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Jul
21
comment How to interpret Realized Volatility and TSRV using R
Yes, Colin, my bad, I was thinking about BPV, and what I wrote was incorrect. I upvoted your answer.
Jul
21
revised How to interpret Realized Volatility and TSRV using R
deleted 424 characters in body
Jul
21
comment Can VIX be interpreted as a proxy for instantaneous volatility?
What do you mean by "end-of-month VIX" Once a month? Then they will have 20x less observation points, and estimate will not be nearly as efficient.
Jul
21
answered How to interpret Realized Volatility and TSRV using R
Jul
16
comment How to interpret Realized Volatility and TSRV using R
Surprised your TSRV > RV. Can you check your calculations on longer time intervals?
Jul
16
answered Approximating the IV of an underlying from Individual Options IV
Apr
2
comment “Extract” the density of the underlying, given the implied volatility “surface”
Seems like there are two issues: 1 interpolation and extrapolation, and 2 - K1 & K2. First - you'll get better (more robust) theo vols if you use model-based interpolation (SABR, SVI, etc) to create no-arb density. Using just "any" interpolation method (e.g. splines) could have arb, and your wings, density will be messed up. Second - seems like you have some computational limitation, that you cannot evaluate the function on a sufficiently large interval. Can you elaborate?
Mar
6
comment Why theta multipled by days to expiry exceeds the total time premium of the option
@Victor123 You are probably looking at option price chart, not at theta chart. Theta approaches zero as you get closer to expiration.
Mar
6
answered How to adjust historical data highs/lows for splits and dividends?
Mar
5
awarded  Yearling
Mar
5
answered Why theta multipled by days to expiry exceeds the total time premium of the option
Mar
5
answered How to assess stock price movement from implied volatility?
Mar
4
answered VIX Futures data: why happen to have settle price > 0 and Volume = O.I. = 0
Mar
4
comment Does an implied volatility always exist for a binary option?
Mike, I think @brian-b and pc-iit would both agree that while numerical solution for a valid (0<BC<{e}^{-r\tau}) price can always be calculated, sometimes option ask is quoted above the upper value. The real answer to your question is that sometimes you cannot calculate IV. This is true for vanilla options as well (e.g. itm bid below intrinsic value)
Mar
4
revised How to calculate implied volatility smile of basket using correlations?
added 44 characters in body
Mar
4
answered How to calculate implied volatility smile of basket using correlations?
Apr
12
awarded  Taxonomist
Feb
2
awarded  Yearling
Nov
7
comment American Option price formula assuming a logLaplace distribution?
Just few basic "sanity checks": What do you mean "calls being routinely double puts"? If you're looking at ITM calls, they certainly can be double the price of puts, or even more. Or are you comparing ATMF? Did you accidentally add "drift" into your model? Try with r=0.
Nov
5
comment How to properly take averages to reduce data in regression/panel data analysis
Can't help directly, but can comment: 1 if you have major differences between mean and median based results - your data has too much skew. You need to cover your basics - are there outliers, is there a skew in population or in your grouping? Can you transform your data (e.g. power transform, or some ratio) to make it more normal? If 2 My Matlab usually can handle this size of data. Are you using 32 or 64 bit matlab? What kind of regression model do you use?