Homunculus Reticulli
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  • 12 votes cast
Aug
31
comment Is there any evidence that an option delta approximates ITM expiry probability?
Thanks for the clarification. I do recall my maths professor talking about the change of numaire under a R.N measure. Divergence between theory and practise again - I guess a lot of straddle traders are sitting on a time bomb :/. As an aside, its could you explain the first integral? I have not encountered it before. I can understand integrating asset price from K to +inf but it is not clear why you are 'weighting' the probabilities by 1. Also, I don't see how this gives us the delta (sorry, been a while since I took calculus ;) )
Aug
31
asked Multi asset option portfolio risk management (greeks and FX exposure)
Aug
31
asked Is there any evidence that an option delta approximates ITM expiry probability?
Jul
31
accepted How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Jul
30
revised Interpreting QuantLlib implied volatility numbers
added 58 characters in body
Jul
30
asked Interpreting QuantLlib implied volatility numbers
May
27
revised Historical volatility from close prices (Haug pg 166)
deleted 229 characters in body
May
27
asked Historical volatility from close prices (Haug pg 166)
May
10
comment VaR implementation using quantlib?
+1 for the link. I'll download it and take a look at it for some ideas. As an aside, our portfolios are largely non-linear, we trade options almost exclusively, but I hope your codebase could be a useful starting point. Thanks
May
7
accepted VaR implementation using quantlib?
May
7
comment VaR implementation using quantlib?
We already have a curves defined within our system, so as much as possible, I would like to reuse that. My initial thought is to use quantlib for the pricing. I'll take a look at the link you posted and see if it generates any further ideas. Thanks for your input.
May
4
comment VaR implementation using quantlib?
@LuigiBallabio: Which list do you recommend - 'users 'or 'dev' for VaR implementation related questions?
May
4
comment VaR implementation using quantlib?
@LuigiBallabio: re type of VaR: historical simulation VaR. The system is a proprietary (internally developed) one we use for trading. HTH.
May
3
asked VaR implementation using quantlib?
Mar
4
accepted Modified bisection formula for deriving implied volatility for a dividend paying american option
Mar
4
revised How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
edited title
Mar
4
accepted Is there a measure for the 'degree' of cointegration
Mar
4
asked Modified bisection formula for deriving implied volatility for a dividend paying american option
Mar
4
answered How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Mar
4
comment How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices?
Thanks for your answer. Its not the smile that I want to calculate (as I mentioned earlier, I am working with only ATM options - so at the most, I am working with two strikes [if the underlying lies between two strikes]). I am looking to find a way to calculate a SINGLE number from the ATM calls and puts (using some kind of weighting). The more I think of it, since I am only dealing with two strikes at the most, a simple linear interpolation will do - although I may probably weight the vols by Open Interest