basic idea is to delta hedge strip of options daily vs delta hedging that same strip of options weekly (other freq intervals applies as well)...
posted in economics section but no traction..reposted here What do you see as tail risks in the market now? if we define tail risk as assets...
What do you see as tail risks in the market now? if we define tail risk as assets with good chance of 3std dev move in a day? or 10 std dev in 5...
sorry just 1 more question: a) in order to determine the weights of each spx option strikes, how is the sqrt sign typically taken care of? or...
hi FSU, i owe u an apology... just saw this and you have already answered this qn before... cheers!
ok thks, trickyname. and it should be "Depends on how 'they' run 'their' books." ahha do mm usually flatten risk going expiry maybe using vix...
arh got it from liquidity provider's point of view. thks trickyname! thinking abt it from mm perspective. please correct me if I am wrong. if...
http://www.stanford.edu/~iwrm/simple%20variance%20swaps%20latest.pdf...
saw this in the past http://onlyvix.blogspot.sg/2011/10/how-to-manipulate-vix-settlement-price.html but he retracted later...
hi FSU, in http://www.cboermc.com/media/52743 on pp. 22-23, it was mentioned that there is a way to play the HOSS by being liquidity providers....
VXN is going to be an awesome short soon? (liquidity is an issue though) TskTsk, can i PM you?
NEW OPTIONS ON CBOE SHORT-TERM VOLATILITY INDEX (VXST) LAUNCH THIS THURSDAY On Thursday, April 10 CBOE plans to launch options on the CBOE...
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