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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.
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?
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.
Dec
30
answered how expected moves are priced into options
Dec
20
comment What is the market standard for pricing VIX futures?
Theoretically, any future can be replicated with a bank account and the underlying. In practice, in this case however, the difference in expiry and settlement make that kind of direct replication infeasible, without basis risk. As I said, a good theoretical model to use is variance gamma. A good approach to use in practice is to use the options on SPX. Also not a precise hedge/pricing instrument, but very liquid which cuts out a lot of risk. You can find some articles about both of these issues on the CBOE's website.
Dec
6
answered What is the market standard for pricing VIX futures?
Nov
4
answered Standard Deviations out the money where options will respond to underlying asset price changes
Oct
28
comment In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small?
@CQM, thanks for the feedback. Do you mind marking this the accepted answer?
Oct
21
answered In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small?
Sep
6
awarded  Nice Question
Jul
18
answered How to replicate a digital call option
Jun
23
awarded  Nice Answer
May
30
answered CFTC CPO Exemptions
May
27
answered Modeling liquidity effect on option prices
May
24
answered Utility to download historical Implied Volatility data from Interactive Brokers?