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location Florida
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visits member for 1 year, 8 months
seen Jun 4 '13 at 17:04

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


Feb
16
comment how to define liquidity in equity, index, and etf options
sorry my post didn't go through from my phone last night. i'm not looking for something as granular as has been discussed..i need a list generated from simple data attributes available from the net,IQfeed, or my broker IB...
Feb
16
comment how to define liquidity in equity, index, and etf options
That's to difficult for the lever
Feb
16
comment how to define liquidity in equity, index, and etf options
is there a quick and dirty way to filter a large list? i'm not moving markets with my size..
Feb
15
awarded  Student
Feb
15
comment how to define liquidity in equity, index, and etf options
I found a paper on it... think about the spread as a cost function to a market maker.they typical hedge with other options if at all possible so.. the frequency of trades/volume. That should give me relative liquity the best..
Feb
15
asked how to define liquidity in equity, index, and etf options
Feb
13
awarded  Teacher
Feb
13
comment Why do we use GARCH(1,1) to predict volatility?
great.. so tell the guy about the other models.. i was just speculating as to why the guy got that impression.. just trying to contribute :)
Feb
13
comment Why do we use GARCH(1,1) to predict volatility?
Thanks! great response..... i don't use Garch to trade... think about what garch will tell you if you looked at it right before earnings.. I like how you talk about relative pricing.. a trader or maket maker would look for relative pricing anomalies.. i think if foward vol in the back of the term structure is priced the best .. that is best to use as a basis.. buck vega or root vega..
Feb
13
comment Why is short term implied volatility typically higher?
are you not pointing out how the risk conversion to spot(underlying) is basically changing and being converted to outright just gamma/theta..at some point on the term structure near expiration you are just outright calling the terminal distribution. One thing i think is missing that you caught well is demand drives price.. Asking oneself.. why would the market demand prices like that... It would be thought that "gamma" exposure has a higher relative risk related to hedging.if Convexity effects had an order it would go up relative to time left to expiration.. Look at vola by delta as well
Feb
13
answered Why do we use GARCH(1,1) to predict volatility?