7 Sales executives have 1 million dollars to divide amongst themselves. The most senior sales executive propses a particular split and then...
Martinghoul: Would you mind having a look at what i posted above? Thank you.
That should be 365 * daily variance = (10%)^2
I found this one http://www.wilmott.com/messageview.cfm?catid=3&threadid=5603 Although i am still not clear on the arbitrage arguement (from a...
You can calculate the forward volatility between tenor 1, T1, and tenor 2, T2, using the formula below. Consider: T2> T1 Vol T2-T1=...
Hi just wanted to make sure i was correct in my thinking here: If i am short say a 30 delta call, then spot and vols going higher aren't good...
So basically because deep otm calls/puts have positive dvega/dvol, they will benefit from volatility being volatile itself (ie. as vols go higher...
What is exactly meant by the term 'vol of vol' ? Is it the same as dvega/dvol? I have read that to be long a butterfly is to be long 'vol of...
If your selling high and buying low (on your delta hedging) - then you are short gamma. I'm not sure what you mean by "A" and "B" ? With the...
When you say right about direction, you basically mean buying low and selling high right? So i'm going to take that as you being long gamma in...
Is there a definitive answer to whether or not under and overhedging are equally risky? We could consider 2 cases, a) continuous hedging or b)...
thanks for your reply, i am still not really clear on this rolling forward idea. I am thinking of two cases: Case 1: Sell the option now....
My university tutor was explaining this to me, was hoping someone could clarify: Say you have a 1year call on usd/jpy (i.e. call on usd, put on...
i'm clear on what these mean when you simply are running an option position without any delta hedging. I understand When you are long gamma...
if you have a daily volatility of say 10% p.a. how do you spread that over say 2 days? It should be the case that spreading it over a longer time...
Well yes it would be unlikely for the underlying to move +10points a day for 20 days straight. But the idea is that overall we need to have a 200...
My last post was correct right? btw, does anyone know of a DerivaGem like excel spreadsheet that shows graphs and stats of the greeks for...
ok so in order to breakeven on "each day" you would need the spot movement to exactly offset the theta for that day, but overall cant we say if...
if you have a 1mth straddle you can easily get the breakeven points. You can see what movement in the underlying stock/exchange rate/etc. you need...
just wondering if two underlyings have the same correlation (in terms of price), do their IV's also have that same correlation? also, with:...
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