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Questions tagged [calender]

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5 votes
2 answers
165 views

Multicurrency holiday calendar math and combinations

Trade Example I have recently observed a trade which calculated spot (T+2) from Friday 16th June 2023 for a EURUSD FX product and derived the date Tuesday 20th June 2023. In EUR under the target ...
Attack68's user avatar
  • 10.5k
2 votes
2 answers
496 views

Intuition behind calendar spread max loss

With a calendar spread (buying back, selling front), max loss is defined as some variant of "maximum potential loss is the cost of opening the trade (Premium Paid − Premium Received = Total Debit)...
quantumtightening's user avatar
1 vote
1 answer
399 views

Proof of Calendar-Spread-Inequality

The Calendar-Spread-Inequality compares the prices of two European Call Options on the same underlying non-dividend-paying stock, but with different maturities $T_1<T_2$. Denote the value of a call ...
TheHunter's user avatar
  • 133
2 votes
0 answers
209 views

Relationship between Calendar Spread Arbitrage and Probability Density Function (pdf)

We all know that the butterfly spread no-arbitrage condition can be expressed as an inequality restriction on the second-order derivative $\partial ^2C/\partial K^2 \geq 0$, which also means the ...
Don's user avatar
  • 21
4 votes
1 answer
1k views

Splitting theta from vol carry

What is the best way to splitting theta and vol carry on say a long calendar trade? Basically trying to split the "good" carry component of a trade from the "bad" carry (theta) which could be earned ...
StackOverDose's user avatar
3 votes
1 answer
525 views

Applying Time Delay Neural Network to financial events

I have an IT background and I would like to use data from a forex calendar like this one to predict prices. The problem is that calendar news impacts can last for days or weeks or even can effect ...
MithPaul's user avatar
1 vote
1 answer
105 views

Where can i get a feed for country specific economic announcements?

I am looking for a feed for country wide economic announcements. For example CPI announcements etc. I currently use http://www.fxstreet.com/economic-calendar/ but I have to manually go there and "...
Dez Udezue's user avatar