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| bio | website | quant.stackexchange.com |
|---|---|---|
| location | United States | |
| age | 36 | |
| visits | member for | 2 years, 3 months |
| seen | May 7 at 1:01 | |
| stats | profile views | 153 |
- primarily trade options(listed equities).
- math background + quant masters
- algorithmic developer
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Feb 7 |
awarded | Yearling |
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Dec 21 |
asked | what is the implied volatility on a basket of options |
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Dec 21 |
comment |
What is the best method to compute project volatility in Real Option Valuation? I just clicked the link and the paper came up fine... "ESTIMATING PROJECT VOLATILITY AND DEVELOPING DECISION SUPPORT SYSTEM IN REAL OPTIONS ANALYSIS" |
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Nov 11 |
comment |
Probability of touching @WilliamS.Wong - the OP is about probability of touching, before expiration. Read it again. |
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Aug 22 |
answered | Is this a common variation of sharpe ratio? |
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Aug 8 |
comment |
What is the best live options data API? Nanex is the best reasonably priced for listed options/equities, and the performance is really good with the advanced feed compression that they do. It can be accessed from C, C++, C#, Java, etc... they have several helpful starter examples on their site. |
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Mar 27 |
awarded | Popular Question |
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Mar 15 |
answered | What does leverage cost? |
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Feb 13 |
answered | What's the connection between implied vol curve of SPX and SPY? |
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Feb 7 |
awarded | Yearling |
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Jan 12 |
comment |
Is equity market making a game of speed? The quote moves in response to trades, or other quotes, not directly in response to moves in the market. The point I'm making is that you don't need to be 'fast' per se, you just need to be about as fast as the other market makers in your stock. That is sufficient. |
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Jan 9 |
comment |
Is equity market making a game of speed? I suppose it comes down to how one defines 'fast' (seconds, milliseconds, microseconds, etc...). Low liquidity generally means that there are fewer trades going on. The speed necessity tends to be a result of increasing levels of competition for order flow. Low liquidity stocks typically dont have that much competition for order flow, so relative to highly liquid issues(more competition), a market maker does not have to be as fast to get the flow in an illiquid market. |
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Jan 9 |
comment |
How sensitive are vertical spreads to changes in implied volatility? Yes, because an increase in vega means an increase in option premium, so if you're long an option that's an increase in your PnL line, and the opposite is true if you're short an option. In a verticle spread, you're long and short options for the same expiry. When the strikes of these options are somewhat close to each other, this effect (higher vega increases option premium) causes the PnL from both options to offest giving the PnL graph the flattening tendancy that I mentioned. |
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Jan 9 |
awarded | Revival |
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Jan 5 |
answered | How do you mix quantitative asset allocation with qualitative views? |
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Jan 5 |
answered | Is equity market making a game of speed? |
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Dec 30 |
answered | How sensitive are vertical spreads to changes in implied volatility? |
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Dec 30 |
answered | What are some “Must Know” investment/portfolio management theories out there? |
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Dec 30 |
comment |
how expected moves are priced into options calculating the move and its likelyhood, from the option price is not difficult, but that should probably be a separate question. |
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Dec 30 |
answered | how expected moves are priced into options |
