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visits member for 1 year, 7 months
seen Jun 4 '13 at 17:04

Easy going... learning and passing what i've learned so far along.. options futures volatility


Sep
24
awarded  Autobiographer
May
10
answered backtesting options strategies in R
May
5
comment Interpolate option volatility in delta space in R
@alex .. sorry.. take a look at this thread.. this code works..stackoverflow.com/questions/15725496/…
May
5
comment Interpolate option volatility in delta space in R
@alex i've done this before.. pulling data from yahoo.. using interp() and rgl package.. .
May
4
comment Interpolate option volatility in delta space in R
the question isn't obviously that clear... no one is sure really what your trying to accomplish..
Apr
15
comment Call option arbitrage opportunity
If the stock never moved.. Haha yes.... The risk premium over and above the intrinsic implies a distro of stock returns ... So all joking aside... No. No arb there .. There's risk from hedging, cost of borrowing.. Etc
Mar
20
comment Why the implied volatilities calculated are so different
becareful for rounding errors.. and no options series will have all the same implieds across the strike space..
Mar
10
comment Data feed that shows individual orders
time and sales..
Mar
6
comment How to distinguish between different types of algorithmic trading
the whole devaluation of the capacity of human intuition is quite disappointing..
Feb
24
comment Leveraged and inverse leveraged ETFs - what is the exact defintion?
just an addition.. its impossible to follow exactly what they are doing to replicate..obviously you already know they rebalence... read below investopedia.com/articles/exchangetradedfunds/07/…
Feb
24
answered Leveraged and inverse leveraged ETFs - what is the exact defintion?
Feb
23
awarded  Citizen Patrol
Feb
23
comment Leveraged and inverse leveraged ETFs - what is the exact defintion?
read this.. it will make sense to you...blog.quantumfading.com/2009/07/12/measuring-leveraged-etf-decay
Feb
23
comment Leveraged and inverse leveraged ETFs - what is the exact defintion?
talking about futures term structure curve isn't related to the question directly... a very verbose and wrong answer this time..there is mathematical decay in these... play out a routine of going up 3 percent and down 3 percent several times and do the same thing with the index it tracks except do it at 1 percent.. and see what i'm talking about..
Feb
20
comment Can a long put trade be profitable through Vega even if the underlying moves upwards?
Sigma is not the sign for Vega or implied volatility.. its the sign for standard deviation
Feb
20
awarded  Supporter
Feb
20
comment How to use financial ratios in a factor model?
Your looking at the dependent variable "price" against independent "factors". Its about finding statistical correlation in the factors to price..
Feb
18
awarded  Commentator
Feb
18
comment Can a long put trade be profitable through Vega even if the underlying moves upwards?
not a very clear question... are you asking about the relationship of implieds to delta moves.. look up sticky delta and sticky strike..
Feb
17
comment What is the market standard for pricing VIX futures?
+1 there is no static replication for the vix... You can literally disperse over the entire vola complex in the spx.. vix futures, vix options, SPX options, all the constituents of the SPX (IE baskets of idiosyncratic risk) short systemic in the index and long idiosyncratic is one.. Model-less valuations can be generated from the most liquid part of the term structure by valuating every thing against the most liquid back month.. like 3 month.. and flatting everything to that figure..