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5 votes

Options related factors forecasting cross section of returns

There is plenty of research! Below I list but a few examples of options being used to predict future stock returns (either in aggregate or in the cross-section). Of course, you can also use current ...
Kevin's user avatar
  • 16k
2 votes
Accepted

Infer implied volatility skew/smile from implied distribution

This is not an answer to the question but too long for a comment. There are a bunch of issues with your code. In roughly decreasing order of importance: Sanity-checking your prices should immediately ...
LocalVolatility's user avatar
1 vote

Infer implied volatility skew/smile from implied distribution

It looks like your approach to calculating IV is generally on the right track. However, to ensure accuracy and address any discrepancies in the implied volatility smile you're observing, I would ...
Theo's user avatar
  • 113
1 vote

Smile Skew and Convexity Exposure

skew and convexity are important concepts in the world of options trading, and traders do have ways to quantify exposure to these factors. Skew: Definition: Skew measures the difference in implied ...
Amit Kumar Jha's user avatar
1 vote
Accepted

Assessing the value of risk reversal and the fly

Think of the risk reversal as being priced according to the expected vol/spot behavior over the life of the contract. So if you have a market dynamic right now whereby implied vols move significantly ...
dm63's user avatar
  • 17.2k
1 vote

Calendar spreads under black scholes world

In commodities, it's not necessarily arbitrage. In the example of oil, if oil has a very low price for delivery in March and a very high price for delivery in April, you may in fact be able to lock in ...
Rylan's user avatar
  • 625

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