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  1. modeling the vol surface when missing (quite a bit of) data

    Baozi Thanks for the additional color. One way to see if wings are overpriced is to look historically. Using a slope and derivative can identify...
    Post by: Matt_ORATS, May 22, 2019 in forum: Options

  2. modeling the vol surface when missing (quite a bit of) data

    James Yes, we calibrate the strike skew with a slope and derivative. We also have an approach for wings, < 15 delta but that is more nuanced. I...
    Post by: Matt_ORATS, May 22, 2019 in forum: Options

  3. modeling the vol surface when missing (quite a bit of) data

    Hi Baozi I just put up a blog for you explaining an approach...
    Post by: Matt_ORATS, May 21, 2019 in forum: Options

  4. New to trading options. Need advice on Put option now in bankruptcy

    I see that after hours it is way down, trading 0.10 down 72%, nice put buy. You don't say which put you bought but it doesn't matter that much...
    Post by: Matt_ORATS, May 10, 2019 in forum: Options
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