lionfish42 - that is true for the old VIX, however the new VIX does not assume normal distribution. Also VIX is volatility index - it is...
Today, Sep 23rd morning IVs are Oct 42.8% Nov 37.7% Expected earnings jump about 6%
Maybe your software reports vega in 100s ( 1 instead of 1% ), so 360 is really 3.60 ?
Hi falcon, Just like dmo said, you need to correct the sign, and add gamma because "you will make less money than your deltas would seem to...
Let's say you're looking at BBBY. Implied vols in my software are Sep 34.9% (7 trading days) Oct 40.7% (27 trading days) Nov 38.1% (52 trading...
This is not a holy grail by any means, but at any point in time one can calculate implied earnings jump, and implied post-earnings volatility....
I second riskarb: correlations are very unstable, making betas unreliable. Nice idea - but really just does not work in practice (unless you're...
Your best bet in automating sterling is C# (which is quite similar to java) or VB.NET . Sterling is not difficult to automate, just a crappy platform.
Calculate theta for different time to expiration holding all other parameters constant. The function will have a point of maximum.
I don't know of a formula, but why do you want it?
Dual gamma to gamma is same as dual delta to delta :) Formally it is the second derivative w.r.t strike; how fast dual delta changes with...
Dual delta is defined as derivative (rate of change) of price with respect to strike. For example CME front month 320 call has mid-market of 17.50...
What was your last trade?
Hi Miz. Here's something constructive: paper-trading. Tomorrow when the market opens check S&P quotes and pretend you did a trade. Write down the...
Not CME, but CFE, subsidiary of CBOE. In Europe you have a number of indexes, but AFAIK only VDAX is traded.
This would work only for European options. For American options (like IWM) the method substantially changes the results of calculations.
Think about when does early exercise is actually optimal: if you have a call it is not an issue unless right before underlying pays a dividend and...
That's not an easy one. I heard about http://www.justoptions.com/ They're subsidiary of peak6, but you should expect to put up some of your...
What do you mean, M? Or is it a joke?
It's not a perfect solution, you'll still have to do some work.
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