This is a very interesting topic. As sle says, most of the tools of the trade are highly proprietary, and its unlikely anybody wants to give away...
If you're dealing with those kind of wings, its probably best to eschew explicitly calcing the theta decay (unless you're capturing the daily...
I second. Spot on portrayal about life in a bank (albeit one with seemingly no risk mgmt). Also, 'Traders, Guns and Money', 'The Poker Face of...
When VIX futures expire, there's exactly 30 days to the next option maturity, ie at expiry, there's only one strip to trade. I assume that...
Hi sle, Can you explain this, or help point me in the right direction? I know there should be a convexity adjustment related to the variance of...
Agree - I'm certainly not proposing there is an arb here, nor would it be sensible to engage in it if so. Rather, my interest in this ostensible...
Back of the envelope calculation: ATFM vega ~ 40bps x sqrt(T) so 0.4% x 1.414 x $1250 x 0.3vol x 2 (put and call) = $4.2
Thanks Atticus. I'm not entirely sure I agree that 30bps is insignficant. Its about $4 on the Dec13 straddle, which is almost the entire...
Hi, I'm having difficulty reconciling long dated vol of ETFs vs its benchmark index. For example Dec13/14 SPY vol seems systematically cheaper...
Risktaker, you're reading way too much zero hedge to be healthy. Cut back man.
I'm in the same boat. Anybody? Thanks.
Separate names with a comma.