r**u
发帖数: 69 | 1 s+p=c+k'
if s=k', then c=p and implied vol are the same for call and put.
if s>k', then c in the money and p out of money, out of money options
usually have bigger implied vol (just my impression).
and vice versa. |
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x****x
发帖数: 87 | 2 比如说, USD/JPY 的vanilla
报价的是implied vol, 是BS公式倒推出来的
市场上报的各种K的期权的波动率都是这样报出来的吧
也就是vol smile
可是如果都是BS模型的话,那么不管实际中期权的K是多少
同一段时间内,所有的USD/JPY 的diffusion process 都是一样的啊
也就是 volatility都是一样的
两者矛盾啊
不解 |
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i********y
发帖数: 346 | 3 My understanding is that the implied vol depends on the market strike price
distribution and the relationship between them can be shown following some
models such as BS. If the market spot price distribution happened to be the same
as Lognormal, then implied vol would not depend on strike price. |
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b*******a
发帖数: 12 | 4 Does anybody have codes for inverting implied vol from American Options?
I am particularly interested in invering implied vol from Barone-Adesi and
Whaley(1987) formula, but others are ok.
Could you please send me a copy of codes or suggest me some links? Thanks.
My email is p***[email protected]. |
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z*******c
发帖数: 12 | 5 是说这样做总能赚钱么？不断的reblancing the portfolio to make it delta
neutral.
我有个疑问：因为是expect realized比较高，万一到maturity的时候实际realized
vol低于implied,会不会就亏钱了？这种情况下该如何操作呢？ |
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z*******c
发帖数: 12 | 6 谢谢。
那么在用variance swap来trade的时候，结果是否赚钱就是看最后realized vol是接近
于expected还是market implied,如果确实高于implied as expected，就赚钱，反之，
就亏钱。
这么理解对么？
constant |
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i*****r
发帖数: 1302 | 7 问个题外话,你realized vol怎么算的... |
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p******e
发帖数: 756 | 8 call option，如果拿公式很好看
但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
看出增加。
thx |
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q**********a
发帖数: 4 | 9 if vol decreases, the diffusion of the distribution is smaller, the same
magnitude of the movement on S has different probabilities, the smaller
vol will have larger probability for the same size of movement on S.
therefore, the option value should have larger change. => delta increases |
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l*******1
发帖数: 113 | 10 for OTM : vol goes down, delta goes down
for ITM: vol goes down, delta goes up |
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z****u
发帖数: 185 | 11 In any meaningful formula which really matters, vol always appear with time,
or, time-to-maturity. The dependency of delta on vol is the same thing as
the dependency of delta on time-to-maturity (with volatility fixed), which
is straightforward. |
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t*******z
发帖数: 606 | 12 basically you are talking about cross greeks. pretty tricky.
the common practice on interest rate desk is:
if it is normal model, then cross greek between vol and delta will be small
and you don't need to worry too much.
if it is lognormal model, vol will change when rate change, lambda( or cross
) will be significant.
That's the major reason why most interest rate desk use normal model instead
of lognormal model. |
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a**m
发帖数: 102 | 13 Why are market vols of comparable call and put options the same?
As far as I know, traders mark slightly different vols for comparable calls and puts. |
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w*****e
发帖数: 197 | 14 C - P = S - KD where D is the discount factor from riskless bond.
And implied vols are the same for vanilla calls and puts
of the same strikes. This is always guaranteed as long as you
back out vols with the BSM formula.
However, most puts are american. So in reality this is not
true in general. But in a lot of cases, when you know puts
are not going to be exercised for the foreseeable future.
