I've seen this lack of skew mentioned before. A little googling reminded where I saw it last: see p 227 of the 2004 edition of My Life as a Quant...
You're not happy to use your total delta, total vega and an estimate of dVol/dSpot?
Seems more like a side project than a plan to actually build some proper data infrastructure? Sounds like you could save weeks of work (at least)...
I hope they do. £1m bonus each person for every whale they take down would be ideal.
"Under the Financial Services Act 2012 we must pay the Exchequer all financial penalties received, apart from certain enforcement costs incurred...
Of course it isn't. Good grief. They publish lists of fines they've made each year. If you can spot "a pattern to protect home grown companies"...
Not sure what you mean. It's not too hard to find that account on fund seeder. Currently has $134.6k. Sharpe is 0.5. Been in drawdown since equity...
I think also, better not to think of IV as implying any sort of "move away from here". IV is a measure of dispersion of abs(return) not price. An...
Yes that's all there is really. A market-maker would just "try" a given vol-curve and then adjust the shape of the curve they bid/offer around...
If you've fitted some sort of spline to the market prices wouldn't you be left with residuals where the market prices don't match the fit exactly?
What does IB need the USD for? They need to post the money as margin to the NYMEX. So it's x% of the GC contract margin (currently $5.5k). To...
In that example yes I think you are correct but that's not the normal case. Usually a future will appear/net-off on your account after expiry of...
Think of it this way. If you held 1 euro until expiry and shorted the equivalent USD then you would earn the interest on the EUR deposit and pay...
The August options are on the September EUR future underlying not on the EURUSD spot price. Sep future is currently 1.1362 (this is due to the...
He's a very good speaker. Clearly thoughtful and clear-minded. Shame the interviewer isn't so good but Harding does all his work for him so it's...
Separate names with a comma.