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visits member for 4 years, 2 months
seen Mar 26 at 17:13

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?
Mar
4
comment How should I calculate the implied volatility of an American option in a real-time production environment?
@Brian, please elaborate.
Mar
4
answered Modified bisection formula for deriving implied volatility for a dividend paying american option
Feb
2
awarded  Yearling