Timeline for How to shock the IV surface w.r.t VIX and keep AOA
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
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| Oct 1, 2019 at 9:00 | history | tweeted | twitter.com/StackQuant/status/1178957865467465728 | ||
| Sep 27, 2019 at 18:49 | comment | added | raptor22 | Sorry maybe I wasn’t clear but the initial shock to the VIX is relative (multiply by 2). You mean that if I scale each slice (fixed tenor) by some scale then I don’t introduce butterfly arbitrage? | |
| Sep 27, 2019 at 18:39 | comment | added | will | Would you be happy with a relative shift rather than an absolute shift? If you do this then arbitrage concerns go away. | |
| Sep 27, 2019 at 16:40 | history | edited | Alex C | CC BY-SA 4.0 |
clarify abbreviation in title
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| Sep 27, 2019 at 12:04 | history | edited | raptor22 | CC BY-SA 4.0 |
added 10 characters in body
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| Sep 27, 2019 at 11:04 | history | asked | raptor22 | CC BY-SA 4.0 |