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seen Jul 12 at 23:26

Jul
2
awarded  Curious
Jun
14
comment Is the market really Normal. Is Implied Volatility Historically Correct?
Sorry corrected the Upper bands and lower band value. Typo on my end.
Jun
14
revised Is the market really Normal. Is Implied Volatility Historically Correct?
added 210 characters in body
Jun
11
asked Is the market really Normal. Is Implied Volatility Historically Correct?
May
29
answered Gamma vs. Volatility Risk
May
29
asked CDS Spreads and Equity Volatility
May
25
comment Relationship between Large Cap and Small Cap Volatility
I have never seen this kind of behavior in the markets ever. Usually as your getting a correction the VIX generally spikes, were not seeing that here. VIX is making all time lows. I know this bull market isn't over, the econ/earnigns data is still strong, but I fear a one-time, 5%-6%, swoop drop that shakes longs and causes option traders to reprice volatility in line with reality.
May
24
comment Relationship between Large Cap and Small Cap Volatility
Interesting theory selfTight. So your argument is in massive market drop liquidity recedes faster for the small caps than the large caps. Yes it does prevent lower volume of trades but wouldn't the options sellers on the small caps then have better pricing power?? Since liquiduity is dry, the seller is passing that cost to the buyer, would'nt that drive the premiums up?
May
24
comment Relationship between Large Cap and Small Cap Volatility
just looking at where the VIX is compared to RVX, something is so weird now. The ratio came down from both sides, the numerator, the VIX actually came down and from the denominator, the RVX has had a slight bump up. Volatility on the VIX looks EXTREMELY cheap right now. Bad time to sell on the SPX IMO.
May
23
awarded  Nice Question
May
16
asked Implied Probability of Default from Bond Prices
May
13
revised Relationship between Large Cap and Small Cap Volatility
added 67 characters in body
May
13
asked Relationship between Large Cap and Small Cap Volatility
Mar
18
accepted Normally Distributed Returns Become Leptokurtic Due to Compounding
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
Hi Richard, no I simply multiply 1 with (1+norm.inv(rand(),0,1)*......*(1+norm.inv(rand(),0,1). From the graph that shows compounded returns, you can easily tell that distributions doesn't look "bell-shaped" anymore. The values are more clumped in the middle. The range of extreme values is much larger. To Josh's response, yea I am trying to model the returns as they compounded in real markets. $100, up 2%, down 1.6 -->100(1+.02)(1+.016).
Mar
12
comment Why was NASDAQ(or other index) not fluctuating in 70s and 80s?
You need to log the chart. Your not going to see the price if it's either not inflation adjusted or logged.
Mar
12
asked Normally Distributed Returns Become Leptokurtic Due to Compounding
Mar
7
asked Wiener process proof
Feb
27
awarded  Benefactor
Feb
21
awarded  Promoter