2,532 reputation
414
bio website quant.stackexchange.com
location United States
age 37
visits member for 3 years, 7 months
seen Aug 12 at 2:12
  • primarily trade options(listed equities).
  • math background + quant masters
  • algorithmic developer

Feb
7
awarded  Yearling
Aug
15
awarded  Notable Question
Feb
7
awarded  Yearling
Dec
21
asked what is the implied volatility on a basket of options
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"
Nov
11
comment Probability of touching
@WilliamS.Wong - the OP is about probability of touching, before expiration. Read it again.
Aug
22
answered Is this a common variation of sharpe ratio?
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.
Mar
27
awarded  Popular Question
Mar
15
answered What does leverage cost?
Feb
13
answered What's the connection between implied vol curve of SPX and SPY?
Feb
7
awarded  Yearling
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.
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.
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.
Jan
9
awarded  Revival
Jan
5
answered How do you mix quantitative asset allocation with qualitative views?
Jan
5
answered Is equity market making a game of speed?
Dec
30
answered How sensitive are vertical spreads to changes in implied volatility?
Dec
30
answered What are some “Must Know” investment/portfolio management theories out there?