This still holds approximately, and I was told it was profitable
trading around parity in the old days.... 阅读全帖 |
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s******e
发帖数: 1751 | 15 not that i am aware of.
i think you can only acquire that from a exotic vol trading desk.
btw, what i said is an extremely abridged version. |
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i*****r
发帖数: 1302 | 16 按错发到你邮箱了。。
你这样如何解释put价格也随vol增加而增加？
".
means the price will stay there forever, and never more to in-the-money,
thus option price=0. when you start to increase vol, there are more chance
the price will go in the money. |
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A*****s
发帖数: 13748 | 17 put/call的价格都随vol增加，因为vol增加，就增加了exercise的可能性，也增加了
exercise的价值 |
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z*g
发帖数: 110 | 18 you are looking at a price distribution.
option price is an integral of the term:
Probability(price=x) * payoff(price=x)
assume x is far from the current spot price. when vol=0,
Probability(price=x)=0
when vol increase, probability increase.
of course the sum of all probability=1, because it is a distribution. |
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h**********g
发帖数: 123 | 19 I think you should take some kind of blending approach. To calculate IV, you
need pair the underlying and the option quotes, especially at the same time
stamp.
If there are enough option transactions around close of day, then use those
and the close price to calculate the implied vol.
If there is no option transactions, you may use the mid of bid and ask
around the close of day as a reference. However, sometimes, those bid-ask
spread could be quite high too and typically those are not part of re... 阅读全帖 |
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z****u
发帖数: 185 | 20 mark it, based on, vol of similar stocks, or historical realized vol. |
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n***y
发帖数: 9 | 21 目前手上有Gatheral的Vol Surf的书。请问除此之外，关于sto vol还有哪些paper和书
籍值得一看。多谢！ |
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P****d
发帖数: 369 | 22 implied vol 就是市场根据历史对未来做出的市场预测 |
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l********a
发帖数: 126 | 23 但并不是直接根据historical time series来的。而historical vol是直接从
historical time series来的。 |
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P****d
发帖数: 369 | 24 我觉得historical vol是历史信息的子集吧。 |
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q**j
发帖数: 10612 | 25 garch算出来的比较好吧。用Implied vol 不害怕Model错了？ |
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s*******n
发帖数: 66 | 26 it should be implied vol
如果一定用historical vol呢？ 这是个面试题，我觉得daily date数据多误差小。如
果误差一样用什么呢？没想法 |
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l***u
发帖数: 91 | 27 20K 个implied vol应该很快啊 一般都是Newton-Raphson
具体看你那20K的implied vol都是什么关系 有没有办法优化Newton Raphson的初始值
来更快的收敛 |
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s**********t
发帖数: 680 | 28 The link to the paper is provided for your convenience.
The Molecular quasi-species
Eigen M ; McCaskill J; Schuster P
Advances in Chemical Physics, (1989) Vol. 75, 149-263.
http://www3.interscience.wiley.com/cgi-bin/summary/114181861/SUMMARY
New concepts for dealing with the evolution of nucleic acids.
Eigen M
Cold Spring Harbor Symposia on Quantitative Biology, Vol. LII. Evolution of
Catalytic function. Cold Spring Harbor Laboratory: Cold Spring Harbor, New
York, USA. 1987. 307-320.
http://symp |
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w*******y
发帖数: 60932 | 30 Link:
http://livephish.com/music/0,584/Phish-mp3-Free-download-Live-Bait-Vol-02.html
Track Details:
Wilson >
