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Note that, \begin{align*} \frac{\partial{C}}{\partial{\sigma}} &=\frac{S_0}{\sqrt{2\pi}}{e^\frac{-d_+^2}{2}}(\frac{-1}{\sigma})(d_-)-\frac{Ke^{-rt}}{\sqrt{2\pi}}e^{\frac{-d_-^2}{2}}(\frac{-1}{\sigma})(d_+)\\ &=\frac{1}{\sqrt{2\pi}}e^{\frac{-d_+^2}{2}}\left[-\frac{S_0 d_-}{\sigma} + \frac{Ke^{-rt}d_+}{\sigma} e^{\frac{d_+^2}{2} - \frac{d_-^2}{2}} ...


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Please read "Volatility's Impact On Market Returns" at http://www.investopedia.com/articles/financial-theory/08/volatility.asp. It is important to remember that VIX is a volatility index comprised of options and not stocks. It predicts volatility of future prices. It is not a measure of the present stock market. For a more thorough understanding see the ...


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Generalizing, some people who write options trading software are not aware of a few small, but important details, resulting in some pricing idiosyncrasies. That is often the case with retail trading platforms, and you often read statements like "implied vol blows up in days before expiration", "greeks become unreliable before expiration", or suggestion of ...



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