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bio website quant.stackexchange.com
location United States
age 37
visits member for 3 years, 8 months
seen Oct 1 at 2:05
  • primarily trade options(listed equities).
  • math background + quant masters
  • algorithmic developer

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?
May
20
answered How to scale option pricing components in regard to time
May
12
answered Parameters for pricing option on EDF
May
6
awarded  Revival
May
6
comment What is the best method to compute project volatility in Real Option Valuation?
heres's another simulation approach(not only for correlated inputs, but with more math): etd.auburn.edu/etd/bitstream/handle/10415/147/…
May
6
answered What is the best method to compute project volatility in Real Option Valuation?
Apr
22
answered Free market data (delayed or snapshot)
Apr
22
comment What type of investor is willing to be short gamma?
The only thing I'd add to this is that gamma is typically the tail wagging the dog in these trades. Trades that invole short gamma, particularly when described in terms of "rent", are attractive because of being long theta and willing to risk being short vol. Gamma is seldom a consideration because it's effects are not very pronounced until very close to expiration. The exception here is clearly if you are using close to expiry options as a hedge for the delta of a portfolio.