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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Closing prices for options written on S&P 500

I would like to find closing prices for all options written on S&P 500. I tried OptionMetrics from Wharton School but unfortunately you only find bid and ask prices. Is there any other database ...
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4answers
301 views

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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3answers
161 views

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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3answers
139 views

Binary Option in B-S model - technical question

I want to price Binary Option in Black-Scholes model. The payoff is of the form $f(S_{T})=I_{\{S_{T}-K>0\}}$. If we assume that $t=0$ this is easy, because then we have $C_{0}=\mathbb{E}^{*}\...
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2answers
68 views

if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?

if I had a 1M spread option. Would you say that was 1m notional (for IM purposes) or 1m pay + 1m rec i.e. 2m notional?
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36 views

Effect of surprise dividends on options

The ETF in question is VDC It pays about $2.5 a year in dividends, but the payout dates are very erratic If I were to go long VDC with options, what would be the best way of doing this to avoid ...
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1answer
100 views

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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2answers
231 views

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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1answer
63 views

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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60 views

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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3answers
50 views

buy asset after exercising call options

Suppose that I buy a call option at \$10 for a stock $S_0 = \$100$, $K = \$110$, expiry date $T$. In $T$, $S_T = \$140$, so that I exercise the option to buy and then sell the assets (buy at $\$110$ ...
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1answer
48 views

Effect of different maturity options in delta-gamma-hedging

I read about hedging with options and think i got it. However there is a case am not sure how to handle. Is there any exception in the delta-gamma-hedging-(calculaton-)technique? - say: solve an set ...
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2answers
66 views

Black-Scholes and Markovian contingent claim

Background information: Proposition 4.1 - For a European Markovian contingent claim, the Black-Scholes price satisfies $$\Theta(\tau,S) = -\frac{\sigma^2 S^2}{2}\Gamma(\tau,S) - rS\Delta(\tau,S) + rV(...
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3answers
201 views

Options Data Sources

I am using Option Metrics to study a couple of things related to options. However, Option Metrics is quite limited in terms of scope (mainly it's US equities). I was wondering two things: 1) Are ...
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1answer
75 views

Calculating probability of options with normal/lognormal distribution: does time make a difference?

I'm trying to calculate the probability of a calendar spread resulting in a profit at expiration, when estimating it is modeled as a lognormal distribution, by getting: ...
4
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1answer
152 views

How to use the Black-Scholes formula with LIBOR rates?

I want to price an FX option using the Black-Scholes model, but I don't know the risk free rate, nor the volatility. I only know the LIBOR rates, the strike, and that the expiration day is 87 days ...
3
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1answer
220 views

Find call and put volatilities using ATM, Risk reversal and Butterflies volatilities

I have to plot the implied volatility surface for EUR/USD. So, my goal is to produce something like that, from put delta 10 to call delta 10: Searching for informations, I found that I could find ...
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54 views

Why is the probability of first touch equation so complicated?

http://marcoagd.usuarios.rdc.puc-rio.br/hittingt.html The (cumulative) probability distribution of hitting times for the above case is given by the equation below. This equation is 1 less the ...
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3answers
109 views

Put-Call Parity Application

In the binomial model, how that the Delta of a call option $\Delta^{call}$ and the Delta of a put option $\Delta^{put}$ with the same maturity and strike satisfy $$\Delta^{call}_t - \Delta^{put}_t = ...
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2answers
191 views

Risk-Neutral Probabilities, Trinomial Model

My professor has many grammatical mistakes and errors in his questions, so apologies ahead of time. I am just trying to understand what he wants for this question, In trinomial model, let $S_0 = 1$, ...
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52 views

Delta of an option in two cases

Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité $\sigma$ and maturity t: $C(F,K,\sigma,t,r) $ We assume that we know $\delta$ $\delta=\frac{\partial}{\...
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3answers
114 views

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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55 views

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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2answers
208 views

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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1answer
132 views

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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1answer
84 views

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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224 views

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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49 views

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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1answer
51 views

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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35 views

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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67 views

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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2answers
160 views

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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1answer
63 views

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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100 views

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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2answers
135 views

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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4answers
160 views

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 (Itô's formula etc.) Application: Black-Scholes formula for price ...
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1answer
95 views

Call options and portfolio of the same options worth less?

A portfolio of long positions in call options with the same maturity and strikes on different assets is worth more than a call option on a portfolio of the same assets with the same weight; i.e. $$\...
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1answer
45 views

Where are the prices of real European Call options listed?

In order to solve an exercise, I need data from real European Call Options (on the same underlying). It sounds definitely trivial, but actually I feel a bit lost...do you mind giving a link/suggestion ...
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1answer
71 views

Options and bond related to convexity

Relevant definition: Assumption 2.1 (No dominance). If the payoff $P$ of a financial instrument is nonnegative, then the price $p$ of the financial instrument is nonnegative. Notation: $T$ - the ...
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1answer
118 views

Price of call/put is convex in $K$ (strike price)

Let $\lambda\in(0,1)$. Then $$C(T, \lambda K_1 + (1 - \lambda)K_2, S, t) \leq \lambda C(T, K_1, S, t) + (1 - \lambda)C(T, K_2, S, t)$$ $T$ - the maturity $K_1$,$K_2$ - Strike prices $S$ - stock ...
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1answer
199 views

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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1answer
58 views

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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1answer
88 views

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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32 views

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 ...
2
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1answer
78 views

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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105 views

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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2answers
334 views

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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1answer
121 views

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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1answer
68 views

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 ...
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1answer
134 views

Option Chain Implied Volatility Calculation

I have the following EOD options data for the SPY containing IV data for each strike. ...