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visits member for 2 years
seen May 1 at 21:18

equity/index options trader; masters in financial engineering; masters in applied mathematics


Dec
15
awarded  Yearling
Sep
24
awarded  Autobiographer
Dec
15
awarded  Yearling
May
19
comment When the Inverse Correlation between the SPX and VIX breaks down
@Freddy, I meant this in the short term and you are right, it is very hard to profit from this in the long term. jessica, if you look at implied volatility of equities derivatives, it is actually quite different. you don't have some of the basic properties in index options such as skew decaying approximately at square root of t, as a function of time, implied volatility decaying square root of t, etc. that is because the chance of adverse selection in equity derivatives is much higher since there is a chance you will be trading with an insider. whereas index, hard to move it much at all
May
18
revised When the Inverse Correlation between the SPX and VIX breaks down
added 740 characters in body
May
18
comment When the Inverse Correlation between the SPX and VIX breaks down
message too long, look at edited post
May
18
answered When the Inverse Correlation between the SPX and VIX breaks down
Apr
10
revised Statistics of difference between two GBMs
added 123 characters in body
Apr
10
revised Statistics of difference between two GBMs
deleted 12 characters in body
Apr
10
answered Statistics of difference between two GBMs
Apr
9
awarded  Peer Pressure
Apr
8
awarded  Critic
Mar
26
comment How does the number of free dimensions of a model affect its required size of sample?
en.wikipedia.org/wiki/Overfitting I do the above. I have a training sample, a validation sample, and an out of sample
Mar
26
answered How does the number of free dimensions of a model affect its required size of sample?
Mar
15
comment Theta's effect for OTM options
sorry.. haven't had time yet.. at work
Mar
15
awarded  Editor
Mar
15
revised Theta's effect for OTM options
added 156 characters in body
Mar
15
answered Theta's effect for OTM options
Mar
13
awarded  Commentator
Mar
13
comment main arbitrage & statistical arbitrage concepts
I'll answer some questions if you tell me what your profile picture is a volatility smile of, why you are going flat vol, and why are you linearly interpolating :)