For example, if SPY IV crushes 179 basis points, or ~10% of its total IV of 17.9% (Source:Barchart), is there a way to tell with any predictive...
Found the answer here: https://quant.stackexchange.com/questions/70414/the-wikipedia-formulas-for-vanna-differ-by-a-factor-of-100x-why-is-that...
Just started working through this, up to Vanna now, and everything up to there is accurate (matches my sheet anyways), but the total for Vanna is...
Other options would be LIBOR/SOFR, US Treasuries, or the Fed Funds Rate/OIS. Some people discount it entirely, but since it's fairly easy to add...
I was looking at this: https://www.theice.com/iba/ice-swap-rate (1 year, US denominated) as I can just get the data from TradingView easily...
I actually like SSE for it is. It's clean interface with all the "excellence" you expect out of an IE based app. Bugs and crashes galore, but it's...
In the below image, on step 5, they have the formula: e^(-qt)*sqrt(T-t)* N'(d1)(d2/σ) Step 6, they adjust the bolded part to:...
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