Could you help me understand why you believe the market values $AMC below $10 after the stock split and conversion? Do you opine that the $APE...
My objective is to find out whether the implied volatility of the (let's say) 4400 strike with a 30 Delta and 43IV has experienced a shift from...
Hello there, cheers once again :) I am grateful for your help. I completely slipped up and overlooked accounting for the IV for those 24h...
What is the purpose? Using the Correlation as a signal that something is off with the implied volatility in KO or PEP? If it's the latter wouldn't...
I'm endeavouring to work out the disparity in implied volatility of an identical strike 24h apart for a S&P500 option. My initial notion is to...
Google sample size t-tests and type 2 error
Wednesday eod, it seems the difference came from me taking the bid/ask vs last price. The last price was recorded ~1h before the close so I went...
Something that just occurred to me: I should be able to take the ln() of the forward formula forward= spot*e^(rfr-div-borrow rate), use the option...
strike iv delta gamma rho theta vega 3975 0.2352 0.5067 0.0033 0.3228 -4.6071 2.0301...
Cheers! I've attached the data I obtained from yfinance eod on the 11th when the market was closed. I used the bid/ask mid for calls and puts (the...
the cash not the forward. I'm using the formula in Hull for the implied dividend implied dividend= -1/T * ln(c-p+Strike*e^(-rfr*T) / S(o))
I am currently trying to tidy up the implied volatility for options on the SPX and I am finding a negative yield for the SPX. The current spot is...
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