Quants Beware ! Next 390 Mio Usd Desaster ?

Discussion in 'Trading' started by ASusilovic, Oct 15, 2007.

  1. Humble question to our QUANT community :

    any chance we see today 25 standard deviation day or ???? :confused::D
     
  2. no.
     
  3. empee

    empee

    when computing stdev, like 25 devs or 7 devs or whatever, is there a standard period used (like 7 days, 20 days)?
     
  4. I just observed VIX climbing 12 % today...that´s why I am asking...
     
  5. Great, more risk free $$$ for me writing naked ES puts.
     
  6. So, at which point of the day can we expect the RALLY ? :p :)
     
  7. What is "390 Mio"?