Estimating vol skew from historical underlying price data

Discussion in 'Options' started by TskTsk, Apr 5, 2012.

  1. sonoma

    sonoma

    Are you looking to demonstrate "what if" scenarios to a group of novices, or are you looking to place positions based on some mispricing revealed by your skew model? If the latter, you can't do it. Too many uncertainties, especially in the back months and specifically if your position will be functionally path-dependent.
     
    #11     Apr 7, 2012
  2. opt789

    opt789

    Then pay a small amount of money for them, and stop playing guessing games.
    http://www.marketdataexpress.com/
     
    #12     Apr 7, 2012
  3. TskTsk

    TskTsk

    Looking to demonstrate what-if scenarios first and foremost, to one particular novice...myself :p

    It's much more practical dealing with one set of widely available, free data, rather than a ton of individual data per symbol and maturity. As long as you're aware of model limitations, I don't see the problem.
     
    #13     Apr 7, 2012
  4. +1

    All sorts of things you can do. Whether they're useful in practice is an entirely different question.
     
    #14     Apr 8, 2012