w******g
发帖数: 271 | 1 A very practical problem:
Our system gets options prices from Reuters every day. Then we calculate the
implied vol using the options price.
If the option is liquidly traded, then the option’s price is updated and
the implied vol is correct. Actually sometimes options are not liquidly
traded, so sometimes Reuters give us options prices that were traded say 1
month ago. And our system was still using that price to get the implied vol.
Because the ‘price’ of the option didn’t go down in the past mo... 阅读全帖 |
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p********0
发帖数: 186 | 2 Based on BS formula, we can deduct implied volatilty.
The implied volality is not constant, based on strike-price/time expiration
date, which construct a volatililty smile.
Then we can construct a binomial tree to fit the smile, and forecast stock
price/with a distribution.
Is it realistic to control the portfolio risk by minimize the implied
volatility?
Is implied volatility more accurate than historical volatility? |
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d*******n
发帖数: 524 | 3 Not sure what you meant by "to control the portfolio risk by minimize the
implied volatility".
But in general, to estimate/understand/manage risk it's better to use
historical volatility, which is real-world vol, rather than implied
volatility, which is vol in risk-neutral prob space.
There is no such thing as one vol is more accurate than the other among hist
and implied vols. Implied vol is the collective opinion/guess of the option
traders on the volatility of the underlier. Whereas historica |
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p********0
发帖数: 186 | 4 I heard the contrary to "Historical volatility is better than implied". A
prominent prof mentioned in his class said he tried GARCH/ARCH/ARMA
everything, but turn out to use the implied volatility which is more
accurate than the historical one.
Assume Implied volatioity is 100 percent accurate, than by minimize the
implied volatility for a portfolio means the future volatility is minized.
In case error is big(predication power is weak) then minimize doesnot mean
anything useful. |
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B*********h
发帖数: 800 | 6 ☆─────────────────────────────────────☆
jjwwjj (jjwwjj) 于 (Wed Feb 28 18:10:56 2007) 提到:
I used GGR and HIVG in Bloomberg, and found out that its implied vols were
actually for the yield rates not for the bond prices.
I would like to search for and get to know whether Bloomberg has option
implied vols for US treasuries (say 2-years or 10-years) going back into the
early nineties?
I have also located the 2-yr bond's future using TUH7 COMDTY HIVG GO,
it shows an implied vol curve, but I am no |
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b***k
发帖数: 2673 | 7 ☆─────────────────────────────────────☆
xiaoxiaoxi (小小溪) 于 (Thu Aug 20 19:45:44 2009, 美东) 提到:
说BS模型中volatility不应该是常数，但是historical volatility又不准确，所以用
implied volatility，由市场上option的价格反推出来，
问题是市场上option的价格是怎么得到的？不是根据BS model吗？那算这个价格的
volatility又是怎么得到的？
THANKS
☆─────────────────────────────────────☆
Taikonaut (遨游太空) 于 (Thu Aug 20 19:59:39 2009, 美东) 提到:
到底是先有鸡，还是先有蛋呢？
hoho
既然叫*implied* vol...当然是先有price...在算implied vol啦
☆─────────────────────────────────────☆
Andreas (绿坝坍塌～庶民的胜利！) 于 (Th |
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b***k
发帖数: 2673 | 8 ☆─────────────────────────────────────☆
xiaoxiaoxi (小小溪) 于 (Fri Aug 21 12:40:48 2009, 美东) 提到:
说historical volatility不可靠，因为由此得到的option price跟市场价格不符，所以要用市场价格来反推volatility，称之为implied volatility。
问题是统计上来讲，显然是historical volatility更可靠，所以市场价格不是no-arbitrage的，为什么还要用implied volatility而不是市场价格参考historical volatility?
这样一来，就陷入了一个＂恶性循环＂，，要算option的价格，要先根据trader的价格得到implied volatility，然后利用stochastic volatility model或者其他model得到option的价格。这样又回到了我原来的问题，trader的价格是怎么得到的？似乎他们不能用BS Model，因为因为
del的结果依赖于他们的价格。。。
所以所 |
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j********t
发帖数: 97 | 9 Agree with you.
