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location London, United Kingdom
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visits member for 3 years, 6 months
seen Nov 1 at 12:27

Computer programmer.


May
23
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
How do I calculate the proportion of the total assets under management to commit to the trade? Would I be correct in assuming some relationship with Historical Volatility (HV) or Implied Volatility (IV)?
May
23
comment Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
The whole point of specifying "arbitrage free" is to ensure that the vol surface is somewhat stable (i.e. its not offering obvious arb opportunities). You may not be able to profit from an obvious arb, but the CBOE certainly can, and it does. You want a non parametric vol surface that takes a tradable grid as input? Browse to intermarkit.com, and pay them $7500 for their local volatility surface library. These libraries exist, they are just extremely difficult to get hold of.
May
23
comment What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?
Around $600 per month for Nanex, and thats just for the feed (exchange fees are on top of that). It provides the entire US market in one datafeed, with no symbol limit.
May
22
comment Recommendation for a library to calculate the local volatility surface?
p.s. Here are the search terms I used: "implied volatility surface", "local volatility surface", "black volatility surface" surface".
May
22
comment Why does the VIX index have *any* correlation to the market?
This is the best explanation I've had so far.