Questions tagged [options]

A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.

1,281 questions
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Solving for Implied Volatility Vega gets stuck at 0 (Python)

So my goal is to calculate option greeks with as few manual inputs as possible. I managed to get the IV for at the money options but then when I try further OTM strikes my results get completely ...
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Is there a simple, intuitive derivation (using Taylor series) of the following approximation to Vega-weighted Implied Volatility?

The approximation is: $$\sigma \approx \frac{\sum V_j\sigma_j}{\sum V_j}$$ Background information from the first answer to this post: "Say that you have a portfolio of options with prices $P_j$. ...
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Where to Find Foreign Countries Index Option Data

OptionMetrics database contains option data for several US indexes (SP500, SP100...). But I don't see any option data for foreign indexes. Is there a place from which I could get/purchase the options ...
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What is market standard model in equity, FX and interest rates exotics?

Is there any industry consensus about the model to use for pricing exotics in equity, FX and interest rates? I assume that for vanilla options they all use Black model, but how about exotics? Also, ...
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Equity Derivatives Question [closed]

I'm preparing to take a test on equity derivatives and have met with some difficulty, so I need some help on the following question: Please analyze the following share purchase plan. Assume client ...
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Barrier Option Valuation

Good day, A reverse knock-out barrier call option expires worthless if the asset price ever goes above a given barrier level. Calculate the value of this barrier option struck at $K = 3$ with ...
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Hedging strategy for American Option

Good day, I was asked to devise a hedging strategy for an American Option given the following claims. Note, $r=0$ and the underlying stock pays a dividend of $1$ at time $t=1.5$ \begin{...
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Is there an advantage trading options based on deep in the money Open Interest Volume ratio

Problem: Deep in the money options contracts will be assigned at expiration date. Higher Volume ratio of deep in the money contracts at expiration calls or puts leads to day after expiration date we ...
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Using QuantLib Python to value FX options using stochastic volatility

I would like to use QuantLib (and in particular the python wrapper) to value FX option using the Heston model. Thanks to http://gouthamanbalaraman.com and all of the articles therein : in particular ...
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Option value with different spot prices [closed]

I found this post online which is plotting different results for option value and greeks depending on spot price. Why would someone want to do calculate the value of the option with different spot ...
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Correct beta weighted delta options formula?

Is this the correct formula for beta weighted delta: http://www.nishatrades.com/blog/beta-weighted-delta I've seen this What is the formula for beta weighted delta and gamma? but they seem to be ...
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Is there a way to pull SPX index option open interest daily data?

Currently I just use Bloomberg API in Excel for preliminary data analysis and manipulation, and I have one function call that gives me the ticker and IV today ...
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Where can I get some Inflation Option example quotes (year-on-year and zero-coupon)

I am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the Inflation year-on-year options, ...
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What is the second derivative with respect to price of a put option? [closed]

What is the reasoning/meaning behind the second derivative of a put option
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What is the true “value” process of American derivatives?

Consider a continuous-time market where LOOP (law of one price) holds. The first fundamental theorem of asset pricing states explicitly that in the absence of arbitrage, the risk-neutral measure ...
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Fitting Function for Skew

I am faced with having to fit skew/smile to option quotes with different strike and same maturity. In order to keep things reasonably simple and to avoid potential artifacts from fitting higher order ...
From Black-Scholes model, I'm trying to prove: $p(S_t>K) = N(d_2)$ No luck yet! Can anyone suggest a reference showing that how to obtain this equation? All I get is: \$S_t = S_0e^{ (\mu-0.5 \...