Implied smile/ implied skew is empirical result. It doesn't seem to be very
rigorous and simle/skew/frown may
behave differently to different derivatives.
It sound good to calculate BS price from implied vol and verify convexity.
Thanks.
just |
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z***e
发帖数: 5600 | 10 The original poster was wondering why implied vol from call and put
(of same strike) did not match, which violates put-call parity. I believe
he did not capture the dividends effects so his implied vol calculation
was not accurate.
If you use half OTM calls half puts, they won't have the same strike, and
the
implied vols should not be the same theorectically due to the skew effect. |
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l********a
发帖数: 126 | 11 Option is of course not all about vol.
Implying forward from European options is possible because a put-call pair (
with the same strike) can replicate a forward. So in that case forward is
easily implied by option prices.
I was wondering if there is a similar thing for American options.
But it seems like the answer is NO.
The best thing you can do with American options in this regard is to make
something like "Amrican Forward", i.e. the contract to buy the underlyer at
the strike at ANY time be... 阅读全帖 |
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c*******e
发帖数: 150 | 12 yep, agree. for options traders, implied vol sometimes is said to be "
forward-looking", whereas historical vol, no matter how fancy your
econometric method is, is always "backward-looking".
For an easy example, suppose there is this low-beta company whose realized
volatility has been hovering in the low 20s for about 2 months. but its
annual earnings announcement is in 2 days. the implied vol (especially for
super-short tenors) will and should take such scheduled events into account.
on the ot... 阅读全帖 |
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q*****l
发帖数: 124 | 13 嘛，可能之前表述的不清楚。。其实我的目的是求出heston model的implied
volatility，其中需要用到standard BS price formula。所以我的问题是既然heston
跟standard BS两个模型是inconsistent的，为什么可以用standard BS来求出implied
vol？如要何解释求出来的Heston implied vol？ |
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g****o
发帖数: 13 | 14 最近在读volatility surface
现学现卖一下吧
不对请拍砖
market quotes implied vols
先smooth implied vol surface
可以用SVI或者简单的cubic spline
你得把call price的second derivative转化成implied vol的second derivative
具体的过程可以类比Jim Gatheral的那本书 |
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i********c
发帖数: 7033 | 15 已经由BS模型求出一系列implied volatility 的离散点（比如newton法求得），希
望拟合出整个implied vola 曲面，有哪些方法？各有些啥优劣，及检验标准如何。
另外，基于这个得到的implied volatility surface，可以制定什么option组合，
或者交易策略？
现在写一个报告，缺乏金融背景，看得不甚明白。希望懂的人指点一二啊。。。或
者推荐看一些文章和文献也好。谢谢了。 |
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W********m
发帖数: 7793 | 16 some more discussion here:
I saw thirtystand and patrickcp both called 3 bets on button with 9 10 and
such and got paid off. It gets me to think whether it is good to play with
odds or implied odds. Which one has more swings. Because i tend to be on the
losing end of that in general that falls for implied odds
The guy 3 beted patrickcp had air, it is not very illustrative, so let us
assume that guy did have an over pair and you hit a middle pair on the flop
and he cbets 2/3-3/4 pot bets, and yo |
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J*****n
发帖数: 4859 | 17
看过的论文印象中，外汇的期权多以strangle,straddle出现，报价也是直接报implied
vol。（没做过，不确定）
如果你需要单独的implied vol，可以去cme看看他们的期货期权的报价，然后反推。
不过6年的外汇期权还没有听说过，一年以上的liquidity就很差了。需要构建vol
surface了。 |
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i********y
发帖数: 346 | 18 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 | 19 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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s********7
发帖数: 52 | 20 当然不是保证赚钱
但是不是因为expected vol的问题。
你用option赌vol的最大特点是path dependent.
