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| bio | website | onlyvix.blogspot.com |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Mar 27 at 15:08 | |
| stats | profile views | 133 |
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May 29 |
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Which greeks do you need to hedge if you want to implement an implied-volatility security? Excellent points Freddy! |
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May 27 |
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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? |
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May 26 |
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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. |
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May 23 |
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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. |
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May 23 |
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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) |
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Apr 1 |
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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? |
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Mar 4 |
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How should I calculate the implied volatility of an American option in a real-time production environment? @Brian, please elaborate. |
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Sep 14 |
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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? |
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Feb 26 |
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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. |
