436 reputation
27
bio website optionmetrics.com
location New York, United States
age
visits member for 2 years, 3 months
seen yesterday

Dec
5
comment Mysterious disappearance of options from historical datasets
OptionMetrics handles corporate actions and links the options, so you can track the contract before and after such event.
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
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.
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
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
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
Aug
14
comment VSTOXX Implied Volatility Calculation
Matt, is this the GL96?
Apr
26
comment Implied dividend estimation
I see... It is an interesting research point. I may need to experiment with the data though.
Apr
26
comment How to synchronize put and call option-data?
In reality you won't have exact match between call and put. You could send this question to support@optionmetrics.com and they would look why there is no corresponding put to a certain call contract.
Jan
9
comment Value options when the currency’s risk free rate is negative?
Setting the rates to zero would be the first instinct. Thanks!
Dec
7
comment Question on OptionMetrics: “Strike Price times 1000” differs too much from Index price
Yes, you can get an OptionMetrics manual, email me to bernstein.eli@gmail.com