@earth_imperator 1. Use a local volatility model to estimate a likely IV at price S and time T for both assets 2. Plug those values into the call...
Gentlemen, thanks a lot for your contribution. Now I can finally pull the plug on this chapter and move on.
its not really an interpolation because the curve is parametric, the inputs are spot, dte and six other parameters related to the curve shape....
Had to look up 'coprolith', but besides this, thanks A lot man, this is giving me the closure I was looking for..
your code is difficult to read, seems that you are hardcoding all scenarios instead of creating a flexible structure. But I dont know your...
Correct. This is also what the rational part of my brain is telling me. And trading should be a rational endeavor.. and yet so many times the...
ha.. no idea if this is the right place to post.. I guess it's something in between options and trading psychology.. anyways.. it's already been...
tbh I would also feel triggered if after replying politely to a question to the best of my knowledge, some random dude started attacking me out of...
OP, the problem with options is that there is no absolute 'best' , any option play or structure is good under certain circumstances, bad in...
OP, besides a screener, some basic knowledge of how volatility works should be your next priority.
Hmm that academia guy knows his s*!@t!
haha ok let's talk again in the future, when I'll be surely full of mint.. ..Or maybe full of something else :p
ok let's take one step back. Here I'm not trying to guess prices, but modeling a scenario, a "what if.. "case. So I assume that stock A in the...
Hi BWS, I looked it up a bit, actually there is not a single way to estimate beta because it's.. well, an estimation. Your method is fine and...
Hello all, trivial question (of which however I'm not so sure): I have stock A that I expect to reach a certain value in X days, and I also have...
also, going back to the original topic, you should watch the rolling correlation of the two and try shifting it back n times. If the correlation...
In colin bennet's book, I remember a section where he compared/backtested the different methods and beta adjusting was the most accurate. Of...
I also remember seeing the first posts of BWS, at the time I had already been dabbling for a while and he was a total noob. But I bet he knows a...
all my worst losses have always been due to a naked something..
sorry but I don't get the 2x theta part. Theta is supposed to represent the daily time decay, so taking this sentence at face value would mean...
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