onlyvix.blogspot.com

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	698 reputation	bio	website	onlyvix.blogspot.com	visits	member for	2 years, 3 months
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Apr 8	awarded	Nice Answer
Mar 17	answered	Scanning a stock database for errors/flaws
Mar 12	answered	Pair Trading Index Options
Feb 2	awarded	Yearling
Jan 11	revised	What does the VIX formula measure and how does it work? corrected typo.
May 29	comment	Which greeks do you need to hedge if you want to implement an implied-volatility security? Excellent points Freddy!
May 29	answered	Which greeks do you need to hedge if you want to implement an implied-volatility security?
May 29	answered	What is the implied volatility skew?
May 27	comment	Probability distribution of maximum value of binary option? Clarify the question: do you mean - if we consider price series of a binary option, what is the PDF of maximum of the price of such option?
May 26	answered	Exploiting breakdowns in correlation of estimated volatility
May 26	comment	What are VIX back-month futures based on? I'm sure it's somewhere on the CBOE or CFE website. Here's one quote: "The settlement date for VIX futures is the Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date")." The contracts are the ones used the settlement price calculation.
May 24	revised	What does the VIX formula measure and how does it work? added 451 characters in body
May 23	comment	What is the market standard for pricing VIX futures? @glyphard Respectfully disagree. Theoretically, and practically VIX futures cannot be replicated - VIX index is calculated as a square root of a basket of options. Square root is a non-linear transformation, making arbitrage impossible. Hedging off SPX options is quite risky - this is not your regular basis risk - the basis in SPX/VIX is nonlinear with its own set greeks, and VIX traders that I know do not use SPX for hedging, but rather trade in the entire VIX futures and options product suite, since in the VIX options are the dominant market with much greater volume.
May 23	comment	Constructing an approximation of the S&P 500 volatility smile with publicly available data Brian B is correct, VVIX is definitely not kurtosis, but probably can be used as a proxy if properly scaled. The reference is here faculty.baruch.cuny.edu/lwu/papers/bias.pdf, see page 8, formula (16)
May 23	answered	What are VIX back-month futures based on?
May 23	answered	What does the VIX formula measure and how does it work?
May 23	answered	How can we reverse engineer a market-making algorithm (HFT)?
May 12	awarded	Popular Question
Apr 4	answered	Constructing an approximation of the S&P 500 volatility smile with publicly available data
Apr 1	comment	Constructing an approximation of the S&P 500 volatility smile with publicly available data What exactly are you trying to create? 30-day implied vol curve?