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  • 0 posts edited
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  • 26 votes cast
Apr
28
answered Old CBOE SPX options data: listing and expdate issue
Apr
28
answered Options Data Sources
Apr
17
comment What are flickering orders?
Less work - you ignore self-generated noise
Apr
16
comment What are flickering orders?
@KylinYi flickering bid below the best bid, or flickering offer above the best offer would not affect the top of book - which is the best bid and best offer. However flickering forces the exchange to process these "extra messages" and send out those quotes to other firms, who in turn have to process those as well. So it creates extra work for competition.
Apr
16
comment How to hedge a barrier option with vanilla options?
@RandomGuy - you have good instinct for solving the problem - you use vanillas (possible different strikes / expirations) to get as close to your hedge as you can, and then you're left with some residual path dependent risk that you're left with.
Apr
5
answered Where can I get json currency data feeds every millisecond?
Apr
5
comment Pricing of Black-Scholes with dividend
Hint: read the question again; it is asking about price and greeks at t=0, not t=1.
Apr
3
comment Sensitivity of short-term vs long term options' IV
Don't have the book in front of me, and I believe the statement was made about ATM. But IMO it also makes sense (as far as rules of thumb go) for any fixed log-moneyness.
Mar
31
answered Sensitivity of short-term vs long term options' IV
Mar
31
answered How was the old VIX calculated?
Mar
19
answered Shorting an option every day vs shorting only at maturity
Mar
18
comment Shorting an option every day vs shorting only at maturity
Can you please explain what you meant by "expected returns to Strategy A will have fatter tails while returns to Strategy B will have higher kurtosis" ? Usually fat tails is synonymous with high kurtosis.
Mar
18
revised VXV vs. VIX futures: arbitrage opportunities?
added 3 characters in body
Mar
16
revised Dealers becoming synthetically short an out-of-the-money option
added 5 characters in body
Mar
16
comment How to appropriately measure volatility in assets with different execution dates?
Maybe you could explain your question better. If "asset 1 is expected to expire in one day and asset two is expected to expire in two days" then there is no need to worry about 2 day hedging. You just need to hedge it for one day, and then figure out some other hedge, with some third asset, or exit the position.
Mar
16
awarded  Revival
Mar
15
answered Dealers becoming synthetically short an out-of-the-money option
Mar
15
comment Why are there two expressions for the Black-Scholes hedging portfolio
The second formula looks suspicious to me. Can you check?
Mar
15
answered VXV vs. VIX futures: arbitrage opportunities?
Mar
15
awarded  Yearling