All Questions
14 questions with no upvoted or accepted answers
3
votes
0
answers
216
views
Option-like behaviour of momentum strategy
this may come as rather vague question, since I do not have something very exact issue on my mind. Nevertheless, I think this is an interesting question and must have been thought by some other people ...
- 94
3
votes
0
answers
134
views
American CRR implied vols
Given I have all other parameters lined up with the market (borrow rate, dividends...), if I imply volatility using CRR tree from american call and put with the same strike and expiry, will I always ...
- 31
2
votes
0
answers
297
views
spinoff entity value / adjusted close of a spinoff
When company $A$ spins off company $B$ (i.e. $A = A'+B$), how do we know exactly the adjustment factor of $A'$ and $B$ before trading
Note I am not asking to value the new companies. That's a whole ...
- 817
2
votes
0
answers
51
views
Where could I get European non-dividend option data
I am pretty new to option pricing. I got a task asking me to price a stock option, which should be an European non-dividend option, and compare my price to its quote. I used to use TSLA data ...
- 21
2
votes
0
answers
382
views
VIX/SPX Realized Beta Calculation
In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that
3M VIX/SPX realized Beta calculation:
Use a blend of 1st, 2nd and 3 ...
- 2,662
2
votes
0
answers
84
views
Capital increase: which stock price to use as input to Black-Scholes formula?
For an exercise we have to calculate the theoretical value of a scrip / preferential right on its issue day (23 April) in the context of a capital increase. The scrips are issued on 23 April. The ...
- 21
1
vote
0
answers
4k
views
What does it mean to be long the skew?
Consider an equity option such as SPY and I'm long the skew, do I make money if puts raise in price and calls decrease or the opposite?
- 81
1
vote
0
answers
100
views
Attributing hedging p&l to several options
Given a delta-neutral portfolio of one underlying stock and several options,
I'm trying to attribute stock trading p&l to the options
(assuming the underlying is traded only for hedging purposes)....
- 111
1
vote
2
answers
201
views
Practical approach to get average option IV
Is there a practical method to calculate some sort of average IV for each level of moneyness of equity options?
I'm thinking of an algorithm to find mispriced options and do to so, we need to figure ...
- 296
1
vote
0
answers
153
views
Credit spread model
Let $c(t,T):=-\frac{1}{T-t}[\mathrm{ln}(P_1(t,T))-\mathrm{ln}(P_0(t,T))]$, with:
$c$ measure of how a company is prone to fail;
$P_0(t,T):=e^{-r(T-t)}$ price of no-defaultable bond.
$P_1(t,T):=\...
- 141
1
vote
0
answers
303
views
SPX/VIX Implied Beta Calculation
In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that
3M VIX/SPX implied Beta = (VIX 3M IVOL*VIX 3M futures)/SPX 3M IVOL
...
- 2,662
0
votes
0
answers
284
views
What is the probability of touching point A first?
The probability of a stock touching a point A which is below the current spot price is 35%, and the probability of the stock touching a point B which is above the current spot price is 20%.
How can I ...
user59094
0
votes
0
answers
140
views
Valuing Long-Term (5+ year) Cliquet Options
I'm trying to figure out how to value long term equity cliquet options with expirations 5+ years out. Even for SPX cliquets, vol surfaces are from what I can tell non-existent. Where would someone get ...
- 111
0
votes
0
answers
217
views
0 Delta on Forward starting Equity basket option
I wanted to confirm the inherent reasoning behind 0 delta on a weighted equity basket option. For instance, if we have a basket option with a forward starting initial fixing date, we can expect the ...
- 11