346 reputation
17
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.
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
Oct
22
comment Data feed API that uses REST?
As Freddy mentioned, it all depends on what you build. If you are attempting to build a real-time system you either should be avoiding HTTP APIs or the system you are building is not really real-time.
Sep
7
comment Question on OptionMetrics: “Strike Price times 1000” differs too much from Index price
Just to clarify: Are you seeking the general methodology for filtering the moneyness, or specifically in OptionMetrics data?