Once again, you need to actually think. Your "estimate" of implied volatility is incorrect. Instead of offering a diversion, how about dealing with the issue. Go to IVolatility.com and look up the correct intraday implied volatility. Plug in the correct volatility and do the math. Your equation is known to math majors as a particle density equation. In the world of finance it is used (when it is written correctly) as an expression of stochastic vol. Here is the equation correctly re-written. dV = a(V - V)dt + EV dz My suggestion is you take a moment to think.
My estimate of implied volatility is arbitrary. I took 9% as an example. You really are on crack aren't you? I don't need ivolatility I have Reuters and Bloomberg, what are you, a beginner?
lol; that equation is completely wrong. Derive it and you'll figure out ur way out of left(y) field. dV = a(VL - V)dt +EV dz VL = long run average variance rate. Stop playing lefty.
I am a person with the correct data. Apparently reuters and bloomberg dont provide accurate intraday data to you. Intraday vol for MWD on a 10 basis is 17.97%. On a 20 day basis it is 29.44. So you pay for Reuters and Bloomberg both, but cannot quote accurate intraday vol. Who are trying to kid. and you ask if I'm on crack. You are a poser. Now that we have established that, I am going back on vacation. Thanks again for the comedy routine I am guessing that you will be going back to your day job selling office supplies. Those who want to get the data (free) can go to www. Ivolatility.com Lefty
For 50 Call Strike on MWD (not even sure why we are discussing this as I never intended to discuss MWD vol at all...) 30day:33.05 Imp Vol: 45.80 60day:28.44 Delta: .7070 90day:25.22 Gamma: .0610
Re-read your own posts. you offered MWD as an example. Now as to your comment about variance. I did derive the equation and you are correct. I did not look closely at it (as I should have) the error is mine. I mistook it for an equation I use often. The equation I offered however is correct as written. To verify simply copy and google or find a standard text on Stochastic Volatilty. This is first year stuff. When you are right, you are right. Also, sorry about the "poser" comment. I would like to have more patience with people, and this is not the way to learn that. I apologize. Good luck trading everyone. Lefty.
hm....supposedly I don't have a clue. You say any phd could answer these questions. You recruit. But you don't recruit for them. The interviewer has already informed me of what I will be expected to know on a GENERAL level. So i've got an idea. I just wanted to know if anybody else had some experience. Obviously your one isolated experience as a recruiter is not very relevant or helpful in the least, simply because it doesn't apply to me. Perhaps if you were at wilmott you could be of more use. They are recruiting at the undergraduate level, from a small private liberal arts college. You'd have to be a fool to think anything of that level would be asked. And its not that I haven't a background for these kinds of discussions that might come from neftci or hull, its just that there is no way i'd be thrown that kind of curveball. You must be recruiting beyond the undergraduate level, or perhaps for just exceptional individuals. btw, whats the difference between a smiley face and a smirk? Not a thing when you're being an asshole online.