每2次delta hedge之间的PnL是0.5*$Gamma*(vol_realized^2-vol_imp^2)*T
如果某段t时刻，在你2次rebalance之间，realized比implied小，而此时刚好你的$
gamma又很大。而其他时刻虽然你realized比implied大，但是$gamma小，那么你到
maturity一算总的还是亏钱。
想消除这种path dependent的办法是用variance swap。这个比用option的好处就是和
股价无关。换而言之，不管是股价冲天还是股价暴跌，variance的$gamma都是constant
。实际上去年lehman破产，很多银行prop desk都long variance swap而不是去long
option来赌vol increase,就是这个道理。
hope it helps |
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z*******c
发帖数: 12 | 21 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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b********1
发帖数: 114 | 22 realized vol is historical vol,so it is past data.
implied vol is vol implied by option price. it is future vol.
Let's take an example of stock price.
it is like stock price is average $20, now it is $18. so u think it could go
to $20, maybe, maybe not. |
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l********a
发帖数: 126 | 23 为什么是implied vol是prior，而不是hist vol？
我觉得反过来似乎更make sense一点啊，hist是prior，implied vols作为当前的
observation。
) |
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q*****l
发帖数: 124 | 24 一般来说我们是用market option price calibrate出stochastice volatility model
的parameters（比如Heston），带入closed-from pricing formula算出SV model的
option price，最后再invert standard BS price formula求出基于此SV model的BS
implied volatility。
请问此时这个SV model的BS implied volatility的物理意义是什么？可以解释为time/
ensemble average of the local volatility么？ |
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l***u
发帖数: 91 | 25 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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h******5
发帖数: 58 | 26 Sorry can't type Chinese in my company.
I am working on a project to calculate VaR based implied Risk Neutral
Density. Firstly I calculate implied vols from deep in-the-money to deep-out
-money option chains, then smooth out the vol smile and calcualte Risk
Neutral Density based on BS model(esstentially RND is calculated by the
second derivative of option prics to strke). Finally fit a parametric
distribution to the densities based on least square method. I got some
chanellenges that 1) the shap... 阅读全帖 |
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h******5
发帖数: 58 | 27 Sorry can't type Chinese in my company.
I am working on a project to calculate VaR based implied Risk Neutral
Density. Firstly I calculate implied vols from deep in-the-money to deep-out
-money option chains, then smooth out the vol smile and calcualte Risk
Neutral Density based on BS model(esstentially RND is calculated by the
second derivative of option prics to strke). Finally fit a parametric
distribution to the densities based on least square method. I got some
chanellenges that 1) the shap... 阅读全帖 |
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s*******e
发帖数: 432 | 28 the implied volatility basically is people's expectation for future
volatility. While what you calculate is a historical volatility |
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o**********y
发帖数: 502 | 29 这几天涨的这么好
也才40
便宜
对比TSLA的implied volatility ER前 70多
药股100多。。 |
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jl
发帖数: 398 | 30 Does the absolute convergence
sum |a_n| = K imply lim n a_n = 0?
It seems this is not right if |a_n| is not a monotone sequence.
Is there any conditions on those a_n where |a_n| > 1/n ?
多谢! |
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B*********h
发帖数: 800 | 31 ☆─────────────────────────────────────☆
Jadeson (Grothendick ) 于 (Sat May 19 21:39:56 2007) 提到:
望高手指点一下。
还有，如果是相同的到期日，资产和strik price,一个是美式一个是欧式，那么这里面
两者的implied volatility相差会很大吗？可不可以用欧式的代替美式的呢？
谢谢！！
☆─────────────────────────────────────☆
sammus (sammus) 于 (Sun May 20 00:10:01 2007) 提到:
No. Yes.
