356 reputation
17
bio website optionmetrics.com
location New York, United States
age
visits member for 2 years, 1 month
seen Oct 28 at 16:59

Oct
28
answered Moneyness and option prices
Oct
8
answered What is the fastest way to decode the FAST protocol for market data?
Oct
8
comment Constructing Volatility Smile from Implied Volatility & Delta
@nsw, I believe "options on a particular stock" indicates that the context is equity options.
Sep
30
answered Option pricing ? Where to get the dividend yield from?
Sep
30
comment Data provider for daily futures settlement prices
What exchanges in particular are you looking for?
Sep
30
comment Data provider for daily futures settlement prices
Generally, this is the list of data sources: quant.stackexchange.com/questions/141/…
Sep
16
comment Finding historical data for indices
Absolutely agreed. I don't know how many Ph.D. students there are in your institution, but it definitely takes a few in the department to justify the purchase. Just as a nice resource, here is the collection of interesting papers: optionmetrics.com/research.html
Sep
12
comment Finding historical data for indices
@berkobay, it's either affordable or quality :). As an academic, you can check if your university is subscribed to OptionMetrics.
Aug
27
comment Constructing Volatility Smile from Implied Volatility & Delta
The spot price is publicly available on yahoo/google finance or even the company website. One can back out the strikes and then plot the smile using strikes on X-axis and implied vol on Y-axis.
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
6
awarded  Yearling
Aug
29
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
21
revised VSTOXX Implied Volatility Calculation
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Aug
15
revised futures wiki excerpt
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Aug
15
revised futures wiki description
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Aug
15
wiki created futures description