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bio website optionmetrics.com
location New York, United States
age
visits member for 1 year, 10 months
seen May 13 at 20:47

Oct
21
comment Implied dividend estimation
It's the PV of the entire stream. P.S. I'm working on revised model, this one uses one day of data and introduces a lot of noise. It would be better to regress from approx 90 days set of ATM options.
Sep
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awarded  Yearling
Aug
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revised VSTOXX Implied Volatility Calculation
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Aug
29
comment VSTOXX Implied Volatility Calculation
looks a bit high to me, I'll research further.
Aug
29
comment VSTOXX Implied Volatility Calculation
@MattWolf, it's not unusual for vol-of-vol options to reach these levels of implied vols, especially for near term expiration (note that the first chart is 30 days.) Longer term options (180-220 days) reach 45%-50%. Take a look at Brenner et al. specifically p.29 "Time series of VIX options implied vol": fma.org/NY/Papers/The_Term_Structure_of_VIX.pdf I'd love to hear your insights.
Aug
21
comment VSTOXX Implied Volatility Calculation
absolutely, I just need to compile it into appropriate format (may take some time.)
Aug
21
comment VSTOXX Implied Volatility Calculation
Matt, I implemented both models and there are interesting and useful results. If you ever think about trading VSTOXX, there is already implemented and calibrated model.
Aug
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revised VSTOXX Implied Volatility Calculation
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Aug
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revised futures wiki excerpt
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revised futures wiki description
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wiki created futures description
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wiki created futures excerpt
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suggested suggested edit on futures tag wiki
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suggested suggested edit on futures tag wiki excerpt
Aug
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accepted VSTOXX Implied Volatility Calculation
Aug
14
awarded  Commentator
Aug
14
comment VSTOXX Implied Volatility Calculation
I'll see the results, of course, but it's a great start. I also wonder what is the industry consensus in this respect. Hopefully, we will see more activity/voting in this thread.
Aug
14
comment VSTOXX Implied Volatility Calculation
Yep, that's where I started, I'll try GL96 and then Whaley. Thanks a lot!
Aug
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revised VSTOXX Implied Volatility Calculation
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Aug
14
comment VSTOXX Implied Volatility Calculation
Matt, I understand how VSTOXX is calculated, the calls and puts involved are the EuroStoxx 50 options. What I need is to calculate the implied volatility for options on VSTOXX: eurexchange.com/exchange-en/products/vol/vol/14550