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seen Aug 14 at 16:43

finance PhD student


Feb
4
answered What concepts are the most dangerous ones in quantitative finance work?
Feb
3
comment Why does the VIX index have *any* correlation to the market?
@pteetor -- thinking on this more, I guess it really doesn't matter if American options have a dead band for put-call parity, does it? We're talking big jumps in implied vol, the call has to move, also. Do you think the demand for calls is one-for-one with the demand for puts during these down markets? I always thought the puts were causing the change. In other words, are a lot of people buying calls during a down market?
Feb
3
comment Why does the VIX index have *any* correlation to the market?
@pteetor -- good catch! SPX is a euro option so put-call parity should be exact.
Feb
3
answered What are the popular methodologies to minimize data snooping?
Feb
3
awarded  Supporter
Feb
3
comment Trading a synthetic replication of the VIX index
Why not use the ETNs? You can go long or short and I'm pretty sure that their tracking error is less than we could do as a solo trader. ipathetn.com/VXX-overview.jsp?investorType=pro
Feb
3
answered Who has introduced the term 'vega' and why?
Feb
3
answered Why does the VIX index have *any* correlation to the market?
Feb
2
revised Approximately what proportion of a stock’s volatility is explained by market movement?
added 32 characters in body
Feb
2
awarded  Editor
Feb
2
revised Approximately what proportion of a stock’s volatility is explained by market movement?
Answered the wrong question the first time
Feb
2
comment What is the “delta” option quoting convention about?
I can't find any options data, only spot and futures, even after signing up for the one year of free historical data. But the LME zinc contracts sell with strikes at intervals of 25, 50, and 100 in the strike ranges of <10000, 10000-20000, and >20000. They should be telling you the strike. Maybe write tech support?
Feb
2
answered How does the “risk-neutral pricing framework” work?
Feb
1
comment Approximately what proportion of a stock’s volatility is explained by market movement?
@shabbychef -- I did. My bad. That's what I get for late night answering. I don't know of any numbers off the top of my head, but let me look at some papers...
Feb
1
comment What is the “delta” option quoting convention about?
Your data provider should give you strike, also. At least if you're paying them money. What kind of option is this? I am not familiar with zinc march 2013.
Feb
1
answered Is there any theoretical basis for pattern-recognition strategies?
Feb
1
comment What is the “delta” option quoting convention about?
I always get it from my data provider, who calculates the Greeks from a volatility surface. You shouldn't have to (or want to) find delta yourself.
Feb
1
answered Approximately what proportion of a stock’s volatility is explained by market movement?
Feb
1
answered What type of analysis is appropriate for assessing the performance time-series forecasts?
Jan
31
awarded  Teacher