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Mar
6
answered How to adjust historical data highs/lows for splits and dividends?
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
answered How to calculate implied volatility smile of basket using correlations?
Oct
24
answered evaluation of volatility models using loss functions
Oct
22
answered What is most reasonable approach to determine side of a multi-leg options order?
Mar
17
answered Scanning a stock database for errors/flaws
Mar
12
answered Pair Trading Index Options
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
26
answered Exploiting breakdowns in correlation of estimated volatility
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)?
Apr
4
answered Constructing an approximation of the S&P 500 volatility smile with publicly available data
Mar
4
answered Modified bisection formula for deriving implied volatility for a dividend paying american option
Sep
14
answered How should I calculate the implied volatility of an American option in a real-time production environment?
Sep
13
answered How can one compute the Greeks on VIX Futures
Feb
9
answered Statistical properties of stochastic processes for moving average trading to work