If you create an asset of KO/USD over PEP/USD you create KO/PEP. And if you take the vol of that let’s say it’s 9%. Think of the KO/PEP similar to...
Im trying to calculate fair value for KO Ivol given the following information. PEP/USD Ivol = 30% PEP/KO Ivol = 9% PEP/USD and KO/USD Implied...
He trades var swaps from his ToS account. He is as legit as they get.....
Index or ETF vol is made of 2 components - single stock vol and implied correlation between the single stocks. When vol increases, Implied...
IIRC Bouchaud also wrote a paper explaining the correlation between return distributions of a strategy and PnL - the more skewed the strategy, the...
yes for someone in the usa.Let me edit. Ok thanks Rob. Ill let him know
Hey ET, been awhile. Asking for a friend who lives in the USA - what vendors other than IBKR allow you to trade derivatives (vix futures...
Subjective TA being self-fulfilling is talked about quite often. If you take a step back and try to play out a few toy examples in your head or on...
start trading these! This might be a losing trade for dest but that should not discourage you. Take his trades, post your fills and get feedback....
Greeks are simply your exposures to certain changes in the world. Delta -> your exposure to the change in the underlying price Vega -> your...
I am not sure either is an asset or a drag. Its about good decision making and you have to live with the variance. I have seen guys on this...
Hi everyone, I am trying to replicate an ETF using the least amount of components as possible. There are really 2 parts to my questions. 1) How...
Are we talking 50% on an annual plan? @Matt_ORATS
thank you for the help kevin!
I guess i should have looked at the prospectus first :p I read over a white to see the formula they were using (my original post), but did not...
code is working, thanks. I am still a little confused on the output. The output is .31. When raised to the power of .5 I get the same result as...
Attached is the SandP500 component ivols + weights. ICJ is trading at 51% right now and SPY 30d ATM vol at 19% Using the attached data:...
Kevin im having a hard time getting this code to work (getting a strange number). Was there a typo somewhere? I re-did this example with a 100...
hey guys I need a bit of math help. I am trying to compute the implied correlation of an ETF as i am trying to find expensive/cheap ivol. I was...
At first I was not too sure if your original post was serious. But it looks like you are being serious. Instead of focusing on the exact question...
Separate names with a comma.