The least squares against all expiries makes more sense then a closed form algebraic solution. Thank you.
It looks like you are taking differences even though sqrts don't commute with subtraction? Consequently earnEffect will be increasing as time...
You are not dynamically hedging. With a static position comes a static terminal PnL diagram but when hedging the final PnL is path dependent.
Assuming Realized vol = Implied vol, what are the best and worst paths? Best: Stock moves the same direction every day at less than IV until...
[ATTACH] [ATTACH] [ATTACH] 10 years of daily returns. Also made sure to do 30 days of 5 min returns etc. [ATTACH] Daily (as opposed to...
Something I have noticed with VXX before it broke is that its IV was correlated with the ETN price. So being long vol via puts is working against...
Realized 21 day vol has not been above 31% for the past 12 months and is only 21% now. An IV of 40% sure would be nice for vol sellers though.
FDX calendars jumped for the same reason that market wide calendars jumped post CPI print. But FDX calendars actually reversed back to their...
Separate names with a comma.