Matt Wolf

5,779 reputation

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	location	Tokyo, Japan
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visits	member for	1 year, 2 months
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	5,779 reputation	bio	website		visits	member for	1 year, 2 months
1316 badges		location	Tokyo, Japan		seen	1 hour ago

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2h	answered	Which prices to use to compute realized volatility?
2h	comment	VaR for portfolio of funds @quant_dev, I answered that in a comment which was deleted. Treat each fund as an asset. I included all VaR calculation steps because the answer to your question looks to me to be even more trivial than calculating VaR.
2h	comment	So many volatility models. Any comparisons of them? @Jase, because those are different tools aiming to target entirely different questions. (Sample) standard deviation measures variation in past price/return data whereas implied volatility expresses expectations of future asset/asset return variation.
10h	revised	VaR for portfolio of funds added 10 characters in body
23h	answered	VaR for portfolio of funds
1d	revised	So many volatility models. Any comparisons of them? deleted 1 characters in body
1d	answered	How to adjust local currency returns to US$/EUR return?
1d	answered	So many volatility models. Any comparisons of them?
1d	comment	Replicating strategy in the Black-Scholes model @Mark, I think his pre-publishing notes are still available for free as pdf download somewhere. Google and you shall find. Btw, unless I am mistaken those are his lecture notes which he compiled to his two books, one on Discrete the other on Continuous time series. And the notes are not copyright protected and can thus be legally obtained for free. But if you intend to make a career in this field I highly recommend to get his books. In my opinion the best treatise of introductory stochastic calculus
May 19	comment	When the Inverse Correlation between the SPX and VIX breaks down @jessica, a long straddle is long iVol, and my implication was that many PMs on the buy side do not look to sell or be net-short implied vol products. So when a cash market trades higher, cash equity returns correlate less negatively with changes in implied volatility. But my overall point is that you are most likely wasting your time by trying to model future investor behavior on realized vol or realized correlation data points. To answer your last question: you are looking at relationships that existed in the past and that you observe changed.
May 19	comment	When the Inverse Correlation between the SPX and VIX breaks down @jessica, re your first comment, no, its not a warning sign of anything, maybe one time yes, the other 99 times not. There is no repeated pattern that would give you an edge that can be exploited. You most often cannot take advantage of realized vs implied vol differentials, such differentials can widen out another couple orders of magnitude or can stay out for months/years. All that this correlation breakdown tells you is that traders do not sell as much implied vol as a rising cash market suggests, nothing else. Many buy side PMs have an allergy against being short wings.
May 19	comment	When the Inverse Correlation between the SPX and VIX breaks down @Andrew, having traded for many years various volatility products I can advise to be very careful when drawing conclusions from all such observations ("such", as in investors delta hedge to take advantage of realized vs implied vol differentials [which in itself is hard to impossible to do profitably over the long-term], or your observation of the skew vs correlation relationships). Such observations are anything but stable and thus a very bad recipe for building trading strategies around.
May 19	comment	When the Inverse Correlation between the SPX and VIX breaks down like all observations of "realized" metrics, realized correlation tells you something about data points that lie in the past not what the market implies about the future. Thus, trying to draw conclusions from a breakdown in realized correlations about future investor behavior looks to be a futile endeavor.
May 16	comment	Market Exposure and Hedging You should then change your question. What you actually like to ask is hardly explained in the above
May 16	comment	Add transaction costs to prediction @siamii, you are asking a question that is impossible to answer without a host of other information which you did not provide.
May 16	comment	Why was SSF and Futures on Stocks Banned in US Until Recently A simple google earch answers your question: "In the United States, they were disallowed from any exchange listing in the 1980s because the Commodity Futures Trading Commission and the U.S. Securities and Exchange Commission were unable to decide which would have the regulatory authority over these products.[2]" (Source WIKI)
May 16	comment	Market Exposure and Hedging I do not see how they are not good short term instruments. Many are traded with tight enough spreads and with deep enough liquidity to rival large cap stocks.
May 16	answered	What are the differences between CFD and SSF?
May 16	comment	Market Exposure and Hedging you should look at sector ETFs, which should solve your problem.
May 14	comment	Why C is still in use especially in area of numerical optimization (instead of C++)? @Downvoter, care to comment? I find it disrespectful to down-vote others' work without providing the slightest reasoning behind it.