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seen Apr 2 at 18:26

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
Sep
14
awarded  Revival
Sep
14
awarded  Critic
Sep
14
answered How should I calculate the implied volatility of an American option in a real-time production environment?
Sep
14
awarded  Editor
Sep
14
comment How should I calculate the implied volatility of an American option in a real-time production environment?
Control variates? He's pricing vanillas, why would he be doing MC?
Sep
14
revised How can one compute the Greeks on VIX Futures
added 143 characters in body
Sep
13
answered How can one compute the Greeks on VIX Futures
Mar
20
awarded  Student
Feb
26
comment Why are GARCH models used to forecast volatility if residuals are often correlated?
As a vol trader I second Brian's opinion - GARCH is popular in academia, not in trading.