meta user
network profile
| bio | website | |
|---|---|---|
| location | Charlotte, NC | |
| age | 53 | |
| visits | member for | 2 years, 3 months |
| seen | Apr 18 at 19:39 | |
| stats | profile views | 16 |
Contract financial developer at a large bank in Charlotte, NC.
|
Sep 12 |
comment |
SP500 sector weights - how do they change? Thanks for sharing the reply. |
|
Feb 10 |
awarded | Yearling |
|
Jan 11 |
awarded | Enthusiast |
|
Dec 27 |
answered | how expected moves are priced into options |
|
Nov 28 |
answered | Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this? |
|
Nov 11 |
comment |
Can options volume have an impact on the price of the underlying asset? I also recall a case where a court placed docs about a decision concerning a large computer company. While the court did not make the link public before the close of trading that day, some industrious folks figured out what the URL would be, read the documents, and bought a lot of options to speculate on the direction of the company once the link became officially public. Maybe this is not so much option volume as dramatic change in option volume that does not change the price of the asset but rather predicts what the price will do. |
|
Nov 11 |
comment |
Can options volume have an impact on the price of the underlying asset? I recall an article from Technical Analysis of Stocks & Commodities that described a phenomenon on the closing price of the stock an expiration day as being affected by the volume of puts and calls. One of the author's main points was that the stock price would end up at the place that would cause the maximum loss for the option purchasers (as an aggregate). I would think that the exercise of the option might cause some movement toward an exercise price. |
|
Nov 10 |
comment |
Mersenne twister random number generator in Java for Monte Carlo Sim. I'm noticing a common Java mistake that you probably have already found and corrected. When you say if (sign=true), you are not just testing sign, you also assigning sign to true and then testing it (and it will always be true). You probably intended to say if (sign == true), but in Java this could (and should) be abbreviated to if (sign). Similar problem with else if (sign=false): you probably intended else if (sign == false). This could be correctly written as simply else (because if sign is not true then it must be false). |
|
Oct 5 |
comment |
How do I calculate expectancy from a past series of trades in my trading account? Good point, @babelproofreader. The R multiples are also taking into account the OP's desire to take the amount at risk into account. |
|
Oct 4 |
answered | How do I calculate expectancy from a past series of trades in my trading account? |
|
Sep 28 |
awarded | Commentator |
|
Sep 28 |
comment |
What tools are used to numerically solve differential equations in Quantitative Finance? +1 JQuantLib is interesting and a hand-rolled port from QuantLib. |
|
Sep 21 |
comment |
What benefits are there to employing agile software development methodologies for quants? OK, I understand. Agile is oriented toward software processes. Is your research methodology important, or just a by-product? If the methodology is important, would it serve you to borrow some Agile techniques to help you keep your research on target? Without the strategy, you may find a local maxima. Agile may help you keep the big picture in view. |
|
Sep 21 |
answered | What benefits are there to employing agile software development methodologies for quants? |
|
May 25 |
accepted | Where can I find European and Scandinavian convertible bond prices? |
|
May 23 |
awarded | Scholar |
|
May 23 |
accepted | How to scale option pricing components in regard to time |
|
May 18 |
comment |
How to scale option pricing components in regard to time @user508, thank you for the correction. So when they discount my $1000 T-bill, I should expect to get 7 or 8 pennies each 3 months. (I'm glad it's electronically deposited, lest the postage exceed the check.) |
|
May 17 |
comment |
What are important model and assumption-free no-arbitrage conditions in options trading? Great paper! Point 4 is interesting in a futures context. Futures markets usually display contango, namely a positive sloping curve with further out contracts. This makes sense because of cost of carry and storage fees. However, you will occasionally get the opposite, backwardation, with a negative sloping curve. There have been times when a 3-month T-bill > 10-yr (inverted yield curve) and when West Texas Intermed. spot has been greater than the WTI futures contract (such as when a hurricane is heading toward the Gulf). One says "recession coming"; the other says "get that oil outta Texas". |
|
May 17 |
awarded | Supporter |
