basic idea is to delta hedge strip of options daily vs delta hedging that same strip of options weekly (other freq intervals applies as well)...
posted in economics section but no traction..reposted here What do you see as tail risks in the market now? if we define tail risk as assets...
What do you see as tail risks in the market now? if we define tail risk as assets with good chance of 3std dev move in a day? or 10 std dev in 5...
sorry just 1 more question: a) in order to determine the weights of each spx option strikes, how is the sqrt sign typically taken care of? or...
hi FSU, i owe u an apology... just saw this and you have already answered this qn before... cheers!
ok thks, trickyname. and it should be "Depends on how 'they' run 'their' books." ahha do mm usually flatten risk going expiry maybe using vix...
arh got it from liquidity provider's point of view. thks trickyname! thinking abt it from mm perspective. please correct me if I am wrong. if...
http://www.stanford.edu/~iwrm/simple%20variance%20swaps%20latest.pdf...
saw this in the past http://onlyvix.blogspot.sg/2011/10/how-to-manipulate-vix-settlement-price.html but he retracted later...
hi FSU, in http://www.cboermc.com/media/52743 on pp. 22-23, it was mentioned that there is a way to play the HOSS by being liquidity providers....
VXN is going to be an awesome short soon? (liquidity is an issue though) TskTsk, can i PM you?
NEW OPTIONS ON CBOE SHORT-TERM VOLATILITY INDEX (VXST) LAUNCH THIS THURSDAY On Thursday, April 10 CBOE plans to launch options on the CBOE...
hi hi 1) to neutralize gamma you will probably be trading more options and these options has its only greeks which contaminates your original...
haha got it. its weekend effect sorry just ignore my posts barking to my own self haha :p
[IMG] bad example. let me regen and repost. not sure how i can remove post. sorry :D first day pnl is bid ask spread.
sorry i posted too fast is it because 1D is a big time step and hence pde is not accurate? would it be fixed if we do it continuously...
sorry TskTsk, digging up some old threads to ask you something http://www.elitetrader.com/vb/showthread.php?threadid=237843...
thks newwurldmn! i missed out this. cos otherwise there is no realized vol on the long legs! so really more flexibility if we use single names...
just throwing out an idea for discussion and have not thought very deeply abt it yet. pls feel free to give your comments/opinions can we do a...
yeah it certainly seems like a very interesting conference Trading Volatility Across Asset Classes Volatility of Volatility...
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