# Questions tagged [volatility]

A measure of the variation in price over time. Also a measure of the risk of a financial instrument.

806 questions
Filter by
Sorted by
Tagged with
146 views

### VXX Put pricing

Last week at Friday's close, the Dec 14 37.5 Put options were selling for \$.68 with VXX at \$40.29. This week at Friday's close, the Dec 21 37.5 Put options were selling for \$.38 with VXX at \$40.50....
166 views

### Relationship between asset volatility and debt and equity value

So how I understand it, higher asset volatility implies a higher call option price. The Merton Model holds that the value of equity is a call option. This therefore implies that the equity value must ...
184 views

### How accurate are Black-Scholes estimates of Vega, Volga, Vanna

Wikipedia provides analytical formulas for calculating Greeks. I can get Delta, Gamma, Theta all from Bloomberg. I need Vega, Volga, Vanna for my research. Should I use these analytical formulas for ...
80 views

### Why do we require a continuous volatility calibration while pricing Options [closed]

On pricing Options the volatility surface is represented by a mathematical model (with parameters). What does it mean to calibrate the volatility surface How often has the volatility surface to be ...
115 views

### Can prediction of realized volatility for next day improve delta hedging (gamma scalping)?

Im quite confused. As I understand from standard delta PNL of option + underlying position, pnl is equals to difference between realized and implied vol weighted by gamma. However, as I understood, ...
186 views

### Forward implied vol vs Instantaneous vol

In the Discrete Stochastic Implied Volatility Model which is from the standard Heston Model, the model shows the evolution of forward implied volatilities with time. I thought forward implied ...
143 views

### Rough Volatility Prediction - Gatheral, Jaisson, Rosenbaum Paper

I just read through the paper "Volatility Is Rough" by Gatheral, Jaisson and Rosenbaum. There is a website (link: http://tpq.io/p/rough_volatility_with_python.html) that details the simulations they ...
45 views

### Does it make sense to calculate an option price in future (at t+1)?

Often I ask myself whether it makes sense to calculate the price of a Call at t+1 supposing for example that underlying asset does no move i.e. $S_{t+1} = S_{t}$ ...
26 views

### Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
66 views

### Options volatility margin

A basic question. When traders structure a product in which they are long an option, how is the volatility surface shifted to take into account a margin ? Is it a multiplicative coefficient, say 95% ...
108 views

### Modelling VIX futures backwardation

I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, ...
89 views

### Autocall Calibration

I'm trying to price autocalls. In theory my pricing method is ok (I followed Bouzoubaa's book procedure) but I'm not sure I read anything on calibration of autocalls. Basically my question is what ...
102 views

### Dynamically adjusting the size of a Constant Range Bar (on an intraday fx chart)

Constant Range Bars (CRB) is a type of candlestick charting method that does not draw a new candle every unit of time (like every 1/5/15/30 minutes), but every time the range (high-low) of the ...
19 views

### DCCfit speed up formula

I am estimating the covariance matrix by using GARCH DCC model with function dccfit from package rmgarch. My code is something like: library(rugarch) library(rmgarch) ...
75 views

### Mix a Forward Delta Premium Adjusted and a Forward Delta to construct the volatility surface

I have two brokers who give me delta strategies for USD-COP, but one of them gives me the issue with forward delta, the another one is premium adjusted. Besides, how can I mix them for construct a ...
140 views

### Vega with SVI Gatheral bumps

How would one go about computing a vega profile of an exotic derivative where the volatility surface is modeled using Gatheral's SVI parameterization? In particular, I am thinking about bumping each ...
79 views

### Which stats are the best predictors of model sucess in real time? [closed]

What are the best predictors of real time model success in quantitative trading, i.e. # of transactions, length of backtest, StdDev, Skewness, Excess Kurtosis etc and what are the numerical values of ...
98 views

### Pricing and hedging OTC vanilla options

Most OTC option textbooks are about exotic options. I'm curious how sell-side price and hedge OTC vanilla options e.g. European option. What models do they use? How to forecast volatility (using GARCH?...
87 views

204 views

### Time frame for implied vs realized vol

I've seen charts of implied vol (IV) against realized volatility? What time frames do people generally use to calculate each? For example, do people generally use ATM 1 month call options to get IV, ...
63 views

### How to extend Realized Volatilty to multiple periods

I'm trying to calculate 5-day realized volatility (as proxy for integrated volatility) using 5-min frequency data. I'm working from the paper CORRECTING THE ERRORS: VOLATILITY FORECAST EVALUATION ...
105 views

### How does volatility affect price arbitrage?

Suppose I'm running automated classic price arbitrage on 3 currencies (let's ignore the unfeasibility of this in our day and age). We have currency pairs Gold/Silver, Silver/Bronze, and Gold/Bronze. ...
41 views

### Volatility taxonomy

I have been thinking about this for a while... I can't make my head around it because of the gap that there's still on between financial economics and quantitative finance. Usually, when a student is ...
123 views

### What is relation between option adjusted duration and volatility

I am calculating oasd using implied vol of 15%. What is relation between OASD vs Implied volatility in theory for various maturities. I am running using MMD curve. If anyone recommend any good ...
671 views

### ATM-implied volatility

I am trying to understand the methodology that researchers used to compute ATM-implied volatility with real data. The problem is giving the discrete sets strike prices of one particular option with ...
97 views

### What are the current gold standards for volatility prediction error?

I'm working on volatility forecasting models for equities and currencies. I am using daily data and am interested in producing forecasts for the next n days. To ...
140 views

### How would you arbitrage this?

Assume it to be true that $dS = S\mu dt + \sigma(t)S dW$ where $\sigma$(t) is known. Consider a call option with expiry $T$, currently $t = 0$. For all $t \in [0,T]$, $\sigma(t) < \sigma_{impv}$ ...
65 views

133 views

### IV surface quoted Skew/Curtosis/Putwing/CallWing

I came across a volatility surface quoted in unknown format to me. I have ATM Vol Skew Kurtosis PutWing and CallWing each for particular tenor. Any idea of what these represent/...
88 views

### “At-the-money Implied as a Robust Approximation of the Volatility Swap Rate.” [closed]

Does anyone know where to get this paper? Carr, Peter and R. Lee, January 2004, "At-the-money Implied as a Robust Approximation of the Volatility Swap Rate." On google scholar the paper appears to ...
148 views

### Possible to convert between continuous & discrete volatility without underlying data?

Is there a way to convert between continuous and discrete volatility without the actual return data? For example, calculating on 12 monthly returns: ...
144 views

### References for biased forecasts from EGARCH

A few months ago I've read somewhere that although the exponential GARCH model may lead to higher BIC values in comparison to other extensions of the GARCH family (GARCH, GJR-GARCH, TGARCH, ...), ...
210 views

### Is there a way I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)?

Sorry to bother you with this request but, does anyone know where I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)? Thank you very much.