Questions tagged [calender]
The calender tag has no usage guidance.
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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)...
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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 ...
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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 ...
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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 ...
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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 ...
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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 "...
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