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Results tagged with implied-volatility
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user 20194
The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
-1
votes
1
answer
303
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Implied Probability Density with Puts
The second derivative of the call price at K gives the probability of that strike (implied probability density).
In practice, what adjustments or acknowledgements (if any) need to be made to produce …
- 745
1
vote
Accepted
Marking implied vol surface daily with sticky strike and sticky delta
These are introduced in the GS Note on Volatility Regimes. Oversimplifying (a good amount) they say that the surface will look the same based on strike or delta.
E.g.: sticky strike- if your spot pri …
- 745
11
votes
1
answer
2k
views
Transition Between Volatility Regimes
Emanuel Derman wrote a great paper in 1999 about volatility regimes and the adjustments the market makes during these periods (sticky strike, sticky implied tree, sticky delta, etc).
Has any researc …
- 745
2
votes
Nature of short VIX strategies
In my opinion, holding these ETFs long-term is just a gamble that plays like a continuous double-or-nothing betting game (it's not exactly that, but has similar characteristics). It's not the same as …
- 745