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  • 0 posts edited
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  • 11 votes cast
Jul
7
comment What really drives option implied volatility?
the problem is that changes in implied volatility are SAID to be because of changes in demand on that contract. But instead, the quotations from the market makers are only changing because of implied volatility, where there is no demand.
Jul
6
asked What really drives option implied volatility?
May
27
accepted What are VIX back-month futures based on?
May
23
comment What are VIX back-month futures based on?
wow, thank you this is exactly what I had hoped. I read the entire vix white paper and did not notice where it said that (although the futures contracts would be detailed elsewhere), can you point me to where those particular specs are detailed?
May
7
awarded  Promoter
Apr
24
asked What are VIX back-month futures based on?
Feb
29
awarded  Critic
Feb
16
accepted Is Visual Basic a fast enough for millisecond orders
Feb
9
comment Is Visual Basic a fast enough for millisecond orders
I didn't realize this "All .NET languages are perfectly able to compete with the speed of C and even FORTRAN." thanks!
Feb
8
comment Is Visual Basic a fast enough for millisecond orders
emsfeld, I'm not going for high frequency trades, and ideally the brokerdealer and clearing firm were located geographically closer, but this is the estimation I have thanks!
Feb
8
asked Is Visual Basic a fast enough for millisecond orders
Feb
3
accepted What drives changes in implied volatility on ETFs/ETNs?
Feb
2
comment What drives changes in implied volatility on ETFs/ETNs?
"With an ETN this probably had to do with option prices taking off in one of the underlying components." how exactly does this work and how is it tracked?
Jan
30
accepted accumulation/distribution and options to create excessive position to hit the tape with later
Jan
30
answered accumulation/distribution and options to create excessive position to hit the tape with later
Jan
30
asked What drives changes in implied volatility on ETFs/ETNs?
Jan
3
comment accumulation/distribution and options to create excessive position to hit the tape with later
a) not in every jurisdiction, which I never specified. b) not if the market cap isn't that large. I think you made too many assumptions. lets continue talking about roadblocks to such a thing, since getting filled without moving the bid/ask is easy now.
Jan
2
asked accumulation/distribution and options to create excessive position to hit the tape with later
Dec
26
asked how expected moves are priced into options
Dec
22
comment How to hedge a bull call spread
one idea I just had is that it could be hedged with binary options that could be bought very cheaply closest to expiration (if price < 55, then max payout). the only problem is that binaries only exist in limited quantities and conditions (ie. BSZ is a binary ticker for S&P500 which can correlate to Nasdaq, also BSZ only has monthly options, so timing to get the cheapest binaries can be impractical for this strategy, and the strike prices are too few)