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34 votes
Accepted

How should I calculate the implied volatility of an American option in a real-time production environment?

11 votes
Accepted

Statistical properties of stochastic processes for moving average trading to work

10 votes

What does the VIX formula measure and how does it work?

10 votes
Accepted

How was the old VIX calculated?

8 votes

How can one compute the Greeks on VIX Futures

7 votes
Accepted

Yahoo Finance Implied Volatility Calculation

6 votes

Pair Trading Index Options

6 votes

Scanning a stock database for errors/flaws

6 votes

Is it possible to use a series of option prices to predict the most likely path of an asset?

6 votes
Accepted

Volatility Surface Constituents, do's and dont's

4 votes

VIX Futures data: why happen to have settle price > 0 and Volume = O.I. = 0

4 votes
Accepted

What are VIX back-month futures based on?

4 votes
Accepted

Modified bisection formula for deriving implied volatility for a dividend paying american option

4 votes
Accepted

Constructing an approximation of the S&P 500 volatility smile with publicly available data

4 votes

How can we reverse engineer a market-making algorithm (HFT)?

4 votes
Accepted

Old CBOE SPX options data: listing and expdate issue

4 votes

Accurately calculating Greeks for options near expiration

3 votes

Correlation of Asynchronous Brownian Motion

3 votes

How to know if a time series is trending or mean reverting?

3 votes
Accepted

Sigma moves - annualize return or no?

3 votes
Accepted

SPX Convexity Spread

3 votes

Why is there greater demand for OTM and ITM options than for ATM options?

3 votes

How to calculate implied volatility smile of basket using correlations?

3 votes

What is the implied volatility skew?

3 votes

VXV vs. VIX futures: arbitrage opportunities?

2 votes

Dealers becoming synthetically short an out-of-the-money option

2 votes

What does this options' data mean?

2 votes

Interpolating on the BS parameters and injecting in the BS formula vs interpolating directly on option prices

2 votes

How do I track implied volatility of specific delta?

2 votes

Hedging - calculating option prices using implied volatility surface