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2

When I saw these curves they seemed very strange to me. I believe it is a data-quality issue.I went to Bloomberg and I retrieved the implied vols for 70 near ATM strikes of the weekly SPX options expiring November 27 2015 (I believe that is the yellow curve in your diagrams i.e. November 4th week). This was today 2015-oct-27 at about 15:00 New York time. As ...


2

These options are not "issued" in the same way, say, employee stock options are "issued". Instead, the expiration months already exist indefinitely into the future, and in a sense options at all expirations already exist. The data series therefore start showing prints when market interest in a given expiration date starts up. This is of course highly ...


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Your Vega of 188.48 is correct, in the sense that matches my calculation. What it means is that if the volatility increase by 1 (i.e. by 100 percentage points, from 19.14% to 119.14%) the call will increase by 188 dollars. Obviously that is an unrealistic move. More realistically if the volatility increases by 0.01 (i.e. 1 percentage point, from 19.14% to ...



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