☆─────────────────────────────────────☆
francis4321 (Lei) 于 (Sun May 20 00:21:26 2007) 提到:
try this，not long
http://www.optimization-online.org/DB_HTML/2005/02/1066.html
☆──────────────── |
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P*****s
发帖数: 166 | 32 本来只是想看看matlab的函数行不行，就算了某一天的全部SPX call的implied vol，
发现我所有的都偏小。Option price选的是(highest closing bid+lowest closing
ask)/2,interest rate是从zero curve中于Option maturity最接近的两个通过linear
interpolation得到，用的是calendar day算time to maturity,会是什么原因呢？而且
short maturity的差的较大（max error=0.0895,which matures in 10 days)，long
maturity的还行。所有数据来源于WRDS |
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x****x
发帖数: 87 | 33 FX＝USD/JPY
strike price K＝75
C=Max（FX-K, 0)
Maturity＝0.25，0.5，0.75，1；。。。。。。6Y
how to check implied vol respectively？
many thanks |
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i****m
发帖数: 15 | 35 Many trading firms have their internal implied vol surface.
From Bloomberg, for FX options, use OVDV, for equities and others, use SKEW. |
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z****u
发帖数: 185 | 37 probably no closed form.
But it does not matter, you can use some numerical algorithm such as Newton or bisection to find the solution. Since vanilla option price is a monotonic function of implied vol, the implementation can be rather straightforward. |
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w********r
发帖数: 290 | 38
Please refer to equation (3) in "A methodology for assessing model risk and
its application to the implied volatility function model" John Hull, Wulin
Suo Journal of Financial and Quantitative Analysis; Jun 2002 |
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b***k
发帖数: 2673 | 39 ☆─────────────────────────────────────☆
xvgsfx (pains) 于 (Thu Nov 13 22:16:30 2008) 提到:
请问下，哪里可以查到 USD/JPY vanilla option的implied volatility啊？
K 是in the money 或者out the money的那种，不是forward FX rate
Maturity T 不同。。。。
其实就是要找到vol surface， vol是K,T的二元函数，vol（K,T)
☆─────────────────────────────────────☆
fingering (fe) 于 (Thu Nov 13 23:47:37 2008) 提到:
historical data are here:
http://mifidconnect.com/bba/jsp/polopoly.jsp?d=129
you need to build vol surface yourself using your own method. |
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x****x
发帖数: 87 | 40 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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b***k
发帖数: 2673 | 41 ☆─────────────────────────────────────☆
wisesummer (summer) 于 (Fri Feb 13 23:48:18 2009) 提到:
都说caps are quoted as implied volatility,那到底是怎么quote的啊? 是按固定的
moneyness
还是按固定的strike rates? 如果是前者,那么current rates of underlying(Forward
LIBOR)是
怎么确定? 是用对应的Swap rates替代吗?
期待了解cap trading实务的高手解答,谢谢
☆─────────────────────────────────────☆
Taikonaut (遨游太空) 于 (Sat Feb 14 00:02:55 2009) 提到:
我记得是按照给定的strike，用这个vol把每个caplet的价算出来，再求和。
Forward
☆─────────────────────────────────────☆
wisesummer (summer |
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k**8
发帖数: 14 | 42 Which risk free interest rate is used for calculating implied volatility?
Appreciate your help! |
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k**8
发帖数: 14 | 43
Thank you, NYUTT. Can you explain more about how to use libor for implied
volatility calculation? My confusion is that libor rates are not continuous-
compound rates. How can I plug libor into black scholes? Do I need to
convert them first?
Thanks, again. |
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k**8
发帖数: 14 | 44 If I have the implied volatility and I want to calculate the price, which
rate should I use for the funding cost?
Thanks! |
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z*******c
发帖数: 12 | 45 如果Expected realized vol 是0.3，而现在option implied vol是0.2。
是不是总是可以take advantage of this and make money? If so, how? |
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s********7
发帖数: 52 | 46 标准gamma trading的概念么
long option, delta hedge
赌realized比implied高 |
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z*******c
发帖数: 12 | 47 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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q********u
发帖数: 53 | 48 It does not sound reasonable to me. Implied Vol is used to measure option,
not stock vol. Any thoughts? |
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p********0
发帖数: 186 | 49 Option price not related to expected return, but determined by the implied
volatility, which is the second moment of the price return.
NYUTT, please kindly comments the rational behind the quick answer. |
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