Light >
Twenty Years Later
(2010-08-07 Greek Theatre, University of California Berkeley - Berkeley, CA)
Down With Disease >
What's The Use
(2010-08-14 Alpine Valley Music Theatre - East Troy, WI)
Possum
(2010-08-17 Nikon at Jones Beach Theatre - Wantagh, NY)
NO2 >
Kung
(2010-08-12 Verizon Wireless Music Center - Noblesville, IN)
Bug
(2010-08-14 Alpine Valley Music Theatre - East Troy, WI)... 阅读全帖 |
|
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w*******y
发帖数: 60932 | 32 Amazon has NOW That's What I Call Music Vol. 41 for MP3 download $2.99
I almost bought it the other day for $7.99, glad I waited. Was released Feb
7th
Amazon:
http://www.amazon.com/Thats-What-Call-Music-Vol/dp/B0070CFKGU/r
SONG LIST
1. "Sexy and I Know It" LMFAO
2."The One That Got Away" Katy Perry
3."Marry the Night" Lady Gaga
4."Domino" Jessie J
5."Stereo Hearts" Gym Class Heroes featuring Adam Levine
6."5 O'Clock" T-Pain featuring Lily Allen
7."Work Out" J. Cole
8."International Love" ... 阅读全帖 |
|
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g****g
发帖数: 1828 | 34 Amazon UK has Harry Potter Movie Collection: Vol 1-6 (Blu-ray) for ￡14.46 (
lower price shown in cart) + ￡3.08 shipping = ~$28 shipped. Next lowest on
Google Products is $58 shipped. |
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x***n
发帖数: 2658 | 35 20 weibi to the best answer
daily traiding vol slashed to 1/5 - 1/10 in the last two weeks. however
price stays almost unchanged day by day. What does this sign mean? upside
biased? |
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l******o
发帖数: 80 | 36 偶们vols近年的draft
我们很少出产bust，绝大多数给draft的都是目前nfl挑大梁的主力，更不谈later
rounds的steal，列了一下，目前差不多够组成一支令人望而生畏的阵容了，个别位置上
深度很牛。
QB: Peyton Manning, 1998 1st round pick, pro bowler and mvp，可惜没有替补。
RB: Jamal Lewis，2000 1st round pick, pro bowler, 替补有Travis Henry (02 2nd
round), Charlie Garner (he is old, cannot remember when he got drafted) Shawn
Bryson,
FB: Troy Flemming, 2004 6th round pick,目前在泰坦打半主力，今年已经有2个td入账
WR1: Donte Stallworth， 02’ 1st round pick，滥队saints的主力
WR2: Peerless Price，算半个bust
其他wr: Kelly Washing |
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M*******0
发帖数: 1502 | 37 之前珍藏了一位前辈给的I，受益匪浅。能否再请前辈们给个Magpul Dynamics Art of
the Tactical Carbine Vol II 的LINK，谢了！ |
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U***n
发帖数: 1204 | 38 赛季初看到海报时就心中一惊，四个字跳出来，那就是“英雄迟暮”。果然 Vol 2008
成绩恶劣，Fulmer 惨淡离开。
开赛以来，没想到进攻线问题这么大。去年进攻平均每场拿30来分，如今一场拿6分7分
，不是一般的烂啊。几场下来，连评论员都纳闷，称田纳西是 “self-destructive”
。曲终人散，听说田纳西进攻的排名全国倒数第四，也就是说，你所能叫出名的队伍，
都不可能比田纳西更烂。衰啊。
今年的问题出在进攻线上。进攻教练走了一个，来了一个。走的是老江湖 Cutcliffe，
赴 Duke 当主教练了，晋升是Clawson，来自草根队 Richmond。
空战上，无论是 Quarterback 与Wide Receiver ，还是 Quaterback 与 Running Back
，显然都没磨合好。本赛季新任的首发 Quarterback Crompton 表现很差，先是第一
场对阵 UCLA 时 mess up in the front，在 red zone 攻不过去，然后在后来的一场
比赛中 mess up in the back，在自家底线 fumble，总之，配合 |
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s*******s
发帖数: 9489 | 39 vols相对好打。 四把谈战术变化太多， 难搞。运气起来的话， 四把谈的3分会爆掉所
有人。就和wv一样 |
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U***n
发帖数: 1204 | 43 Simms 阅读进攻线能力欠缺，有 wide open WR 但没看到。阅读defense能力差点，把
球扔进
double coverage，还被intercept 3次。出球慢，结果被麻袋几次。新人Bray 好点。
但完成率不
高。考虑到 Simms 面对 better defense，结果 Vol 的QB 还是定不下来。
Simms：12-26，125 yard，麻袋5次。
Bray： 18-40, 200 yard，麻袋2次。
考虑到球赛其实是演练一下，许多杀招还是不能露的，所以不必太较真。 |
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p***r
发帖数: 4606 | 47 现在才发现你是vol扇子啊?以前怎么没怎么见过,啥时候可以招小k请客,聚一聚,哈哈哈 |
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B****2
发帖数: 8892 | 48 今年由于Vols战绩不佳，电视转播也降级了，由Network TV（CBS）转为Cable TV（
ESPN）了。
93年两队打平，这也是两队最后一次平局，这场球被forfeit了。 |
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