### How to automatically get all options data for a particular stock into microsoft excel?

I'm looking for a way to get the entire options chain (All options expiries) for a particular stock in excel without manually copy pasting anything. It does not have to be real time and I will only be ...
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### out of the money time value versus in the money time value

For an out of the money option the time value is entirely positive, then if it moves into the money the time value has a negative impact on the new intrinsic value, ok, but it looks like the negative ...
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### Analytical solution to the Black-Scholes equation with time-dependent volatility

I am stuck with the following exercise and I would appreciate any help with it. I have to calculate the analytical function for the price of a call option given the following process for the ...
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### Which volatility to use?

For calculating the greeks http://www.vollib.org/html/apidoc/vollib.black.greeks.html Should I use historical volatility or implied volatility?
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### Black-Scholes formula proof, without stochastic integration

I've looked into many books at my academic library, and very often it goes like this: Brownian motion Then, stochastic integration (ItÃ´'s formula etc.) Application: Black-Scholes formula for price ...
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### VXV vs. VIX futures: arbitrage opportunities?

At a first glance, VXV and VIX futures should not be compared at all: VXV is an underlying index, whilst VIX futures are derivatives written on a different underlying index, that is, VIX. As instance,...
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### Martingale correction for Andersen scheme with Interest Rate

I have implemented martingale correction to my Andersen scheme for Heston model, as it is in the paper (page 19-22): http://www.ressources-actuarielles.net/EXT/ISFA/1226.nsf/0/...
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### How to get Correlation using Options data?

I can calculate the "Implied Beta" using implied volatility for the option stock, and implied volatility for the market (VIX). Is there any way to calculate also the correlation without performing a ...
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### Listed Equity Options - Should the expected future payoff be discounted?

Just wondering, given daily margining of exchange traded futures/options (e.g. Eurostoxx 50), basically any difference in the risk neutral expected future payoff that is refelcted in the daily price ...
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### Option analysis

Assume zero dividend and that the strike price for a European call option on a stock at a fixed maturity T and strike price K is given by C(K).Suppose that $C(K)=e^{-k}$ for all $K\geq 0$ ,then, I ...
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### Calculating probability of Yuan's slump from options market

http://www.bloomberg.com/news/articles/2016-01-06/if-options-traders-are-right-the-yuan-s-slump-is-far-from-over Contract prices indicate a 79 percent probability that the currency will weaken ...
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### Barrier option : Monte carlo simulation

I am trying to price a Down-and-Out Call using Monte Carlo simulation. The problem is that I get the right price for the vanilla option (same price as the analytic formula of Black and Scholes) but I ...
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### VAR of portfolio containing options, equities and forwards

If we want to calculate VAR of a portfolio using variance covariance matrix (delta normal method), containing equities, forwards and options, how do we treat each asset class for making the variance ...
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### AmericanOptionImpliedVolatility strange answers for calls IV's

My data provider includes the greeks. I tried to compute the IV's myself using RQuantLib and see if they match -- for Puts it's generally close, for Calls however certain values are way way off -- any ...