network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 4 months |
| seen | 9 hours ago | |
| stats | profile views | 45 |
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9h |
asked | Approximating a function with trignometric polynomials |
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Jun 9 |
asked | Volatility Return Distribution/Garch Modeling |
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May 27 |
answered | What is lagged interest rate? |
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May 27 |
asked | Relating Quantitative Easing to the rally in the SPX |
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May 19 |
comment |
When the Inverse Correlation between the SPX and VIX breaks down I see. In regards to the delta hedging Andrew mentioned. When your portfolio is delta-neutral, since you have hedged all the price risk, assuming you continuously re-balance the portfolio for any new delta gains/losses, are your speculative profits based on the spread between realized vol and implied vol? Or the spread between the implied vol you purchased the options at and the new implied vol the market is pricing for the option at the current moment. |
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May 19 |
comment |
When the Inverse Correlation between the SPX and VIX breaks down @Freddy, two questions 1) "Many buy side PMs have an allergy against being short wings." -- I see. In other words most AM firms aren't long straddles or short condors/butterflies as the market rises. 2) "All that this correlation breakdown tells you is that traders do not sell as much implied vol as a rising cash market" -- If traders aren't short options on the way up => traders aren't selling vol => option prices rise along with the index. Am I understanding the logic. I apologize, I know this must feel akin to teaching a chimpanzee from your end. I appreciate your patience and help. |
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May 19 |
comment |
When the Inverse Correlation between the SPX and VIX breaks down ..(contd) When you delta hedge (price hedged) are your speculative profits based on the spread between realized vol and implied vol? Or the spread between the implied volyou purchased and the new implied vol the market is pricing at the current moment. Freddy, your experience with vol products is greatly appreciate, what do you think? Am I looking at randomness trying to find a relationship the doesn't exist? |
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May 19 |
awarded | Commentator |
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May 19 |
comment |
When the Inverse Correlation between the SPX and VIX breaks down Hi andrew, thank you for the input. While options on the index may be cash settled, the options on the underlying stocks are not. This is again a collection of 500 stocks. If the collection of individual stocks move higher so will the index. |
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May 18 |
comment |
When the Inverse Correlation between the SPX and VIX breaks down That is true. The correlation does break down when the SPX is on the up move. However I wonder what one can infer if the SPX are moving in the same direction (positive correlated). IS this a warning a sign of future price drops? Could it be some big player moving the market with a big order? Could it be because of folks selling calls, buying position in the physical to deliver because of a squeeze? |
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May 18 |
asked | When the Inverse Correlation between the SPX and VIX breaks down |
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Apr 26 |
comment |
Time Varying Volatility Does Autocorrelation imply Heteroskedacity? |
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Apr 26 |
asked | Time Varying Volatility |
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Apr 17 |
comment |
Implied Volatility Calculation yea, saw that one too. Newton method was used here. am I right? But how is IV calculated? Anyone here use a standard procedure? |
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Apr 17 |
asked | Implied Volatility Calculation |
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Apr 7 |
comment |
Testing Significance of Correlation Thanks for your response Wisent. Though the whole point of my question is to find a way to test whether a correlation is significant and indeed not spurious. Assuming you have an economic/financial reason as to why the correlation holds, do you think testing the significance of the correlation is enough to preclude that the relationship between the two variables is not spurious? |
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Apr 7 |
asked | Testing Significance of Correlation |
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Mar 29 |
comment |
Assessing Forcasting with Correlated Residuals Hi John, An arimax model. So AR terms and some structural/fundamental variables that I think drive the CPI. |
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Mar 29 |
asked | Assessing Forcasting with Correlated Residuals |
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Mar 25 |
asked | Does implied vol vary for calls vs puts? |
