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.
1
vote
2answers
123 views
Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)
There's a relatively new product in the market / on the Nasdaq called Alpha Indexes. It lets one own a company -- e.g. Apple, GE, Google, etc -- as the difference between how that company does (the ...
1
vote
1answer
258 views
Calculating Theta assuming other variables remain the same
Is there any way to calculate theta at X day in future based solely on knowing
1) Total Current Option Price
2) Days Till Expiration
How would this be done? Thank you
1
vote
2answers
191 views
backtesting options strategies in R
I would like to backtest an options strategy in R. I require the ability to delta hedge and rebalance to options in the portfolio at different frequencies (daily, monthly,etc.) What packages are the ...
1
vote
1answer
116 views
Brent Crude Data
I am trying to locate historical volatility data (5+ years) for Brent Crude? Does anyone know where I might be able to source such data?
1
vote
1answer
208 views
Portfolio Greek Exposure Equations
What are the calculations for calculating greek exposures in a portfolio of equities and equity options? I think I have them but I want to be sure. Are these correct (for vanilla options)?
...
1
vote
2answers
322 views
Multi asset option portfolio risk management (greeks and FX exposure)
I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...
1
vote
1answer
178 views
Calculate historical (ATM) option prices with public data
I just saw the question How to calculate the most realistic historical option prices with additional publicly available parameters and I am interested in the step before that.
How can I calculate ...
1
vote
0answers
83 views
Interpolate option volatility in delta space in R
I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
1
vote
0answers
82 views
Pricing a Power Contract derivative security
I'm trying to price a "power contract" and would appreciate guidance on the next step. The payoff at time $T$ is $(S(T)/K)^\alpha$, where $K > 0$, $\alpha \in \mathbb{N}$, $T > 0$. $S$ is ...
1
vote
0answers
81 views
How to calculate a the PFE for a Swaption?
How do you calculate the Potential Future Exposure (PFE) for a swaption?
Do you incorporate the dynamics of implied volatility when you are running your simulations?
Is there a standard way to ...
1
vote
0answers
219 views
Delta-Omega Hedging [closed]
I am currently trying to understand the in's and out's of options and more specifically hedging. I came across a document that was talking about Delta Hedging which is just making sure the delta of ...
1
vote
2answers
122 views
Delta of a Down and Out Call
I came across some graphs depicting the delta of a down-and-out call. They show that, if the risk free rate of return is 0, the delta is constant at 1. However, if the rate of return is for example ...
0
votes
1answer
166 views
Exotic option pricing
I'm trying to price an option with payoff $\max\{a\cdot S_t - K,0\}$ where $a$ is a known constant. Ideally I'm looking for a closed form, continuous-time solution. Where should I begin?
0
votes
1answer
483 views
what is the best way to calculate the probability of an equity option ending in the money?
Given historical implied volatility and all other know variables (stock price, option strike price, option expiration date, dividend rate, interest rate) what is the best way to calculate the ...
0
votes
1answer
150 views
Does an option's price “ratio” with the underlying security price?
I'm trying to understand option pricing better.
Let's say security ABC is \$40, and a 38 PUT option with 40% implied volatility (and 90 days till expiration) is priced at X. If security ABC then ...
0
votes
1answer
231 views
Which prediction market model is efficient and simple to use?
For a college project I'm tasked with implementing prediction market. Which model of it I'd better choose?
I want something useful and simple enough for other people to quickly understand and use. ...
0
votes
2answers
86 views
changes in open interest vs changes in underlying volume
Has a relationship been noted?
Mostly, I'd like to know if the open interest increases on an underlying, does the underlying usually see increased trading?
My guess would be "yes" since MMs can ...
0
votes
2answers
93 views
monthly contract volume required for penny increments?
Have the exchanges disclosed their criteria?
Does anyone have a best guess based upon observations of volume (however you wish to define it)?
Please no qualitative answers.
0
votes
0answers
132 views
Option vs Equity market-making strategies? [closed]
I need to implement a few "strategies" for a university project I am doing. The emphasis of the project is not on the strategies, but the technical (programming) means by which they are implemented.
...
0
votes
0answers
38 views
Need historical option data for my final graduation project [duplicate]
I am a student doing my final graduation project on uncertainty quantification applied to option pricing.To validate my work I need historical european option data.So I wonder if there is someone here ...
0
votes
0answers
150 views
Lagging Beta Strategy
Came across a method involving pairs in the book Hedge Fund Market Wizard:
Given a Stock(or Collective of instruments)that follows closely to say Dow index with a beta<1(very short term) but ...
0
votes
0answers
95 views
Make assumption about future stock price: is the option with best return fairly clear? [closed]
If a security has price X now, and one makes the assumption it will have a greater price Y later, is the option (or option spread) that will provide the best return fairly clear, including the ...
-1
votes
2answers
169 views
What is the Benefit of holding a short option?
i am new to corporate finance and ask myself why a investor is interested in being short on a Option? The only he can win is a premium but he can loose much more. I understand with being a short I can ...
-4
votes
1answer
135 views
Show that convexity of call price as a function of the strike is violated [closed]
European call options with strikes 90, 100 and 110 on the same underlying asset and with the same maturity are trading for 22.50, 18.84 and 13.97 respectively. show that the convexity of the call ...
-4
votes
1answer
133 views
Can you help identify/name this equity options strategy? [closed]
I am thinking of making such a trade:
BUY PUT $590 MARCH
WRITE PUT $600 APRIL
I have done some reading and it looks like a diagonal put spread, but the diagonal ...
-4
votes
1answer
208 views
What is the net premium of a bull spread option? [closed]
Suppose we have the following information for the index $S$:
current price = $ \$1000$
risk free rate $4 \%$ convertible semiannualy
What is the net premium to create a $ \$ 1000- \$ 1050$ bull ...
-6
votes
3answers
480 views
True or False? An option's price will always be greater than or equal to its intrinsic value
Since if the option's price is lower than its intrinsic value (eg. strike price - current stock price for puts), then an arbitrage opportunity arises from buying the option at bargain and then ...
